Report NEP-ETS-2012-11-03This 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.
The following items were announced in this report:
- Item repec:dgr:uvatin:20120110 is not listed on IDEAS anymore
- Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & van Dijk, D.J.C., 2012. "Realized mixed-frequency factor models for vast dimensional covariance estimation," ERIM Report Series Research in Management ERS-2012-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
- Item repec:ner:carlos:info:hdl:10016/15743 is not listed on IDEAS anymore
- Item repec:ner:carlos:info:hdl:10016/15744 is not listed on IDEAS anymore
- Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Department of Economics Working Paper Series Ec-04/12, European University at St. Petersburg, Department of Economics.
- Omay, Tolga, 2012. "The comparison of optimization algorithms on unit root testing with smooth transition," MPRA Paper 42129, University Library of Munich, Germany.
- Bentes, Sonia R & Menezes, Rui, 2012. "On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility," MPRA Paper 42193, University Library of Munich, Germany.
- Camacho, Maximo & Lovcha, Yuliya & Pérez-Quirós, Gabriel, 2012. "Can we use seasonally adjusted indicators in dynamic factor models?," CEPR Discussion Papers 9191, C.E.P.R. Discussion Papers.