Printed from https://ideas.repec.org/n/nep-ets/2014-03-08.html
Report NEP-ETS-2014-03-08
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:
- Pablo Duarte & Bernd Süssmuth, 2014, "Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP," CESifo Working Paper Series, CESifo, number 4574.
- Andreas Blöchl & Gebhard Flaig, 2014, "The Hodrick-Prescott Filter with a Time-Varying Penalization Parameter. An Application for the Trend Estimation of Global Temperature," CESifo Working Paper Series, CESifo, number 4577.
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014, "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2014_02, Feb, revised Feb 2014.
- Giampiero M. Gallo & Edoardo Otranto, 2014, "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2014_03, Feb, revised Feb 2014.
- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014, "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-921, Feb.
- Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014, "Efficient iterative maximum likelihood estimation of high-parameterized time series models," CFS Working Paper Series, Center for Financial Studies (CFS), number 450.