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Report NEP-ETS-2015-07-18
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:
- Dong Hwan Oh & Andrew J. Patton, 2015, "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-50, May, DOI: 10.17016/FEDS.2015.050.
- Dong Hwan Oh & Andrew J. Patton, 2015, "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-51, May, DOI: 10.17016/FEDS.2015.051.
- Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015, "In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-083/III, Jul.
- Conrad, Christian & Schienle, Melanie, 2015, "Misspecification Testing in GARCH-MIDAS Models," Working Papers, University of Heidelberg, Department of Economics, number 0597, Jul.
- David Harvey & Stephen Leybourne, 2014, "Confidence sets for the date of a break in level and trend when the order of integration is unknown," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 14/04, Apr.
- Fengler, Matthias R. & Herwartz, Helmut, 2015, "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1517, Jul.
- Nicolas Langren'e & Geoffrey Lee & Zili Zhu, 2015, "Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model," Papers, arXiv.org, number 1507.02847, Jul, revised Mar 2016.
- Ha-Hyun Jo & Yi Seul Eom, 2015, "The Empirical Study on the CDM projects in Korea: with PDD data of 2005¡2015," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2015rwp-80, Jun.