Report NEP-ETS-2009-09-26

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Other reports in NEP-ETS

The following items were anounced in this report:

• Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2009. "Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics," CFS Working Paper Series 2009/18, Center for Financial Studies. [Downloadable!]
• Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers (in Progress) 22009, South Dakota State University, Department of Economics. [Downloadable!]
• Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI). [Downloadable!]
• Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche 0927, CIRPEE. [Downloadable!]
• Han Lin Shang & Rob J Hyndman, 2009. "Nonparametric time series forecasting with dynamic updating," Monash Econometrics and Business Statistics Working Papers 8/09, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Westerlund, Joakim & Narayan, Paresh, 2009. "Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH," Working Papers in Economics 379, Göteborg University, Department of Economics. [Downloadable!]
• Westerlund, Joakim & Costantini, Mauro & Narayan, Paresh & Popp, Stephan, 2009. "Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production," Working Papers in Economics 377, Göteborg University, Department of Economics. [Downloadable!]
• Westerlund, Joakim & Breitung, Jörg, 2009. "Myths and Facts about Panel Unit Root Tests," Working Papers in Economics 380, Göteborg University, Department of Economics. [Downloadable!]
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella. [Downloadable!]
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers 2009-03, Universidad Torcuato Di Tella. [Downloadable!]
• Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," The School of Economics Discussion Paper Series 0915, Economics, The University of Manchester. [Downloadable!]
• Hlouskova, Jaroslava & Wagner, Martin, 2009. "Finite Sample Correction Factors for Panel Cointegration Tests," Economics Series 244, Institute for Advanced Studies. [Downloadable!]
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
• Shiqing Ling & Michael McAleer, 2009. "A General Asymptotic Theory for Time Series Models," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
• Alexander Kriwoluzky, 2009. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers ECO2009/29, European University Institute. [Downloadable!]
• Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers ECO2009/32, European University Institute. [Downloadable!]
• Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute. [Downloadable!]
• Tetsuya Takaishi, 2009. "An Adaptive Markov Chain Monte Carlo Method for GARCH Model," Quantitative Finance Papers 0901.0992, arXiv.org. [Downloadable!]
• Gilles Zumbach, 2009. "Inference on multivariate ARCH processes with large sizes," Quantitative Finance Papers 0903.1531, arXiv.org. [Downloadable!]
• Benjamin Jourdain & Mohamed Sbai, 2009. "High order discretization schemes for stochastic volatility models," Quantitative Finance Papers 0908.1926, arXiv.org. [Downloadable!]
• V. Gontis & J. Ruseckas & A. Kononovicius, 2009. "A long-range memory stochastic model of the return in financial markets," Quantitative Finance Papers 0901.0903, arXiv.org, revised Oct 2009. [Downloadable!]
• A. Gulisashvili & E. M. Stein, 2009. "Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models," Quantitative Finance Papers 0906.0392, arXiv.org. [Downloadable!]
• A. Saichev & D. Sornette & V. Filimonov, 2009. "Most Efficient Homogeneous Volatility Estimators," Quantitative Finance Papers 0908.1677, arXiv.org. [Downloadable!]
• Tetsuya Takaishi, 2009. "Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme," Quantitative Finance Papers 0907.5276, arXiv.org. [Downloadable!]
• Sovan Mitra, 2009. "Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation," Quantitative Finance Papers 0904.1131, arXiv.org. [Downloadable!]
• Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2009. "New procedures for testing whether stock price processes are martingales," Quantitative Finance Papers 0907.3273, arXiv.org. [Downloadable!]
• Fulvio Baldovin & Dario Bovina & Attilio L. Stella, 2009. "Modeling non-Markovian, nonstationary scaling dynamics," Quantitative Finance Papers 0909.3244, arXiv.org. [Downloadable!]
• Ardia, David, 2009. "Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R," MPRA Paper 17414, University Library of Munich, Germany. [Downloadable!]
• Ralf Becker & Adam Clements & Christopher Coleman-Fenn, 2009. "Forecast performance of implied volatility and the impact of the volatility risk premium," NCER Working Paper Series 45, National Centre for Econometric Research. [Downloadable!]

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