Report NEP-ETS-2011-04-30This 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:
- Christophe Boucher & Bertrand Maillet, 2011. "Detrending Persistent Predictors," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00587775, HAL.
- Francois-Éric Racicot & Raymond Théoret, 2011. "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series UQO-DSA-wp032011, Département des sciences administratives, UQO.
- Jason J. Wu & Aaron L. Game, 2011. "Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis," Finance and Economics Discussion Series 2011-18, Board of Governors of the Federal Reserve System (U.S.).
- Bernard Bercu & Frederic Proia, 2011. "A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process," Papers 1104.3328, arXiv.org.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
- Lanne, Markku & Nyberg, Henri & Saarinen, Erkka, 2011. "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison," MPRA Paper 30254, University Library of Munich, Germany.