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Report NEP-ETS-2015-11-21
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:
- Shin Kanaya, 2015, "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-50, Nov.
- Tommaso Proietti, 2015, "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-51, Jun.
- Matyas Barczy & Balazs Nyul & Gyula Pap, 2015, "Least squares estimation for the subcritical Heston model based on continuous time observations," Papers, arXiv.org, number 1511.05948, Nov, revised Aug 2018.
- Tamara Burdisso & Máximo Sangiácomo, 2015, "Panel Time Series. Review of the Methodological Evolution," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201568, Nov.
- Jair N. Ojeda-Joya & Oscar Jaulin-Mendez & Juan C. Bustos-Peláez, 2015, "The Interdependence between Commodity-Price and GDP Cycles: A Frequency Domain Approach," Borradores de Economia, Banco de la Republica de Colombia, number 913, Nov, DOI: 10.32468/be.913.
- , , "," IPEK Working Papers, Ipek University, Department of Economics, number 1509.
- Boriss Siliverstovs, 2015, "Dissecting Models' Forecasting Performance," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 15-397, Nov, DOI: 10.3929/ethz-a-010692101.
- Karol Szafranek, 2015, "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," NBP Working Papers, Narodowy Bank Polski, number 213.
- Gerlach, R & Sutton, M & Vasnev, A, 2015, "Generalized Variance: A Robust Estimator of Stock Price Volatility," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-02, Apr.
- Hill, Jonathan B. & Prokhorov, Artem, 2015, "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-03, Sep.
- Hill, Jonathan B. & Prokhorov, Artem, 2015, "Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-04, Sep.
- Gerlach, Richard & Wang, Chao, 2015, "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-07, Sep.
- Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015, "Semi-Parametric Seasonal Unit Root Tests," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 72.
- Tomás del Barrio Castro & Andrii Bodnar & Andreu Sansó Rosselló, 2015, "Numerical Distribution Functions for Seasonal Unit Root Tests with OLS and GLS Detrending," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 73.
- Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2015, "A data-cleaning augmented Kalman filter for robust estimation of state space models," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 13-2015.