Report NEP-ETS-2010-05-15This 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:
- Antonello D'Agostino & Kieran McQuinn & Karl Whelan, 2010. "Are some forecasters really better than others?," Working Papers 201012, School of Economics, University College Dublin.
- David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
- Charles S. Bos & Pawel Janus & Siem Jan Koopman, 2009. "Spot Variance Path Estimation and its Application to High Frequency Jump Testing," Tinbergen Institute Discussion Papers 09-110/4, Tinbergen Institute.
- 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 2010-520, Australian National University, College of Business and Economics, School of Economics.
- Benati, Luca, 2010. "Are policy counterfactuals based on structural VAR's reliable?," Working Paper Series 1188, European Central Bank.
- Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
- Gao-Feng Gu & Wei-Xing Zhou, 2010. "Detrending moving average algorithm for multifractals," Papers 1005.0877, arXiv.org, revised Jun 2010.
- Emeric Balogh & Ingve Simonsen & Balint Zs. Nagy & Zoltan Neda, 2010. "Persistent collective trend in stock markets," Papers 1005.0378, arXiv.org.
- Dell'Era, Mario, 2010. "Geometrical Approximation method and stochastic volatility market models," MPRA Paper 22568, University Library of Munich, Germany.
- Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
- Dinghai Xu, 2010. "A Threshold Stochastic Volatility Model with Realized Volatility," Working Papers 1003, University of Waterloo, Department of Economics, revised May 2010.
- Cathy Ning & Dinghai Xu & Tony Wirjanto, 2010. "Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data," Working Papers 1001, University of Waterloo, Department of Economics, 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 1002, University of Waterloo, Department of Economics, revised May 2010.