Report NEP-ETS-2010-04-24This 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:
- Miguel A. Delgado & Carlos Velasco, 2010. "A distribution-free transform of the residuals sample autocorrelations with application to model checking," Economics Working Papers we101707, Universidad Carlos III, Departamento de Economía.
- Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Classical vs wavelet-based filters Comparative study and application to business cycle," Documents de travail du Centre d'Economie de la Sorbonne 10027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Ibrahim Ahamada & Mohamed Boutahar, 2010. "The Power of some Standard tests of stationarity against changes in the unconditional variance," Documents de travail du Centre d'Economie de la Sorbonne 10028, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Helmut Luetkepohl, 2010. "Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights," Economics Working Papers ECO2010/11, European University Institute.
- Masaaki Fukasawa, 2010. "Discretization error of Stochastic Integrals," Papers 1004.2107, arXiv.org.
- Masaaki Fukasawa, 2010. "Asymptotic analysis for stochastic volatility: Edgeworth expansion," Papers 1004.2106, arXiv.org.
- Francq, Christian & Zakoian, Jean-Michel, 2010. "Optimal predictions of powers of conditionally heteroskedastic processes," MPRA Paper 22155, University Library of Munich, Germany.