Report NEP-ETS-2014-05-09

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Federico Carlini & Katarzyna Lasak, 2014. "On an Estimation Method for an Alternative Fractionally Cointegrated Model," CREATES Research Papers 2014-15, Department of Economics and Business Economics, Aarhus University.
• Mario Bonino & Matteo Camelia & Paolo Pigato, 2014. "A multivariate model for financial indices and an algorithm for detection of jumps in the volatility," Papers 1404.7632, arXiv.org, revised Dec 2016.
• Hajo Holzmann & Matthias Eulert, 2014. "The role of the information set for forecasting - with applications to risk management," Papers 1404.7653, arXiv.org.
• Stefan Skowronek & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ecares 2014-24, ULB -- Universite Libre de Bruxelles.
• Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
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• Bin Chen & Yongmiao Hong, 2013. "Detecting for Smooth Structural Changes in GARCH Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Bin Chen & Yongmiao Hong, 2013. "A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.