Report NEP-ETS-2014-04-05

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:

• Markku Lanne & Jani Luoto, 2014. "Noncausal Bayesian Vector Autoregression," CREATES Research Papers 2014-07, Department of Economics and Business Economics, Aarhus University.
• Michele Caivano & Andrew Harvey, 2014. "Two EGARCH models and one fat tail," Temi di discussione (Economic working papers) 954, Bank of Italy, Economic Research and International Relations Area.
• Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
• Joris de Wind & Luca Gambetti, 2014. "Reduced-rank time-varying vector autoregressions," CPB Discussion Paper 270, CPB Netherlands Bureau for Economic Policy Analysis.
• Gouriéroux, Christian & Zakoian, Jean-Michel, 2014. "On uniqueness of moving average representations of heavy-tailed stationary processes," MPRA Paper 54907, University Library of Munich, Germany.
• El Montasser, Ghassen, 2014. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 54920, University Library of Munich, Germany.