Report NEP-ETS-2008-06-27

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:

• Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-09, Jun.
• Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007, "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-10, Jun.
• Michael Jansson, 2007, "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-12, Jun.
• Tim Bollerslev & Michael Gibson & Hao Zhou, 2007, "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-16, Aug.
• Tim Bollerslev & Hao Zhou, 2007, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-17, Aug.
• Tim Bollerslev & Tzuo Hann Law & George Tauchen, 2007, "Risk, Jumps, and Diversification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-19, Aug.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007, "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-20, Aug.
• Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007, "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-21, Aug.
• Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007, "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-22, Aug.
• Torben G. Andersen & Oleg Bondarenko, 2007, "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-24, Sep.
• Mark Podolskij & Daniel Ziggel, 2007, "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-26, Sep.
• Mark Podolskij & Mathias Vetter, 2007, "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-27, Sep.
• Michael Sørensen & Julie Lyng Forman, 2007, "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-28, Sep.
• Søren Johansen, 2007, "Some identification problems in the cointegrated vector autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-32, Nov.
• Søren Johansen & Morten Ørregaard Nielsen, 2007, "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-33, Nov.
• Søren Johansen, 2007, "Correlation, regression, and cointegration of nonstationary economic time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-35, Nov.
• Dennis Kristensen & Anders Rahbek, 2007, "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-38, Nov.
• Søren Johansen & Anders Rygh Swensen, 2007, "Exact rational expectations, cointegration, and reduced rank regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-41, Dec.
• Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007, "Power variation for Gaussian processes with stationary increments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-42, Dec.
• Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007, "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-43, Dec.
• Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007, "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-44, Dec.
• James Davidson & Nigar Hashimzade, 2007, "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-45, Dec.
• Michael Sørensen, 2008, "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-46, Jan.
• Peter Reinhard Hansen, 2008, "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-02, Jan.
• Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008, "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-03, Jan.
• Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-05, Jan.
• Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Multivariate GARCH models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-06, Jan.
• Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-07, Jan.
• Christina Amado & Timo Teräsvirta, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-08, Jan.
• Peter Christoffersen & Kris Dorion & Yintian Wang, 2008, "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-10, Feb.
• Jie Zhu, 2008, "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-16, Mar.
• Almut Veraart, 2008, "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-17, Mar.
• Michael Sørensen, 2008, "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-18, Apr.
• Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2008, "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-19, Apr.
• Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner, 2008, "Bipower variation for Gaussian processes with stationary increments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-21, May.
• Mark Podolskij & Daniel Ziggel, 2008, "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-22, May.
• Silja Kinnebrock & Mark Podolskij, 2008, "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-23, May.
• Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2008, "Small Bandwidth Asymptotics for Density-Weighted Average Derivatives," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-24, May.
• Mark Podolskij & Mathias Vetter, 2008, "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-25, May.
• Martin Møller Andreasen, 2008, "Ensuring the Validity of the Micro Foundation in DSGE Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-26, May.
• Frank S. Nielsen, 2008, "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-28, Jun.
• Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008, "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-29, Jun.
• Mika Meitz & Pentti Saikkonen, 2008, "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-30, Jun.
• Ingmar Nolte & Valeri Voev, 2008, "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-31, Jun.
• Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007, "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-14, Aug.
• Viktor Todorov & Tim Bollerslev, 2007, "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-15, Aug.
• Martin Møller Andreasen, 2008, "How to Maximize the Likelihood Function for a DSGE Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-32, Jun.
• Martin Møller Andreasen, 2008, "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-33, Jun.
• Mark Podolskij & Daniel Ziggel, 2008, "New tests for jumps: a threshold-based approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-34, Jun.
• Per Frederiksen & Morten Ørregaard Nielsen, 2008, "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-35, Jun.
• Alexandr Kuchynka, 2008, "Volatility extraction using the Kalman filter," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/10, Jun, revised Jun 2008.
• Mark J. Jensen & John M. Maheu, 2008, "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2008-15.
• Item repec:lan:wpaper:005439 is not listed on IDEAS anymore

Report NEP-ETS-2008-06-27

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: