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8 documents matched the search for the 2016-12-18 issue of the NEP report on Econometric Time Series (nep-ets), currently edited by Jaqueson K. Galimberti.
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Estimation of the global regularity of a multifractional Brownian motion,
Joachim Lebovits and Mark Podolskij, from Department of Economics and Business Economics, Aarhus University (2016)
Keywords: consistency, Hurst parameter, multifractional Brownian motion, power variation
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Variance targeting estimation of the BEKK-X model,
Le Quyen Thieu, from University Library of Munich, Germany (2016)
Keywords: BEKK model augmented with exogenous variables, BEKK-X model, Variance targeting estimation (VTE)
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Forecasting the equity risk premium with frequency-decomposed predictors,
Gonçalo Faria and Fabio Verona, from Católica Porto Business School, Universidade Católica Portuguesa (2016)
Keywords: predictability, equity risk premium, frequency domain, discrete wavelets
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IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models,
Offer Lieberman and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2016)
Keywords: Autoregression, Diffusion; Similarity, Stochastic unit root, Time-varying coefficients
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Equation by equation estimation of the semi-diagonal BEKK model with covariates,
Le Quyen Thieu, from University Library of Munich, Germany (2016)
Keywords: BEKK-X, Equation by equation estimation, exogenous variables, covariates, semi-diagonal BEKK-X
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Testing for Symmetry in Weakly Dependent Time Series,
Luke Hartigan, from School of Economics, The University of New South Wales (2016)
Keywords: Symmetry; Weak dependence; Hypothesis testing; Monte Carlo simulation; Business cycle asymmetry
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When is Nonfundamentalness in SVARs A Real Problem?,
Paul Beaudry, Patrick Fève, Alain Guay and Franck Portier, from Toulouse School of Economics (TSE) (2016)
Keywords: Non-Fundamentalness; Business Cycles; SVARs; News
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Adaptive models and heavy tails with an application to inflation forecasting,
Davide Delle Monache and Ivan Petrella, from Birkbeck Centre for Applied Macroeconomics (2016)
Keywords: adaptive algorithms, inflation, score-driven models, student-t, time-varying parameters.
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