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Report NEP-ETS-2012-11-24
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:
- Peter Reinhard Hansen & Allan Timmermann, 2012, "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-45, Oct.
- Peter Reinhard Hansen & Zhuo Huang, 2012, "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-44, Oct.
- Peter Reinhard Hansen & Allan Timmermann, 2012, "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-43, Feb.
- Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012, "The Selection of ARIMA Models with or without Regressors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-46, Nov.
- Habert white & Tae-Hwan Kim & Simone Manganelli, 2012, "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2012rwp-45, Aug.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012, "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 021, Nov.
- Jingzhao Qi & Huijie Yang, 2012, "Hurst Exponents For Short Time Series," Papers, arXiv.org, number 1211.2862, Nov.