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Report NEP-ETS-2010-04-17
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:
- MOON, H.R. & PERRON, Benoit, 2010, "Beyond Panel Unit Root Tests : Using Multiple Testing to Determine the Non-Stationarity Properties of Individual Series in a Panel," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 10-2010.
- Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010, "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/10, Feb.
- Jouchi Nakajima & Yasuhiro Omori, 2010, "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-124, Mar.
- John M Maheu & Thomas H McCurdy & Yong Song, 2010, "Components of bull and bear markets: bull corrections and bear rallies," Working Papers, University of Toronto, Department of Economics, number tecipa-402, Apr.
- Chun Liu & John M Maheu, 2010, "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers, University of Toronto, Department of Economics, number tecipa-401, Apr.
- Kevin Lee & Anthony Garratt & Kalvinder Shields, 2009, "Decision Making in hard Times: What is a Recession, Why Do We Care and How Do We Know When We Are in One?," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 09/22, Oct.
- Stephen Hall & Sahar S. Qaqeesh, 2009, "The Behaviour of Dickey Fuller test in the case of noisy data: to what extent we can trust the outcome," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 09/18, Sep.
- Li, Yushu & Shukur, Ghazi, 2010, "Linear and Non-linear Causality Test in a LSTAR model - wavelet decomposition in a non-linear environment," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 227, Apr.
- Hacker, R. Scott & Hatemi-J, Abdulnasser, 2010, "A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 223, Apr.
- Item repec:hhs:bofrdp:2010_006 is not listed on IDEAS anymore
- Christian de Peretti & Carole Siani & Mario Cerrato, 2010, "A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates," Working Papers, Business School - Economics, University of Glasgow, number 2010_05, Mar.
- Item repec:dgr:eureir:1765017523 is not listed on IDEAS anymore
- Item repec:dgr:eureir:1765018604 is not listed on IDEAS anymore
- Francesco Battaglia & Mattheos K. Protopapas, 2010, "Multi-regime models for nonlinear nonstationary time series," Working Papers, COMISEF, number 026, Jan.
- Grané Chávez, Aurea & Veiga, Helena, 2010, "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws100502, Jan.
- Hrishikesh D. Vinod, 2010, "A New Solution to Time Series Inference in Spurious Regression Problems," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2010-01.
- Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Papers, University of Strathclyde Business School, Department of Economics, number 0919, Oct.
- Item repec:hum:wpaper:sfb649dp2010-015 is not listed on IDEAS anymore
- Michael McAleer & Marcelo Cunha Medeiros, 2010, "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 568, Mar.
- Mohitosh Kejriwal & Claude Lopez, 2010, "Unit Roots, Level Shifts and Trend Breaks in PerCapita Output: A Robust Evaluation," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2010-02.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010, "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 704, Mar.
- Bulla, Jan, 2009, "Hidden Markov models with t components. Increased persistence and other aspects," MPRA Paper, University Library of Munich, Germany, number 21830, Oct.
- Item repec:mis:wpaper:20090701 is not listed on IDEAS anymore
- Peter C. B. Phillips & Jun Yu, 2009, "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers, Singapore Management University, School of Economics, number 18-2009, Nov.