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Report NEP-ETS-2010-01-10
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:
- Christian M. Dahl & Emma M. Iglesias, 2009, "Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-59, Oct.
- Alysha M De Livera & Rob J Hyndman, 2009, "Forecasting time series with complex seasonal patterns using exponential smoothing," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/09, Dec.
- Morten Ø. Nielsen & Per Houmann Frederiksen, 2009, "Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration," Working Paper, Economics Department, Queen's University, number 1226, Dec.
- Arvid Raknerud & Øivind Skare, 2009, "Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes," Discussion Papers, Statistics Norway, Research Department, number 601, Dec.
- Anna Staszewska-Bystrova, 2009, "Bootstrap Confidence Bands for Forecast Paths," Working Papers, COMISEF, number 024, Dec.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009, "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 09-08.
- Nunzio Cappuccio & Diego Lubian, 2009, "The Fragility of the KPSS Stationarity Test," Working Papers, University of Verona, Department of Economics, number 67/2009, Dec.
- Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña, Daniel, 2009, "Time series segmentation by Cusum, AutoSLEX and AutoPARM methods," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws098025, Dec.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009, "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-699, Dec.
- Helmut Herwartz & Helmut Luetkepohl, 2009, "Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity," Economics Working Papers, European University Institute, number ECO2009/42.