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Report NEP-ETS-2014-09-29
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:
- Javier Gómez Biscarri & Javier Hualde, 2014, "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1439, Sep.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-29, Aug.
- Roberto Leon-Gonzalez, 2014, "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 14-12, Sep.
- Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2014, "Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas," DEOS Working Papers, Athens University of Economics and Business, number 1409, Sep.
- Tae-Hwy Lee & Huiyu Huang, 2014, "Forecasting Realized Volatility Using Subsample Averaging," Working Papers, University of California at Riverside, Department of Economics, number 201410, Sep.
- Aman Ullah & Yong Bao & Ru Zhang, 2014, "Moment Approximation for Unit Root Models with Nonnormal Errors," Working Papers, University of California at Riverside, Department of Economics, number 201401, Sep.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013, "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Post-Print, HAL, number halshs-00803450, Feb.
- Martinet, G.G. & McAleer, M.J., 2014, "On the Invertibility of EGARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2014-22, Jul.
- Søren Johansen & Bent Nielsen, 2014, "Outlier detection algorithms for least squares time series regression," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2014-W04, Sep.
- Bloechl, Andreas, 2014, "Penalized Splines, Mixed Models and the Wiener-Kolmogorov Filter," Discussion Papers in Economics, University of Munich, Department of Economics, number 21406.