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Report NEP-ETS-2017-02-12
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:
- BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016, "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016041, Nov.
- DESCHAMPS, Philippe J., 2016, "Bayesian Semiparametric Forecasts of Real Interest Rate Data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016050, Nov.
- Jose E. Figueroa-Lopez & K. Lee, 2017, "Estimation of a noisy subordinated Brownian Motion via two-scales power variations," Papers, arXiv.org, number 1702.01164, Feb.
- F. Della Marra, 2017, "A forecasting performance comparison of dynamic factor models based on static and dynamic methods," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2017-ME01.
- Federico Zincenko, 2017, "Alternative moment conditions and an efficient GMM estimator for dynamic panel data models," Working Paper, Department of Economics, University of Pittsburgh, number 6054, Jan.
- Maria Putintseva, 2012, "Mixture Normal Conditional Correlation Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-41, Dec.
- Gianluca Cubadda & Barbara Guardabascio, 2017, "Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model," CEIS Research Paper, Tor Vergata University, CEIS, number 397, Feb, revised 13 Jul 2018.
- Mario Bonino & Matteo Camelia & Paolo Pigato, 2016, "A multivariate model for financial indices and an algorithm for detection of jumps in the volatility," Working Papers, HAL, number hal-01408495, Dec.
- Aknouche, Abdelhakim & Bendjeddou, Sara, 2016, "Negative binomial quasi-likelihood inference for general integer-valued time series models," MPRA Paper, University Library of Munich, Germany, number 76574, Dec, revised 03 Feb 2017.