Report NEP-ETS-2009-09-26

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:

• Item repec:cfs:cfswop:wp200918 is not listed on IDEAS anymore

• Item repec:sda:workpa:22009 is not listed on IDEAS anymore

• Tommaso Proietti, 2009, "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_24, 09.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009, "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche, CIRPEE, number 0927.
• Han Lin Shang & Rob J Hyndman, 2009, "Nonparametric time series forecasting with dynamic updating," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/09, Aug.
• Westerlund, Joakim & Narayan, Paresh, 2009, "Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH," Working Papers in Economics, University of Gothenburg, Department of Economics, number 379, Sep.
• Westerlund, Joakim & Costantini, Mauro & Narayan, Paresh & Popp, Stephan, 2009, "Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production," Working Papers in Economics, University of Gothenburg, Department of Economics, number 377, Sep.
• Westerlund, Joakim & Breitung, Jörg, 2009, "Myths and Facts about Panel Unit Root Tests," Working Papers in Economics, University of Gothenburg, Department of Economics, number 380, Sep.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-06, Jun.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-03, Mar.
• Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009, "Bootstrap Unit Root Tests for Nonlinear Threshold Models," Economics Discussion Paper Series, Economics, The University of Manchester, number 0915.
• Hlouskova, Jaroslava & Wagner, Martin, 2009, "Finite Sample Correction Factors for Panel Cointegration Tests," Economics Series, Institute for Advanced Studies, number 244, Sep.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009, "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-669, Sep.
• Shiqing Ling & Michael McAleer, 2009, "A General Asymptotic Theory for Time Series Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-670, Sep.
• Alexander Kriwoluzky, 2009, "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers, European University Institute, number ECO2009/29.
• Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009, "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers, European University Institute, number ECO2009/32.
• Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009, "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers, European University Institute, number ECO2009/31.
• Tetsuya Takaishi, 2009, "An Adaptive Markov Chain Monte Carlo Method for GARCH Model," Papers, arXiv.org, number 0901.0992, Jan.
• Gilles Zumbach, 2009, "Inference on multivariate ARCH processes with large sizes," Papers, arXiv.org, number 0903.1531, Mar.
• Benjamin Jourdain & Mohamed Sbai, 2009, "High order discretization schemes for stochastic volatility models," Papers, arXiv.org, number 0908.1926, Aug, revised Oct 2011.
• V. Gontis & J. Ruseckas & A. Kononovicius, 2009, "A long-range memory stochastic model of the return in financial markets," Papers, arXiv.org, number 0901.0903, Jan, revised Oct 2009.
• A. Gulisashvili & E. M. Stein, 2009, "Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models," Papers, arXiv.org, number 0906.0392, Jun.
• A. Saichev & D. Sornette & V. Filimonov, 2009, "Most Efficient Homogeneous Volatility Estimators," Papers, arXiv.org, number 0908.1677, Aug.
• Tetsuya Takaishi, 2009, "Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme," Papers, arXiv.org, number 0907.5276, Jul.
• Sovan Mitra, 2009, "Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation," Papers, arXiv.org, number 0904.1131, Apr.
• Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2009, "New procedures for testing whether stock price processes are martingales," Papers, arXiv.org, number 0907.3273, Jul, revised Feb 2010.
• Fulvio Baldovin & Dario Bovina & Francesco Camana & Attilio L. Stella, 2009, "Modeling the non-Markovian, non-stationary scaling dynamics of financial markets," Papers, arXiv.org, number 0909.3244, Sep, revised Sep 2010.
• Ardia, David, 2009, "Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R," MPRA Paper, University Library of Munich, Germany, number 17414, Sep.
• Ralf Becker & Adam Clements & Christopher Coleman-Fenn, 2009, "Forecast performance of implied volatility and the impact of the volatility risk premium," NCER Working Paper Series, National Centre for Econometric Research, number 45, Jul.

Report NEP-ETS-2009-09-26

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: