Report NEP-ETS-2012-12-06

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, Department of Economics and Business Economics, Aarhus University.
• José Manuel Corcuera & Emil Hedevang & Mikko S. Pakkanen & Mark Podolskij, 2012. "Asymptotic theory for Brownian semi-stationary processes with application to turbulence," CREATES Research Papers 2012-52, Department of Economics and Business Economics, Aarhus University.
• Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2012. "Nonlinear Kalman Filtering in Affine Term Structure Models," CREATES Research Papers 2012-49, Department of Economics and Business Economics, Aarhus University.
• Søren Johansen & Morten Ørregaard Nielsen, 2012. "The role of initial values in nonstationary fractional time series models," CREATES Research Papers 2012-47, Department of Economics and Business Economics, Aarhus University.
• Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
• Gribisch, Bastian, 2012. "Multivariate wishart stochastic volatility and changes in regime," Economics Working Papers 2012-14, Christian-Albrechts-University of Kiel, Department of Economics.
• Offick, Sven & Wohltmann, Hans-Werner, 2012. "A terminological note on cyclotomic polynomials and Blaschke matrices," Economics Working Papers 2012-13, Christian-Albrechts-University of Kiel, Department of Economics.
• Item repec:hhs:bofrdp:2012_033 is not listed on IDEAS anymore

• Item repec:hhs:bofism:2012_047 is not listed on IDEAS anymore

• Luis Francisco Rosales & Tatyana Krivobokova, 2012. "Instant Trend-Seasonal Decomposition of Time Series with Splines," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 131, Courant Research Centre PEG.
• Katsiaryna Schwarz & Tatyana Krivobokova, 2012. "A unified framework for spline estimators," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 130, Courant Research Centre PEG.
• Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012. "The Selection of ARIMA Models with or without Regressors," Discussion Papers 12-17, University of Copenhagen. Department of Economics.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
• Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
• Stelios Arvanitis & Antonis Demos, 2012. "Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations," DEOS Working Papers 1229, Athens University of Economics and Business, revised 24 Aug 2012.
• Neil R. Ericsson & Erica L. Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," Working Papers 2012-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.