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Report NEP-ETS-2007-11-24
This 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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Sancetta, A., 2007, "Universality of Bayesian Predictions," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0755, Nov.
- Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007, "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 905.
- Kuswanto, Heri & Sibbertsen, Philipp, 2007, "Can we distinguish between common nonlinear time series models and long memory?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-380, Nov.
- Sibbertsen, Philipp & Kruse, Robinson, 2007, "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-381, Nov.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007, "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 675, Oct, revised 14 Feb 2008.
- Muhammad Akram & Rob J. Hyndman & J. Keith Ord, 2007, "Non-linear exponential smoothing and positive data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/07, Nov.
- Francesco Audrino & Dominik Colagelo, 2007, "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-42, Nov.
- McCauley, Joseph L., 2007, "Ito Processes with Finitely Many States of Memory," MPRA Paper, University Library of Munich, Germany, number 5811, Nov.
- Francis X. Diebold & Kamil Yılmaz, 2007, "Macroeconomic Volatility and Stock Market Volatility,World-Wide," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 0711, Nov.