Printed from https://ideas.repec.org/n/nep-ets/2010-09-03.html
Report NEP-ETS-2010-09-03
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:
- Robinson Kruse & Rickard Sandberg, 2010, "Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-36, Jul.
- Fernando Baltazar-Larios & Michael Sørensen, 2010, "Maximum likelihood estimation for integrated diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-33, Aug.
- Mogens Bladt & Michael Sørensen, 2010, "Simple simulation of diffusion bridges with application to likelihood inference for diffusions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-32, Aug.
- Rasmus Tangsgaard Varneskov, 2010, "The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-39, Aug.
- Leonidas Tsiaras, 2010, "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-34, Feb.
- Christian M. Dahl & Emma M. Iglesias, 2010, "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-48, Aug.
- Rasmus Tangsgaard Varneskov & Valeri Voev, 2010, "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-45, Aug.
- Robinson Kruse & Philipp Sibbertsen, 2010, "Long memory and changing persistence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-42, Aug.
- Morten Ørregaard Nielsen & Per Frederiksen, 2010, "Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-31, May.
- Item repec:dgr:eureir:1765020156 is not listed on IDEAS anymore
- Item repec:acb:camaaa:2010-22 is not listed on IDEAS anymore
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010, "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports, Federal Reserve Bank of New York, number 465.
- Naoto Kunitomo & Seisho Sato, 2010, "On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-758, Aug.
- Luís Francisco Aguiar & Maria Joana Soares, 2010, "The Continuous Wavelet Transform: A Primer," NIPE Working Papers, NIPE - Universidade do Minho, number 23/2010.