Report NEP-ETS-2014-08-09
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:
- Peter Martey Addo, 2014. "Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input," Papers 1407.7738, arXiv.org.
- Tetsuya Takaishi, 2014. "Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm," Papers 1408.0981, arXiv.org.
- Marek Jarocinski & Albert Marcet, 2014. "Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition," Working Papers 776, Barcelona School of Economics.
- Minford, Patrick & Xu, Yongdeng & Zhou, Peng, 2014. "How good are out of sample forecasting Tests on DSGE models?," Cardiff Economics Working Papers E2014/11, Cardiff University, Cardiff Business School, Economics Section.
- P. Bertuccelli & M. Mucciardi & E. Otranto, 2014. "Spatial Effects in Dynamic Conditional Correlations," Working Paper CRENoS 201406, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Christian Gouriéroux & Joann Jasiak, 2014. "Filtering and Prediction in Noncausal Processes," Working Papers 2014-15, Center for Research in Economics and Statistics.
- Mák, Fruzsina, 2014. "Analyzing interrelated stochastic trend and seasonality on the example of energy trading data," Corvinus Economics Working Papers (CEWP) 2014/09, Corvinus University of Budapest.
- Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2014. "Variance targeting estimation of multivariate GARCH models," MPRA Paper 57794, University Library of Munich, Germany.