NEP-ETS-2009-06-17

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Report NEP-ETS-2009-06-17

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:

Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Working Paper Series 11-09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]
Carlos Llano & Wolfgang Polasek & Richard Sellner, 2009. "Bayesian Methods For Completing Data In Space-Time Panel Models," Working Paper Series 05-09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]
Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Documents de travail du Centre d'Economie de la Sorbonne 09036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
Peter C.B. Phillips & Liangjun Su, 2009. "Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor," Cowles Foundation Discussion Papers 1702, Cowles Foundation, Yale University. [Downloadable!]
Jin Seo Cho & Chirok Han & Peter C.B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Cowles Foundation Discussion Papers 1703, Cowles Foundation, Yale University. [Downloadable!]
Ioannis Kasparis & Peter C.B. Phillips, 2009. "Dynamic Misspecification in Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1700, Cowles Foundation, Yale University. [Downloadable!]
Peter C.B. Phillips & Liangjun Su, 2009. "A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression," Cowles Foundation Discussion Papers 1704, Cowles Foundation, Yale University. [Downloadable!]
Chirok Han & Jin Seo Cho & Peter C.B. Phillips, 2009. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Cowles Foundation Discussion Papers 1701, Cowles Foundation, Yale University. [Downloadable!]
Proietti, Tommaso & Luati, Alessandra, 2009. "Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences," MPRA Paper 15510, University Library of Munich, Germany. [Downloadable!]

This page was last updated on 2009-11-22.

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