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Report NEP-ETS-2014-10-03
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:
- Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014, "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory, number 2014-05, Aug.
- Roberto Leon-Gonzalez, 2014, "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," Working Paper series, Rimini Centre for Economic Analysis, number 19_14, Sep.
- Aman Ullah & Yong Bao & Yun Wang, 2014, "Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process," Working Papers, University of California at Riverside, Department of Economics, number 201413, Sep.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014, "Exploiting the monthly data flow in structural forecasting," Bank of England working papers, Bank of England, number 509, Sep.
- Leschinski, Christian & Sibbertsen, Philipp, 2014, "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-535, Sep.
- Arnaud Dufays, 2014, "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research, National Bank of Belgium, number 263, Sep.
- Badi Baltagi & Chihwa Kao & Long Liu, 2014, "Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 170, Jul.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014, "Rolling window selection for out-of-sample forecasting with time-varying parameters," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1435, Jun, revised Apr 2016.