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Report NEP-ETS-2012-12-10
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:
- Daniel J. Nordman & Helle Bunzel & Soumendra N. Lahiri, 2012, "A Non-standard Empirical Likelihood for Time Series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-55, Dec.
- Moawia Alghalith, 2012, "A note on estimating stochastic volatility and its volatility: a new simple method," Papers, arXiv.org, number 1212.0380, Dec.
- Anton Skrobotov, 2012, "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Working Papers, Gaidar Institute for Economic Policy, number 0043, revised 2013.
- P. O'swik{e}cimka & S. Dro.zd.z & J. Kwapie'n & A. Z. G'orski, 2012, "Effect of detrending on multifractal characteristics," Papers, arXiv.org, number 1212.0354, Dec.
- Roxana Halbleib & Valeri Voev, 2012, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-30, Oct.
- Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012, "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-31, Nov.
- Audrino, Francesco & Knaus, Simon, 2012, "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1224, Nov.
- Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti, 2012, "Modeling non-stationarities in high-frequency financial time series," Papers, arXiv.org, number 1212.0479, Dec, revised Feb 2017.
- Kociecki, Andrzej, 2012, "Orbital Priors for Time-Series Models," MPRA Paper, University Library of Munich, Germany, number 42804, Nov.