Report NEP-ETS-2013-11-29
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.
Other reports in NEP-ETS
The following items were announced in this report:
- G. Kavitha & A. Udhayakumar & D. Nagarajan, 2013. "Stock Market Trend Analysis Using Hidden Markov Models," Papers 1311.4771, arXiv.org.
- Geon Ho Choe & Kyungsub Lee, 2013. "Conditional correlation in asset return and GARCH intensity model," Papers 1311.4977, arXiv.org.
- R'emy Chicheportiche & Anirban Chakraborti, 2013. "Copulas and time series with long-ranged dependences," Papers 1311.5101, arXiv.org.
- Samuel N. Cohen & Robert J. Elliott, 2013. "Filters and smoothers for self-exciting Markov modulated counting processes," Papers 1311.6257, arXiv.org.
- Item repec:cep:stiecm:/2013/567 is not listed on IDEAS anymore
- Anton Skrobotov, 2013. "On GLS-detrending for deterministic seasonality testing," Working Papers 0073, Gaidar Institute for Economic Policy, revised 2014.
- Anton Skrobotov, 2013. "Local Structural Trend Break in Stationarity Testing," Working Papers 0074, Gaidar Institute for Economic Policy, revised 2013.
- Item repec:hhs:bofrdp:2013_026 is not listed on IDEAS anymore
- Chang-Jin Kim & Jaeho Kim, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," Discussion Paper Series 1306, Institute of Economic Research, Korea University.
- Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2013. "Volatility co-movements: a time scale decomposition analysis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13111, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
- Xiaohu Wang & Jun Yu, 2013. "Limit Theory for an Explosive Autoregressive Process," Working Papers 08-2013, Singapore Management University, School of Economics.