Printed from https://ideas.repec.org/n/nep-ets/2012-12-06.html
Report NEP-ETS-2012-12-06
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:
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012, "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-53, Nov.
- José Manuel Corcuera & Emil Hedevang & Mikko S. Pakkanen & Mark Podolskij, 2012, "Asymptotic theory for Brownian semi-stationary processes with application to turbulence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-52, Nov.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2012, "Nonlinear Kalman Filtering in Affine Term Structure Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-49, May.
- Søren Johansen & Morten Ørregaard Nielsen, 2012, "The role of initial values in nonstationary fractional time series models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-47, Nov.
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012, "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-50, May.
- Gribisch, Bastian, 2012, "Multivariate wishart stochastic volatility and changes in regime," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-14.
- Offick, Sven & Wohltmann, Hans-Werner, 2012, "A terminological note on cyclotomic polynomials and Blaschke matrices," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-13.
- Item repec:hhs:bofrdp:2012_033 is not listed on IDEAS anymore
- Item repec:hhs:bofism:2012_047 is not listed on IDEAS anymore
- Luis Francisco Rosales & Tatyana Krivobokova, 2012, "Instant Trend-Seasonal Decomposition of Time Series with Splines," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 131, Nov.
- Katsiaryna Schwarz & Tatyana Krivobokova, 2012, "A unified framework for spline estimators," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 130, Nov.
- Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012, "The Selection of ARIMA Models with or without Regressors," Discussion Papers, University of Copenhagen. Department of Economics, number 12-17, Nov.
- Item repec:dgr:uvatin:20120118 is not listed on IDEAS anymore
- Marc Hallin & Ramon van den Akker & Bas Werker, 2012, "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-042, Nov.
- Stelios Arvanitis & Antonis Demos, 2012, "Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations," DEOS Working Papers, Athens University of Economics and Business, number 1229, Jun, revised 24 Aug 2012.
- Neil R. Ericsson & Erica L. Reisman, 2012, "Evaluating a Global Vector Autoregression for Forecasting," Working Papers, The George Washington University, The Center for Economic Research, number 2012-006, Nov.