NEP-ETS-2007-09-09

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Report NEP-ETS-2007-09-09

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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The following items were anounced in this report:

Andersson, Jonas, 2007. "On the estimation of correlations for irregularly spaced time series," Discussion Papers 2007/19, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and inference for a Markov switching Garch model," Cahiers de recherche 07-09, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-507, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," CIRJE F-Series CIRJE-F-514, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," SFB 649 Discussion Papers SFB649DP2007-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2007. "Bayesian Inference in a Cointegrating Panel Data Model," Working Paper Series 02-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]

This page was last updated on 2008-7-20.

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