#Econometrics – Working papers (#RePEc, 21/04/2014)


Source: RePEc – EconPapers

Noncausal Bayesian Vector Autoregression
Markku Lanne and Jani Luoto 
School of Economics and Management, University of …
Keywords: Noncausal time series, non-Gaussian time series, Bayesian analysis, New Keynesian model
JEL-code: C11 C32 E31
Created/Revised: 2014Downloads

Matrix Box-Cox Models for Multivariate Realized Volatility
Roland Weigand 
University of Regensburg, Department of Economics
Keywords: Realized covariance matrix; dynamic correlation; semiparametric estimation; density forecasting
JEL-code: C14 C32 C51 C53 C58
Created/Revised: 2014-03Downloads

Reduced-rank time-varying vector autoregressions
Joris de Wind and Luca Gambetti 
CPB Netherlands Bureau for Economic Policy Analysi…
JEL-code: C52 C53 E37
Created/Revised: 2014-03Downloads

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Manabu Asai and Michael McAleer 
University of Canterbury, Department of Economics …
Keywords: Dimension reduction; Factor Model; Multivariate Stochastic Volatility; Leverage Effects; Long Memory…
JEL-code: C32 C53 C58 G17
Created/Revised: 2014-03-17Downloads

On uniqueness of moving average representations of heavy-tailed stationary processes
Christian Gouriéroux and Jean-Michel Zakoian 
University Library of Munich, Germany
Keywords: $\alpha$-stable distribution; Domain of attraction; Infinite moving average; Linear process; Mixed c…
JEL-code: C14 C22 C32
Created/Revised: 2014-03-31Downloads

The seasonal KPSS Test: some extensions and further results
Ghassen El Montasser 
University Library of Munich, Germany
Keywords: KPSS test, deterministic seasonality, Brownian motion, LM test
JEL-code: C32
Created/Revised: 2014-03-10Downloads

Theoretical guidelines for a partially informed forecast examiner
Alexander Tsyplakov 
University Library of Munich, Germany
Keywords: probabilistic forecast; forecast calibration; moment condition; probability integral transform; orth…
JEL-code: C52 C53
Created/Revised: 2014-04-02Downloads

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