Report NEP-ETS-2015-12-08This 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.
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 1511.08718, arXiv.org, revised May 2016.
- Andrew Binning & Junior Maih, 2015. "Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models," Working Paper 2015/17, Norges Bank.
- W. Robert Reed & Min Zhu, 2015. "On Estimating Long-Run Effects in Models with Lagged Dependent Variables," Working Papers in Economics 15/18, University of Canterbury, Department of Economics and Finance.
- Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES ECARES 2015-41, ULB -- Universite Libre de Bruxelles.
- Xiu Xu & Andrija Mihoci & Wolfgang Karl Härdle, "undated". "lCARE – localizing Conditional AutoRegressive Expectiles," SFB 649 Discussion Papers SFB649DP2015-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Juodis, Arturas & Sarafidis, Vasilis, 2015. "A Simple Estimator for Short Panels with Common Factors," MPRA Paper 68164, University Library of Munich, Germany.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Large Vector Autoregressions with Asymmetric Priors," Working Papers 759, Queen Mary University of London, School of Economics and Finance.
- Gary Koop & Dimitris Korobilis, 2015. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series 15-35, Rimini Centre for Economic Analysis.
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- 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 15-00013, Vanderbilt University Department of Economics.