Printed from https://ideas.repec.org/n/nep-ets/2009-04-18.html
Report NEP-ETS-2009-04-18
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:
- Agostino Tarsitano, 2009, "Classification Of Short Time Series," Working Papers, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF, number 200905, Feb.
- Drew Creal & Siem Jan Koopman & Andre Lucas, 2009, "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-038, Mar.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009, "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-037, Mar.
- Peter C. B. Phillips & Jun Yu, 2009, "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-039, Mar.
- Choi, In & Kurozumi, Eiji & 黒住, 英司, 2008, "Model Selection Criteria for the Leads-and-Lags Cointegrating Regression," CCES Discussion Paper Series, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University, number 6, Dec.
- Hadri, Kaddour & Kurozumi, Eiji & 黒住, 英司, 2008, "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," CCES Discussion Paper Series, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University, number 7, Dec.
- Mohitosh Kejriwal & Pierre Perron, 2008, "Testing for Multiple Structural Changes in Cointegrated Regression Models," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1216, Nov.
- Item repec:hum:wpaper:sfb649dp2009-012 is not listed on IDEAS anymore
- Item repec:hum:wpaper:sfb649dp2009-007 is not listed on IDEAS anymore
- Roy Cerqueti & Paolo Falbo & Cristian Pelizzari, 2009, "Optimal Dimension of Transition Probability Matrices for Markov Chain Bootstrapping," Working Papers, Macerata University, Department of Finance and Economic Sciences, number 53-2009, Apr, revised Apr 2009.