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Report NEP-ETS-2013-06-16
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:
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013, "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-16, 05.
- Kirstin Hubrich & Timo Teräsvirta, 2013, "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-18, Jun.
- Vladimir Filimonov & Spencer Wheatley & Didier Sornette, 2013, "Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process," Papers, arXiv.org, number 1306.2245, Jun, revised Jun 2014.
- Eric Jacquier & Cedric Okou, 2013, "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers, CIRANO, number 2013s-14, Jun.
- Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña, Daniel, 2013, "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws131718, Jun.
- Item repec:dgr:uvatin:20130073 is not listed on IDEAS anymore
- Robert Kollmann, 2013, "Tractable latent state filtering for non-linear DSGE models using a second-order approximation," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 147.
- Imma Valentina Curato, 2013, "Fourier estimation of stochastic leverage using high frequency data," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2013-04, Jun.
- Yunjong Eo & James Morley, 2013, "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," Discussion Papers, School of Economics, The University of New South Wales, number 2013-12, May.
- Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013, "Bayesian Markov Switching Stochastic Correlation Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:11.