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Report NEP-ETS-2013-01-07
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:
- Jean Jacod & Mark Podolskij, 2012, "A test for the rank of the volatility process: the random perturbation approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-57, Dec.
- Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012, "A Smooth Transition Long-Memory Model," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1240, Dec, revised Dec 2012.
- Gordon J. Ross, 2012, "Modeling Financial Volatility in the Presence of Abrupt Changes," Papers, arXiv.org, number 1212.6016, Dec.
- Harvey, A. & Luati, A., 2012, "Filtering with heavy tails," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1255, Dec.
- Politis, Dimitris, 2012, "On The Behavior Of Nonparametric Density And Spectral Density Estimators At Zero Points Of Their Support," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt40g0z0tz, Dec.
- Prosper Dovonon & Eric Renault, 2012, "Testing for Common GARCH Factors," CIRANO Working Papers, CIRANO, number 2012s-34, Dec.
- Item repec:dgr:uvatin:20120133 is not listed on IDEAS anymore
- Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012, "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series, European Central Bank, number 1492, Nov.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012, "Prior selection for vector autoregressions," Working Paper Series, European Central Bank, number 1494, Nov.
- Deepa Dhume Datta & Wenxin Du, 2012, "Nonparametric HAC estimation for time series data with missing observations," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1060.
- Michael W. McCracken & Tucker S. McElroy, 2012, "Multi-step ahead forecasting of vector time series," Working Papers, Federal Reserve Bank of St. Louis, number 2012-060, DOI: 10.20955/wp.2012.060.
- Item repec:iwh:dispap:12-12 is not listed on IDEAS anymore
- Ginters Buss, 2012, "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers, Latvijas Banka, number 2012/06, Dec.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012, "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 135, Feb.
- Badi H. Baltagi & Long Liu, 2012, "The Hausman-Taylor Panel Data Model with Serial Correlation," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 136, Mar.
- Badi H. Baltagi & Long Liu, 2012, "Estimation and Prediction in the Random Effects Model with AR(p) Remainder Disturbances," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 138, Jul.
- Badi H. Baltagi & Georges Bresson, 2012, "A Robust Hausman-Taylor Estimator," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 140, Aug.
- Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2012, "Small Sample Properties and Pretest Estimation of A Spatial Hausman-Taylor Model," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 141, Aug.
- Jan F. KIVIET & Garry D.A. PHILLIPS, 2012, "Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1206, Jun.
- Ari, Yakup, 2012, "Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH," MPRA Paper, University Library of Munich, Germany, number 43330, May.