Report NEP-ETS-2013-11-16

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:

• Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CREATES Research Papers 2013-32, Department of Economics and Business Economics, Aarhus University.
• Mark Podolskij & Nakahiro Yoshida, 2013. "Edgeworth expansion for functionals of continuous diffusion processes," CREATES Research Papers 2013-33, Department of Economics and Business Economics, Aarhus University.
• Tommaso Proietti & Alessandra Luati, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," CREATES Research Papers 2013-34, Department of Economics and Business Economics, Aarhus University.
• Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," CREATES Research Papers 2013-35, Department of Economics and Business Economics, Aarhus University.
• Juan Luis Lopez & Jesus Guillermo Contreras, 2013. "Performance of multifractal detrended fluctuation analysis on short time series," Papers 1311.2278, arXiv.org.
• Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2013. "Short-term forecasting for empirical economists. A survey of the recently proposed algorithms," Working Papers 1318, Banco de España.
• Dimitrios D. Thomakos & Konstantinos Nikolopoulos, 2013. "Forecasting multivariate time series with the Theta Method," Working Papers 13004, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
• Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto, revised 2015.
• Jarociński, Marek & Maćkowiak, Bartosz, 2013. "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series 1600, European Central Bank.
• Item repec:ehu:biltok:10862 is not listed on IDEAS anymore

• Xibin Zhang & Maxwell L. King, 2013. "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers 19/13, Monash University, Department of Econometrics and Business Statistics.
• Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013. "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers 21/13, Monash University, Department of Econometrics and Business Statistics.
• Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
• Kim, Chang-Jin & Kim, Jaeho, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," MPRA Paper 51117, University Library of Munich, Germany.
• Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
• Yuta Kurose & Yasuhiro Omori, 2013. "Dynamic Equicorrelation Stochastic Volatility," CIRJE F-Series CIRJE-F-907, CIRJE, Faculty of Economics, University of Tokyo.
• Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series 1332, University of St. Gallen, School of Economics and Political Science.
• Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".