Report NEP-ETS-2010-03-13This 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:
- Maria M. De Mello, 2009. "Cointegration And The Forecast Accuracy Of Var Models," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto 0902, Universidade do Porto, Faculdade de Economia do Porto.
- Daisuke Nagakura & Toshiaki Watanabe, 2010. "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd09-115, Institute of Economic Research, Hitotsubashi University.
- Item repec:ner:leuven:urn:hdl:123456789/242199 is not listed on IDEAS anymore
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2010. "Forecasting with Factor-augmented Error Correction," Discussion Papers, Department of Economics, University of Birmingham 09-06r, Department of Economics, University of Birmingham.
- Ruipeng Liu & Thomas Lux, 2010. "Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models," Kiel Working Papers, Kiel Institute for the World Economy 1594, Kiel Institute for the World Economy.