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Report NEP-ETS-2013-01-26
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:
- Igor Halperin & Andrey Itkin, 2013, "USLV: Unspanned Stochastic Local Volatility Model," Papers, arXiv.org, number 1301.4442, Jan, revised Mar 2013.
- Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano, 2013, "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers, arXiv.org, number 1301.5129, Jan, revised Jan 2014.
- Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013, "Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 471.
- René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013, "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers, CIRANO, number 2013s-01, Jan.