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Report NEP-ETS-2012-08-23
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behaviour : an empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00722032, Jul.
- Dominique Guegan & Philippe de Peretti, 2012, "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00721327, Jul.
- Javier Hualde, 2012, "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra, Departamento de Economía - Universidad Pública de Navarra, number 1205.
- Karlsson, Sune, 2012, "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business, number 2012:12, Aug.
- Item repec:dgr:uvatin:20120042 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20120059 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20120008 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20120009 is not listed on IDEAS anymore
- Yves Dominicy & Siegfried Hörmann & David Veredas & Hiroaki Ogata, 2012, "Marginal quantiles for stationary processes," Working Papers, Banco de España, number 1228, Jul.
- Lorenzo Ricci & David Veredas, 2012, "TailCoR," Working Papers, Banco de España, number 1227, Jul.
- Fuentes, Julieta & Poncela, Pilar & Rodríguez, Julio, 2012, "Sparse partial least squares in time series for macroeconomic forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws122216, Aug.
- Item repec:ner:carlos:info:hdl:10016/15032 is not listed on IDEAS anymore
- Michael Connolly & Taeyoung Doh, 2012, "The state space representation and estimation of a time-varying parameter VAR with stochastic volatility," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 12-04.
- Mark J. Jensen & John M. Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-09.
- Rosen Azad Chowdhury & Bill Russell, 2012, "The Difference, System and ‘Double-D’ GMM Panel Estimators in the Presence of Structural Breaks," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 268, Jun.
- Zhu, Ke, 2012, "A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach," MPRA Paper, University Library of Munich, Germany, number 40382, Jul.
- Galimberti, Jaqueson K., 2012, "A tutorial note on the properties of ARIMA optimal forecasts," MPRA Paper, University Library of Munich, Germany, number 40303, Jan, revised 27 Jul 2012.
- Bildirici, Melike & Ersin, Özgür, 2012, "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper, University Library of Munich, Germany, number 40330, Jan, revised May 2012.