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Report NEP-ETS-2016-05-21
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:
- Du Nguyen, 2016, "An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration," Papers, arXiv.org, number 1604.08677, Apr.
- Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016, "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers, arXiv.org, number 1604.08824, Apr.
- Louis Paulot, 2016, "Unbiased Monte Carlo Simulation of Diffusion Processes," Papers, arXiv.org, number 1605.01998, May.
- Donya Rahmani & Saeed Heravi & Hossein Hassani & Mansi Ghodsi, 2016, "Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula," Papers, arXiv.org, number 1605.02188, May.
- Khizar Qureshi, 2016, "Value-at-Risk: The Effect of Autoregression in a Quantile Process," Papers, arXiv.org, number 1605.04940, Mar.
- Ulrich Hounyo & Silvia Gonçalves & Nour Meddahi, 2016, "Bootstrapping pre-averaged realized volatility under market microstructure noise," CIRANO Working Papers, CIRANO, number 2016s-25, May.
- Mackowiak, Bartosz & Matějka, Filip & Wiederholt, Mirko, 2016, "The Rational Inattention Filter," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11237, Apr.
- Robert Kollmann, 2016, "Tractable Likelihood-Based Estimation of Non-Linear DSGE Models Using Higher-Order Approximations," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2016-15, Mar.
- Item repec:esy:uefcwp:16666 is not listed on IDEAS anymore
- Rinke, Saskia, 2016, "The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-575, Apr.
- Pietro Dallari & Antonio Ribba, 2015, "Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 115, Dec.
- Mario Forni & Luca Gambetti & Luca Sala, 2016, "VAR Information and the Empirical Validation of DSGE Models," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 119, Apr.
- Gouriéroux, Christian & Zakoian, Jean-Michel, 2016, "Local Explosion Modelling by Noncausal Process," MPRA Paper, University Library of Munich, Germany, number 71105, May.
- Annastiina Silvennoinen & Timo Terasvirta, 2015, "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," NCER Working Paper Series, National Centre for Econometric Research, number 108, Oct.
- Ignace De Vos & Gerdie Everaert, 2016, "Bias-Corrected Common Correlated Effects Pooled Estimation In Homogeneous Dynamic Panels," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 16/920, Apr.