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Report NEP-ETS-2010-05-15
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:
- Antonello D'Agostino & Kieran McQuinn & Karl Whelan, 2010, "Are some forecasters really better than others?," Working Papers, School of Economics, University College Dublin, number 201012, Apr.
- David Hendry & Michael P. Clements, 2010, "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers, University of Oxford, Department of Economics, number 484, May.
- Item repec:dgr:uvatin:20090110 is not listed on IDEAS anymore
- Yin Liao & Heather Anderson & Farshid Vahid, 2010, "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2010-520, May.
- Benati, Luca, 2010, "Are policy counterfactuals based on structural VAR's reliable?," Working Paper Series, European Central Bank, number 1188, May.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010, "Forecasting with DSGE models," Working Paper Series, European Central Bank, number 1185, May.
- Gao-Feng Gu & Wei-Xing Zhou, 2010, "Detrending moving average algorithm for multifractals," Papers, arXiv.org, number 1005.0877, May, revised Jun 2010.
- Emeric Balogh & Ingve Simonsen & Balint Zs. Nagy & Zoltan Neda, 2010, "Persistent collective trend in stock markets," Papers, arXiv.org, number 1005.0378, May.
- Dell'Era, Mario, 2010, "Geometrical Approximation method and stochastic volatility market models," MPRA Paper, University Library of Munich, Germany, number 22568, May.
- Grassi, Stefano & Proietti, Tommaso, 2010, "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper, University Library of Munich, Germany, number 22569, May.
- Dinghai Xu, 2010, "A Threshold Stochastic Volatility Model with Realized Volatility," Working Papers, University of Waterloo, Department of Economics, number 1003, May, revised May 2010.
- Cathy Ning & Dinghai Xu & Tony Wirjanto, 2010, "Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data," Working Papers, University of Waterloo, Department of Economics, number 1001, Jan, revised Jan 2010.
- Dinghai Xu & Yuying Li, 2010, "Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach," Working Papers, University of Waterloo, Department of Economics, number 1002, May, revised May 2010.