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Report NEP-ETS-2014-09-05
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:
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014, "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-22, Aug.
- Ladislav Kristoufek, 2014, "Spectrum-based estimators of the bivariate Hurst exponent," Papers, arXiv.org, number 1408.6637, Aug, revised Nov 2014.
- Joscha Beckmann & Rainer Schüssler, 2014, "Forecasting Exchange Rates under Model and Parameter Uncertainty," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3214, Aug.
- Kusdhianto Setiawan & Koichi Maekawa, 2014, "Estimation Of Vector Error Correction Model With Garch Errors: Monte Carlo Simulation And Applications," EcoMod2014, EcoMod, number 7002, Jul.
- Hyeon-Seung Huh & Lance Fisher & Adrian Pagan, 2014, "Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables," EcoMod2014, EcoMod, number 7225, Jul.
- Koop, Gary & Korobilis, Dimitris, 2014, "Model Uncertainty in Panel Vector Autoregressive Models," MPRA Paper, University Library of Munich, Germany, number 58131.
- Florian Huber, 2014, "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp179, Jul.