Printed from https://ideas.repec.org/n/nep-ets/2015-05-30.html
Report NEP-ETS-2015-05-30
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:
- Item repec:cep:stiecm:583 is not listed on IDEAS anymore
- Item repec:cep:stiecm:581 is not listed on IDEAS anymore
- Clifford Lam & Pedro Souza, 2014, "Regularization for Spatial Panel Time Series Using the Adaptive LASSO," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 578, Nov.
- Javier Hidalgo & Jungyoon Lee, 2014, "A Cusum Test of Common Trends in Large Heterogeneous Panels," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 576, Aug.
- Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015, "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers, arXiv.org, number 1505.05256, May, revised Mar 2016.
- Prados de la Escosura, Leandro, 2015, "Human Development as Positive Freedom : Latin America in Historical Perspective," IFCS - Working Papers in Economic History.WH, Universidad Carlos III de Madrid. Instituto Figuerola, number wp15-04, May.
- Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2015, "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," MPRA Paper, University Library of Munich, Germany, number 64503.
- Item repec:qmw:qmwecw:wp746 is not listed on IDEAS anymore
- Andrew Binning & Junior Maih, 2015, "Sigma point filters for dynamic nonlinear regime switching models," Working Paper, Norges Bank, number 2015/10, May.
- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2015, "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-975, May.
- Roman Horváth & Boril Sopov, 2015, "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/09, May, revised May 2015.
- Peresetsky, Anatoly & Yakubov, Ruslan, 2015, "Autocorrelation in an unobservable global trend: Does it help to forecast market returns?," MPRA Paper, University Library of Munich, Germany, number 64579.
- Robert Engle & Emil Siriwardane, 2014, "Structural GARCH: The Volatility-Leverage Connection," Working Papers, Office of Financial Research, US Department of the Treasury, number 14-07, Oct.