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Report NEP-ETS-2013-11-16
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:
- Emilio Zanetti Chini, 2013, "Generalizing smooth transition autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-32, Sep.
- Mark Podolskij & Nakahiro Yoshida, 2013, "Edgeworth expansion for functionals of continuous diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-33, Oct.
- Tommaso Proietti & Alessandra Luati, 2013, "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-34, Oct.
- Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen, 2013, "A unified framework for testing in the linear regression model under unknown order of fractional integration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-35, 05.
- Juan Luis Lopez & Jesus Guillermo Contreras, 2013, "Performance of multifractal detrended fluctuation analysis on short time series," Papers, arXiv.org, number 1311.2278, Nov.
- Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2013, "Short-term forecasting for empirical economists. A survey of the recently proposed algorithms," Working Papers, Banco de España, number 1318, Nov.
- Dimitrios D. Thomakos & Konstantinos Nikolopoulos, 2013, "Forecasting multivariate time series with the Theta Method," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 13004, Jul.
- Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013, "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 307, revised 2015.
- Jarociński, Marek & Maćkowiak, Bartosz, 2013, "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series, European Central Bank, number 1600, Oct.
- Item repec:ehu:biltok:10862 is not listed on IDEAS anymore
- Xibin Zhang & Maxwell L. King, 2013, "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/13.
- Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013, "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/13.
- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013, "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/13.
- Kim, Chang-Jin & Kim, Jaeho, 2013, "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," MPRA Paper, University Library of Munich, Germany, number 51117, Aug.
- Kim, Chang-Jin & Kim, Jaeho, 2013, "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper, University Library of Munich, Germany, number 51118, Oct.
- Yuta Kurose & Yasuhiro Omori, 2013, "Dynamic Equicorrelation Stochastic Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-907, Nov.
- Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013, "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1332, Nov.
- Monica Billio & Maddalena Cavicchioli, 2013, "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:24.