Report NEP-ETS-2010-10-02This 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:
- Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
- Florens, Jean-Pierre & Simon, Guillaume, 2010. "Endogeneity and Instrumental Variables in Dynamic Models," TSE Working Papers 10-178, Toulouse School of Economics (TSE).
- Item repec:pse:psecon:2010-22 is not listed on IDEAS anymore
- David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "Unit root testing under a local break in trend," Discussion Papers 10/05, University of Nottingham, Granger Centre for Time Series Econometrics.
- LAURENT, SÃ©bastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," CORE Discussion Papers, UniversitÃ© catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2010025, UniversitÃ© catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ewa M. Syczewska, 2010. "Empirical power of the Kwiatkowski-Phillips-Schmidt-Shin test," Working Papers 45, Department of Applied Econometrics, Warsaw School of Economics.
- ConcepciÃ³n AusÃn & Pedro Galeano & Pulak Ghosh, 2010. "A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws103822, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa.