Report NEP-ETS-2010-08-14This 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:
- Riccardo DiCecio & Michael T. Owyang, 2010. "Identifying technology shocks in the frequency domain," Working Papers, Federal Reserve Bank of St. Louis 2010-025, Federal Reserve Bank of St. Louis.
- Gareth W. Peters & Balakrishnan B. Kannan & Ben Lasscock & Chris Mellen & Simon Godsill, 2010. "Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation," Papers, arXiv.org 1008.0149, arXiv.org.
- Peter Imkeller & Anthony R\'eveillac & Anja Richter, 2009. "Differentiability of quadratic BSDEs generated by continuous martingales," Papers, arXiv.org 0907.0941, arXiv.org, revised Mar 2012.