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Report NEP-ETS-2015-12-08
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:
- Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015, "Full and fast calibration of the Heston stochastic volatility model," Papers, arXiv.org, number 1511.08718, Nov, revised May 2016.
- Andrew Binning & Junior Maih, 2015, "Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models," Working Paper, Norges Bank, number 2015/17, Dec.
- W. Robert Reed & Min Zhu, 2015, "On Estimating Long-Run Effects in Models with Lagged Dependent Variables," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/18, Nov.
- Yves Dominicy & Harry-Paul Vander Elst, 2015, "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-41, Nov.
- Item repec:hum:wpaper:sfb649dp2015-052 is not listed on IDEAS anymore
- Juodis, Arturas & Sarafidis, Vasilis, 2015, "A Simple Estimator for Short Panels with Common Factors," MPRA Paper, University Library of Munich, Germany, number 68164, Nov.
- Item repec:qmw:qmwecw:wp759 is not listed on IDEAS anymore
- Gary Koop & Dimitris Korobilis, 2015, "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series, Rimini Centre for Economic Analysis, number 15-35, Sep.
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015, "Large Bayesian VARMAs," Working Paper series, Rimini Centre for Economic Analysis, number 15-36, Sep.
- Mototsugu Shintani & Zi-yi Guo, 2015, "Improving the Finite Sample Performance of Autoregression Estimators in Dynamic Factor Models: A Bootstrap Approach," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 15-00013, Dec.