Report NEP-ETS-2009-11-21This 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:
- Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, School of Economics and Management, University of Aarhus.
- Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2009. "Structural Threshold Regression," Working Papers 0907, University of Guelph, Department of Economics and Finance.
- Pawel J. Szerszen, 2009. "Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis," Finance and Economics Discussion Series 2009-40, Board of Governors of the Federal Reserve System (U.S.).
- Christopher Gust & Robert Vigfusson, 2009. "The power of long-run structural VARs," International Finance Discussion Papers 978, Board of Governors of the Federal Reserve System (U.S.).
- Heinen, Florian & Sibbertsen, Philipp & Kruse, Robinson, 2009. "Forecasting long memory time series under a break in persistence," Hannover Economic Papers (HEP) dp-433, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.