Report NEP-ETS-2010-10-23This 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:
- Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, School of Economics and Management, University of Aarhus.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, School of Economics and Management, University of Aarhus.
- Nicolas Debarsy & Cem Ertur & James P. Lesage, 2010. "Interpreting Dynamic Space-Time Panel Data Models," Working Papers hal-00525740, HAL.
- Shimotsu, Katsumi, 2010. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers 2010-11, Graduate School of Economics, Hitotsubashi University.
- Richard Ashley, 2010. "On the Origins of Conditional Heteroscedasticity in Time Series," Working Papers e07-23, Virginia Polytechnic Institute and State University, Department of Economics.
- Croux, C. & Gelper, S. & Mahieu, K., 2010. "Robust Control Charts for Time Series Data," Discussion Paper 2010-107, Tilburg University, Center for Economic Research.
- Croux, C. & Fried, R. & Gijbels, I. & Mahieu, K., 2010. "Robust Forecasting of Non-Stationary Time Series," Discussion Paper 2010-105, Tilburg University, Center for Economic Research.
- Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Report EI 2010-57, Erasmus University Rotterdam, Econometric Institute.
- Marina Theodosiou, 2010. "Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps," Working Papers 2010-7, Central Bank of Cyprus.
- Item repec:ner:oxford:http://economics.ouls.ox.ac.uk/14904/ is not listed on IDEAS anymore
- Andrzej Jarosz, 2010. "Hermitian and non-Hermitian covariance estimators for multivariate Gaussian and non-Gaussian assets from random matrix theory," Papers 1010.2981, arXiv.org, revised May 2012.
- Nikolai Dokuchaev, 2010. "On detecting the dependence of time series," Papers 1010.2576, arXiv.org.