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Report NEP-ETS-2014-05-17
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:
- Li-Xin Wang, 2014, "Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market," Papers, arXiv.org, number 1405.2220, May.
- Xiangyi Meng & Jian-Wei Zhang & Hong Guo, 2014, "Quantum Brownian motion model for the stock market," Papers, arXiv.org, number 1405.3512, May, revised Nov 2015.
- Fernandes, Marcelo & Preumont, Pierre-Yves, 2014, "The finite-sample size of the BDS test for GARCH standardized residuals," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 361, May.
- Item repec:gmf:wpaper:2014-10. is not listed on IDEAS anymore
- Liu, Xiaochun, 2013, "Markov-Switching Quantile Autoregression," MPRA Paper, University Library of Munich, Germany, number 55800, Oct.
- Mapa, Dennis S. & Paz, Nino Joseph I. & Eustaquio, John D. & Mindanao, Miguel Antonio C., 2014, "Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model," MPRA Paper, University Library of Munich, Germany, number 55861.
- Albis, Manuel Leonard F. & Mapa, Dennis S., 2014, "Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models," MPRA Paper, University Library of Munich, Germany, number 55902.