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Report NEP-ETS-2012-09-30
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:
- H. Peter Boswijk & Michael Jansson & Morten Ørregaard Nielsen, 2012, "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-39, 09.
- Pier Paolo Peirano & Damien Challet, 2012, "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print, HAL, number hal-00734355, Aug, DOI: 10.1140/epjb/e2012-30134-y.
- Markku Lanne & Mika Meitz & Pentti Saikkonen, 2012, "Testing for Predictability in a Noninvertible ARMA Model," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1225, Sep.
- Mika Meitz & Pentti Saikkonen, 2012, "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1226, Sep.
- Item repec:cty:dpaper:12/02 is not listed on IDEAS anymore
- Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012, "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 14-2012, Sep.
- Oliver Linton & Michael Vogt, 2012, "Nonparametric estimation of a periodic sequence in the presence of a smooth trend," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP23/12, Sep.
- Michael Vogt, 2012, "Nonparametric regression for locally stationary time series," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP22/12, Sep.
- Mahesh S. Khadka & K. M. George & N. Park & J. B. Kim, 2012, "Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting," Papers, arXiv.org, number 1209.4608, Sep, revised May 2013.
- Ole Peters & William Klein, 2012, "Ergodicity breaking in geometric Brownian motion," Papers, arXiv.org, number 1209.4517, Sep, revised Mar 2013.
- Dominique, C-Rene & Rivera-Solis, Luis Eduardo, 2012, "Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index," MPRA Paper, University Library of Munich, Germany, number 41408, Mar.
- Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel, 2012, "Garch models without positivity constraints: exponential or log garch?," MPRA Paper, University Library of Munich, Germany, number 41373, Sep.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2012, "Estimating Dynamic Equilibrium Models with Stochastic Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9130, Sep.
- Cogley, Timothy & Startz, Richard, 2012, "Robust Estimation of ARMA Models with Near Root Cancellation," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt0cw056qz, May.