NEP-ETS-2009-07-03

This file is part of IDEAS, which uses RePEc data

Report NEP-ETS-2009-07-03

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:

Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, School of Economics and Management, University of Aarhus. [Downloadable!]
Ted Juhl & Zhijie Xiao, 2009. "Tests for Changing Mean with Monotonic Power," Boston College Working Papers in Economics 709, Boston College Department of Economics. [Downloadable!]
Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics. [Downloadable!]
Karen A. Kopecky & Richard M. H. Suen, 2009. "Finite State Markov-Chain Approximations to Highly Persistent Processes," Working Papers 200904, University of California at Riverside, Department of Economics, revised May 2009. [Downloadable!]
Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast accuracy and economic gains from Bayesian model averaging using time varying weight," Working Paper 2009/10, Norges Bank. [Downloadable!]
Ralph D. Snyder & J. Keith Ord, 2009. "Exponential Smoothing and the Akaike Information Criterion," Monash Econometrics and Business Statistics Working Papers 4/09, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," CIRANO Working Papers 2009s-28, CIRANO. [Downloadable!]
Ahlgren, Niklas & Antell, Jan, 2009. "The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series," Working Papers 541, Hanken School of Economics. [Downloadable!]
Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2009. "Forecasting realized (co)variances with a block structure Wishart autoregressive model," Working Papers 2009-3, Swiss National Bank. [Downloadable!]
Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]
Olivier Parent & James P. Lesage, 2009. "A space-time filter for panel data models containing random effects," University of Cincinnati, Economics Working Papers Series 2009-04, University of Cincinnati, Department of Economics. [Downloadable!]
Pereira, Pedro L. Valls, 2009. "Testing the hypothesis of contagion using multivariate volatility models," Textos para discussÃ£o 174, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
Gunnar Bårdsen and Helmut Lütkepohl, 2009. "Forecasting Levels of log Variables in Vector Autoregressions," Working Paper Series 10409, Department of Economics, Norwegian University of Science and Technology. [Downloadable!]
Adam Clements & Ralf Becker, 2009. "A nonparametric approach to forecasting realized volatility," NCER Working Paper Series 43, National Centre for Econometric Research. [Downloadable!]

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

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