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Report NEP-ETS-2014-03-30
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:
- Archil Gulisashvili & Josep Vives, 2014, "Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models," Papers, arXiv.org, number 1403.5302, Mar.
- Mike Giles & Yuan Xia, 2014, "Multilevel Monte Carlo For Exponential L\'{e}vy Models," Papers, arXiv.org, number 1403.5309, Mar, revised May 2017.
- Pan, Li & Politis, Dimitris N, 2014, "Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt67h5s74t, Jan.
- Abdelkamel Alj & Rajae Azrak & Guy Melard, 2014, "On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-05, Jan.
- Tobias Kley & Stanislav Volgushev & Holger Dette & Marc Hallin, 2014, "Quantile Spectral Processes: Asymptotic Analysis and Inference," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-07, Feb.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014, "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-14, Feb.
- Marta Bañbura & Domenico Giannone & Michèle Lenza, 2014, "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-15, Mar.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014, "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/14, Feb.
- Stephen Pollock, 2014, "Econometric Filters," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 14/07, Mar.
- Jean-François Carpantier, 2014, "Specific Markov-switching behaviour for ARMA parameters," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 14-07.
- Chong, Terence Tai Leung & Yan, Isabel K., 2014, "Estimating and Testing Threshold Regression Models with Multiple Threshold Variables," MPRA Paper, University Library of Munich, Germany, number 54732, Mar.