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Report NEP-ETS-2008-04-15
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:
- Sarantis Tsiaplias & Chew Lian Chua, 2008, "Forecasting Australian Macroeconomic Variables Using a Large Dataset," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2008n04, Feb.
- Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2008, "Change in persistence tests for panels: An update and some new results," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp08043, Mar.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008, "Testing fractional order of long memory processes: a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08012, Feb, DOI: 10.1080/03610911003646381.
- Alexander Subbotin, 2008, "A multi-horizon scale for volatility," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number bla08020, Mar.
- Luc Dresse & Christophe Van Nieuwenhuyze, 2008, "Do survey indicators let us see the business cycle ? A frequency decomposition," Working Paper Research, National Bank of Belgium, number 131, Mar.
- Elmar Mertens, 2008, "Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?," Working Papers, Swiss National Bank, Study Center Gerzensee, number 08.01, Mar.
- Chun Liu & John M Maheu, 2008, "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers, University of Toronto, Department of Economics, number tecipa-313, Apr.
- Elisa Alòs & Jorge A. León & Monique Pontier & Josep Vives, 2008, "A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1081, Apr.
- Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso, 2008, "Modeling International Financial Returns with a Multivariate Regime Switching Copula," MPRA Paper, University Library of Munich, Germany, number 8114, Feb.
- Dimitrios Thomakos, 2008, "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Papers, University of Peloponnese, Department of Economics, number 0024.
- Dimitrios Thomakos, 2008, "A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift," Working Papers, University of Peloponnese, Department of Economics, number 0025.