Report NEP-ETS-2014-11-07

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:

• Contino, Christian & Gerlach, Richard, 2014. "Bayesian Tail Risk Forecasting using Realised GARCH," Working Papers 2014-05, University of Sydney Business School, Discipline of Business Analytics.
• Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
• Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2014. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," Working Papers 2014-11, FEDEA.
• Todd E. Clark & Michael W. McCracken, 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers (Old Series) 1413, Federal Reserve Bank of Cleveland.
• Johannes Mayr & Dirk Ulbricht, 2014. "Log versus Level in VAR Forecasting: 42 Million Empirical Answers - Expect the Unexpected," Discussion Papers of DIW Berlin 1412, DIW Berlin, German Institute for Economic Research.
• Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 2014_10, Business School - Economics, University of Glasgow.
• Matthieu Garcin & Dominique Guegan, 2013. "Probability density of the wavelet coefficients of a noisy chaos," Post-Print hal-00800997, HAL.
• Giacomo Sbrana & Andrea Silvestrini, 2014. "Random switching exponential smoothing and inventory forecasting," Temi di discussione (Economic working papers) 971, Bank of Italy, Economic Research and International Relations Area.
• Michael P. Clements, 2014. "Real-Time Factor Model Forecasting and the Effects of Instability," ICMA Centre Discussion Papers in Finance icma-dp2014-05, Henley Business School, University of Reading.
• Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, Center for Economic and Financial Research (CEFIR).