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Report NEP-ETS-2015-02-22
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:
- Johan Dahlin & Fredrik Lindsten & Thomas B. Schon, 2015, "Quasi-Newton particle Metropolis-Hastings," Papers, arXiv.org, number 1502.03656, Feb, revised Sep 2015.
- Item repec:hum:wpaper:sfb649dp2015-008 is not listed on IDEAS anymore
- Ricardo Crisostomo, 2015, "An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," Papers, arXiv.org, number 1502.02963, Feb, revised Mar 2015.
- Nikolaos Halidias & Ioannis Stamatiou, 2015, "Approximating explicitly the mean reverting CEV process," Papers, arXiv.org, number 1502.03018, Feb, revised May 2015.
- Malefaki, Valia, 2015, "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper, University Library of Munich, Germany, number 62216, Jan.
- Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2014, "Testing for Panel Cointegration using Common Correlated Effects Estimators," Discussion Papers, Department of Economics, University of Birmingham, number 15-02, Dec.
- Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015, "Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models," Papers, arXiv.org, number 1502.05442, Feb, revised Feb 2017.
- Tomasz Skoczylas, 2015, "Bivariate GARCH models for single asset returns," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2015-03.
- Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014, "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100597.
- Wagner, Martin & Wied, Dominik, 2014, "Monitoring Stationarity and Cointegration," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100386.
- Biqing Cai & Jiti Gao & Dag Tjostheim, 2015, "A New Class of Bivariate Threshold Cointegration Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/15.