Report NEP-ETS-2009-10-31This 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.
The following items were announced in this report:
- Item repec:hal:cesptp:halshs-00423890_v1 is not listed on IDEAS anymore
- Maurice J.G. Bun & Frank Windmeijer, 2009. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 09-086/4, Tinbergen Institute.
- Torben G. Andersen & Luca Benzoni, 2009. "Stochastic volatility," Working Paper Series WP-09-04, Federal Reserve Bank of Chicago.
- Todd E. Clark & Michael W. McCracken, 2009. "Nested forecast model comparisons: a new approach to testing equal accuracy," Working Papers 2009-050, Federal Reserve Bank of St. Louis.
- Nikolaus Hautsch & Lada M. Kyj & Roel C.A. Oomen, 2009. "A blocking and regularization approach to high dimensional realized covariance estimation," SFB 649 Discussion Papers SFB649DP2009-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bert van Es & Peter Spreij & Harry van Zanten, 2009. "Nonparametric methods for volatility density estimation," Papers 0910.5185, arXiv.org.