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Report NEP-ETS-2012-09-22
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:
- Matteo Luciani & David Veredas, 2012, "A model for vast panels of volatilities," Working Papers, Banco de España, number 1230, Sep.
- Ozcan Ceylan, 2012, "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers, Galatasaray University Economic Research Center, number 12-4, Sep.
- Tsionas, Mike, 2012, "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper, University Library of Munich, Germany, number 40966, May, revised 20 Aug 2012.
- Francis X. Diebold, 2012, "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 12-035, Sep.
- Jesus Fernandez-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez, 2012, "Estimating Dynamic Equilibrium Models with Stochastic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 18399, Sep.