Report NEP-ETS-2008-07-30This 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:
- Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," Working Papers 1173, Queen's University, Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood inference for a nonstationary fractional autoregressive model," Working Papers 1172, Queen's University, Department of Economics.
- Morten Ørregaard Nielsen, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 1175, Queen's University, Department of Economics.
- Morten Ørregaard Nielsen, 2008. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," Working Papers 1174, Queen's University, Department of Economics.
- Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics.
- Spanos, Aris, 2008. "The 'Pre-Eminence of Theory' versus the 'General-to-Specific' Cointegrated VAR Perspectives in Macro-Econometric Modeling," Economics Discussion Papers 2008-25, Kiel Institute for the World Economy.
- Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.
- Karim M. Abadir & Gabriel Talmain & Giovanni Caggiano, 2008. "Nelson-Plosser revisited: the ACF approach," Working Paper Series 18-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
- Steve Lawford & Michalis P. Stamatogiannis, 2008. "The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators," Working Paper Series 13-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
- Dimitrios D. Thomakos, 2008. "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Paper Series 14-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
- Shiyi Chen & Kiho Jeong & Wolfgang K. Härdle, 2008. "Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns," SFB 649 Discussion Papers SFB649DP2008-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Item repec:pra:mprapa:9725 is not listed on IDEAS anymore