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Report NEP-ETS-2016-07-09
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:
- Michal Franta, 2016, "Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/05, Jun.
- Jianbin Wu & Geert Dhaene, 2016, "Sparse multivariate GARCH," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number 544324, Jun.
- Geert Dhaene & Jianbin Wu, 2016, "Mixed-frequency multivariate GARCH," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number 544330, Jun.
- Geert Dhaene & Piet Sercu & Jianbin Wu, 2016, "The risk-return tradeoff in international stock markets: one-step multivariate GARCH-M estimation with many assets," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number 544332, Jun.
- Scott Brave & R. Andrew Butters & Alejandro Justiniano, 2016, "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2016-5, May.
- Fengler, Matthias R. & Herwartz, Helmut, 2015, "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 72197, Mar, revised 10 Jun 2016.
- Jack Fosten, 2016, "Forecast evaluation with factor-augmented models," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2016-05, Jan.
- Jack Fosten, 2016, "Model selection with factors and variables," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2016-07, Mar.
- Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016, "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance, University of St. Gallen, School of Finance, number 1613, Jun.