Report NEP-ETS-2011-09-22This 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:
- Nicolas Huth & Frédéric Abergel, 2011. "High frequency correlation modelling," Post-Print hal-00621244, HAL.
- Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," DiMaD Working Papers 2011-06, Dipartimento di Matematica per le Decisioni, Universita' degli Studi di Firenze, revised Jan 2012.
- Giulio Cifarelli, 2011. "Nonlinear Regime Shifts in Oil Price Hedging Dynamics," Working Papers Series wp2011_13.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze dell'Economia e Dell'Impresa.
- Tomás del Barrio Castro & Paulo M.M. Rodrigues & A. M. Robert Taylor, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers w201124, Banco de Portugal, Economics and Research Department.
- Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2011. "On Augmented HEGY Tests for Seasonal Unit Roots," The School of Economics Discussion Paper Series 1121, Economics, The University of Manchester.
- Bai, Jushan & Wang, Peng, 2011. "Conditional Markov chain and its application in economic time series analysis," MPRA Paper 33369, University Library of Munich, Germany.
- Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011. "Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties," NBER Working Papers 17424, National Bureau of Economic Research, Inc.