Report NEP-ETS-2013-03-30This 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.
The following items were announced in this report:
- Yingying Li & Zhiyuan Zhang & Xinghua Zheng, 2013. "Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise," Papers 1303.5809, arXiv.org.
- Marek Jarocinski & Albert Marcet, 2013. "Priors about Observables in Vector Autoregressions," Working Papers 684, Barcelona Graduate School of Economics.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
- Item repec:dgr:kubcen:2013017 is not listed on IDEAS anymore
- Markku Lanne & Jani Luoto, 2013. "A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation," Discussion Papers of DIW Berlin 1285, DIW Berlin, German Institute for Economic Research.
- Markku Lanne, 2013. "Noncausality and Inflation Persistence," Discussion Papers of DIW Berlin 1286, DIW Berlin, German Institute for Economic Research.
- Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
- Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Long Memory Analysis: An Empirical Investigation," MPRA Paper 45605, University Library of Munich, Germany.
- Abounoori, Abbas Ali & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Financial Time Series Forecasting by Developing a Hybrid Intelligent System," MPRA Paper 45615, University Library of Munich, Germany.
- Yong Bao & Aman Ullah & Yun Wang & Jun Yu, 2013. "Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes," Working Papers 02-2013, Singapore Management University, School of Economics.
- Arnold Polanski & Evarist Stoja, 2013. "Co-dependence of Extreme Events in High Frequency FX Returns," University of East Anglia Applied and Financial Economics Working Paper Series 040, School of Economics, University of East Anglia, Norwich, UK..