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Report NEP-ETS-2016-02-23
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:
- Michael Ho & Jack Xin, 2016, "Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps," Papers, arXiv.org, number 1602.02185, Feb, revised Apr 2016.
- Leopoldo Catania & Anna Gloria Bill'e, 2016, "Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," Papers, arXiv.org, number 1602.02542, Feb, revised Jan 2023.
- Vikram Krishnamurthy & Elisabeth Leoff & Jorn Sass, 2016, "Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models," Papers, arXiv.org, number 1602.05323, Feb.
- Stavros Stavroyiannis, 2016, "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers, arXiv.org, number 1602.05749, Feb.
- Sentana, Enrique & Galesi, Alessandro, 2015, "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10417, Feb.
- Marín Díazaraque, Juan Miguel & Rodríguez-Bernal, M. T. & Romero, E., 2016, "ABC and Hamiltonian Monte-Carlo methods in COGARCH models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws1601, Jan.
- Aknouche, Abdelhakim, 2013, "Periodic autoregressive stochastic volatility," MPRA Paper, University Library of Munich, Germany, number 69571, Jun, revised 2015.
- Barunik, Jozef & Krehlik, Tomas, 2016, "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 54.
- Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016, "Modeling and forecasting exchange rate volatility in time-frequency domain," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 55.