NEP-ETS-2009-06-03

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Report NEP-ETS-2009-06-03

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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Other reports in NEP-ETS

The following items were anounced in this report:

Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers 2009-21, School of Economics and Management, University of Aarhus. [Downloadable!]
Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009. "Stochastic volatility of volatility in continuous time," CREATES Research Papers 2009-25, School of Economics and Management, University of Aarhus. [Downloadable!]
Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, School of Economics and Management, University of Aarhus. [Downloadable!]
Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, School of Economics and Management, University of Aarhus. [Downloadable!]
Huiyu Huang & Tae-Hwy Lee, 2006. "To Combine Forecasts or to Combine Information?," Working Papers 200806, University of California at Riverside, Department of Economics, revised Feb 2009. [Downloadable!]
Gloria GonzÃ¡lez-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008. [Downloadable!]
Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : frrom GARCH to Multi-Horizon Cascades," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00390636_v1, HAL. [Downloadable!]
Patrick GAGLIARDINI & Christian GOURIEROUX, 2008. "Efficiency in Large Dynamic Panel Models with Common Factor," Swiss Finance Institute Research Paper Series 09-12, Swiss Finance Institute, revised Mar 2009. [Downloadable!]
James Morley & Tara M. Sinclair, 2008. "Bootstrap Tests of Stationarity¢Ó," Working Papers 2008-11, The George Washinton University, Department of Economics, Research Program on Forecasting. [Downloadable!]
Groen, Jan J J & Kapetanios, George & Price, Simon, 2009. "Multivariate methods for monitoring structural change," Bank of England working papers 369, Bank of England. [Downloadable!]

This page was last updated on 2009-11-29.

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