Report NEP-ETS-2009-03-07

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Fulvio Corsi & Davide Pirino & Roberto Reno, 2009, "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-036, Mar.
• Isao Ishida & Toshiaki Watanabe, 2009, "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-032, Feb.
• Federico M. Bandi & Roberto Reno, 2009, "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-035, Mar.
• Hiroki Masuda & Takayuki Morimoto, 2009, "An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-033, Feb.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009, "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-034, Mar.
• Li, Yushu & Shukur, Ghazi, 2009, "Wavelet Improvement of the Over-rejection of Unit root test under GARCH errors," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:7, Feb.
• Li, Yushu & Shukur, Ghazi, 2009, "Testing for Unit Root against LSTAR Model: Wavelet Improvement under GARCH Distortion," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:6, Feb.
• Item repec:dgr:umamet:2009009 is not listed on IDEAS anymore

Report NEP-ETS-2009-03-07

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: