Report NEP-ETS-2012-07-14

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:

• Eric Hillebrand & Marcelo C. Medeiros, 2012. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," CREATES Research Papers 2012-30, Department of Economics and Business Economics, Aarhus University.
• Eric Hillebrand & Marcelo C. Medeiros & Junyue Xu, 2012. "Asymptotic Theory for Regressions with Smoothly Changing Parameters," CREATES Research Papers 2012-31, Department of Economics and Business Economics, Aarhus University.
• Mark J Jensen & John M Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Papers tecipa-458, University of Toronto, Department of Economics.
• Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2012. "Markov-switching dynamic factor models in real time," Working Papers 1205, Banco de España.
• Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series 2012-45, Board of Governors of the Federal Reserve System (U.S.).