Report NEP-ETS-2006-09-16This 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.
The following items were announced in this report:
- Antonio Diez de los Rios & René Garcia, 2006. "Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns," Working Papers 06-31, Bank of Canada.
- Michiel D. de Pooter & Ren� Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute.
- Massimo Franchi, 2006. "A General Representation Theorem for Integrated Vector Autoregressive Processes," Discussion Papers 06-16, University of Copenhagen. Department of Economics.
- Ken-ichi Mitsui & Yoshio Tabata, 2006. "Random Correlation Matrix and De-Noising," Discussion Papers in Economics and Business 06-26, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
- Bruce Mizrach, 2006. "Nonlinear Time Series Analysis," Departmental Working Papers, Rutgers University, Department of Economics 200604, Rutgers University, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
- Alfredo García Hiernaux & José Casals Carro & Miguel Jerez, 2005. "Fast estimation methods for time series models in state-space form," Documentos de Trabajo del ICAE 0504, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Jose Eduardo de A. Ferreira, 2006. "Periodically Collapsing Rational Bubbles in Exchange Rates: A Markov-Switching Analysis for a Sample of Industrialised Markets," Studies in Economics, Department of Economics, University of Kent 0604, Department of Economics, University of Kent.
- Giulietti, Monica & Otero, Jesus & Smith, Jeremy, 2006. "Testing for stationarity in heterogeneous panel data in the presence of cross section dependence," The Warwick Economics Research Paper Series (TWERPS) 758, University of Warwick, Department of Economics.
- Arabinda Basistha, 2005. "Trend-Cycle Correlation, Drift Break and the Estimation of Trend and Cycle in Canadian GDP," Working Papers 05-07 Classification- JEL, Department of Economics, West Virginia University.
- Marco Corazza & A.G. Malliaris & Elisa Scalco, 2006. "Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests," Working Papers 137, Department of Applied Mathematics, UniversitÃ Ca' Foscari Venezia.
- Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian, 2005. "The Decline in German Output Volatility: A Bayesian Analysis," Economics Working Papers 2006,02, Christian-Albrechts-University of Kiel, Department of Economics.