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Report NEP-ETS-2014-11-07
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:
- Contino, Christian & Gerlach, Richard, 2014, "Bayesian Tail Risk Forecasting using Realised GARCH," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2014-05, Oct.
- Ulrich Hounyo, 2014, "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-35, Oct.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2014, "Estimating Dynamic Equilibrium Models with Stochastic Volatility," Working Papers, FEDEA, number 2014-11, Oct.
- Todd E. Clark & Michael W. McCracken, 2014, "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1413, Oct, DOI: 10.26509/frbc-wp-201413.
- Johannes Mayr & Dirk Ulbricht, 2014, "Log versus Level in VAR Forecasting: 42 Million Empirical Answers - Expect the Unexpected," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1412.
- Gary Koop & Dimitris Korobilis, 2014, "Model uncertainty in panel vector autoregressive models," Working Papers, Business School - Economics, University of Glasgow, number 2014_10, Aug.
- Matthieu Garcin & Dominique Guegan, 2013, "Probability density of the wavelet coefficients of a noisy chaos," Post-Print, HAL, number hal-00800997, Jan.
- Giacomo Sbrana & Andrea Silvestrini, 2014, "Random switching exponential smoothing and inventory forecasting," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 971, Jul.
- Michael P. Clements, 2014, "Real-Time Factor Model Forecasting and the Effects of Instability," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-05, May.
- Igor Kheifets, 2014, "Specification Tests for Nonlinear Dynamic Models," Working Papers, Center for Economic and Financial Research (CEFIR), number w0209, Oct.