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Report NEP-ETS-2014-12-03
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:
- Wang, Luya & Li, Kunpeng & Wang, Zhengwei, 2014, "Quasi maximum likelihood estimation for simultaneous spatial autoregressive models," MPRA Paper, University Library of Munich, Germany, number 59901, Nov.
- Chao, Wang & Richard, Gerlach, 2014, "Forecasting risk via realized GARCH, incorporating the realized range," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2014-06, Nov.
- Jing Zeng, 2014, "Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2014-20, Sep.
- Jozef Baruník & Frantisek Cech, 2014, "On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/23, Aug, revised Aug 2014.
- Jozef Baruník & Lucie Kraicová, 2014, "Estimation of Long Memory in Volatility Using Wavelets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/33, Sep, revised Sep 2014.
- Jerome Lahaye & Christopher J. Neely, 2014, "The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited," Working Papers, Federal Reserve Bank of St. Louis, number 2014-034, Oct, DOI: 10.20955/wp.2014.034.
- Yuta Kurose & Yasuhiro Omori, 2014, "Dynamic Equicorrelation Stochastic Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-941, Sep.
- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014, "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-938, Aug.
- Simone D. Grose & Gael M. Martin & D.S. Poskitt, 2014, "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/14.