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Report NEP-ETS-2018-02-19
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:
- Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper, University Library of Munich, Germany, number 83988, Jan.
- Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel, 2018, "Functional GARCH models: the quasi-likelihood approach and its applications," MPRA Paper, University Library of Munich, Germany, number 83990, Jan.
- Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018, "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper, University Library of Munich, Germany, number 83893, Jan.
- Riccardo Lucchetti & Claudia Pigini, 2018, "Dynamic panel probit: finite-sample performance of alternative random-effects estimators," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 426, Feb.
- Manabu Asai & Michael McAleer, 2018, "Bayesian analysis of realized matrix-exponential GARCH models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-04, Jan.
- Chen Zhou, 2018, "A comparison study of realized kernels using different sampling frequencies," Working Papers Dissertations, Paderborn University, Faculty of Business Administration and Economics, number 30, Apr.
- Mohitosh Kejriwal, 2017, "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1303, Dec.
- Item repec:eea:boewps:wp2018-2 is not listed on IDEAS anymore
- Christophe Chesneau & Salima El Kolei & Fabien Navarro, 2017, "Parametric estimation of hidden Markov models by least squares type estimation and deconvolution," Working Papers, Center for Research in Economics and Statistics, number 2017-66, 09.
- Koop, G & Korobilis, D, 2018, "Forecasting with High-Dimensional Panel VARs," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 21329, Jan.