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Report NEP-ETS-2014-06-14
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:
- Andrew Papanicolaou, 2014, "Stochastic Analysis Seminar on Filtering Theory," Papers, arXiv.org, number 1406.1936, Jun, revised Oct 2016.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014, "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 753, Jun.
- Alexander Chudik & M. Hashem Pesaran, 2014, "Theory and practice of GVAR modeling," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 180, May, DOI: 10.24149/gwp180.
- Yamamoto, Yohei & 山本, 庸平, 2014, "A Modified Confidence Set for the Structural Break Date in Linear Regression Models," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2014-08, May.
- Rob J Hyndman & Alan Lee & Earo Wang, 2014, "Fast computation of reconciled forecasts for hierarchical and grouped time series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/14.
- Yuanhua Feng & Chen Zhou, 2013, "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 59, Apr.
- Yuanhua Feng, 2013, "Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 65, Aug.
- Eric Ghysels & J. Isaac Miller, 2014, "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Working Papers, Department of Economics, University of Missouri, number 1403, Jan.