Report NEP-ETS-2015-07-18

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:

• Dong Hwan Oh & Andrew J. Patton, 2015. "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series 2015-50, Board of Governors of the Federal Reserve System (U.S.).
• Dong Hwan Oh & Andrew J. Patton, 2015. "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series 2015-51, Board of Governors of the Federal Reserve System (U.S.).
• Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015. "In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models," Tinbergen Institute Discussion Papers 15-083/III, Tinbergen Institute.
• Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Working Papers 0597, University of Heidelberg, Department of Economics.
• David Harvey & Stephen Leybourne, 2014. "Confidence sets for the date of a break in level and trend when the order of integration is unknown," Discussion Papers 14/04, University of Nottingham, Granger Centre for Time Series Econometrics.
• Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
• Nicolas Langren'e & Geoffrey Lee & Zili Zhu, 2015. "Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model," Papers 1507.02847, arXiv.org, revised Mar 2016.
• Ha-Hyun Jo & Yi Seul Eom, 2015. "The Empirical Study on the CDM projects in Korea: with PDD data of 2005¡­2015," Working papers 2015rwp-80, Yonsei University, Yonsei Economics Research Institute.