Printed from https://ideas.repec.org/n/nep-ets/2010-09-25.html
Report NEP-ETS-2010-09-25
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:
- Bent Jesper Christensen & Paolo Santucci de Magistris, 2010, "Level Shifts in Volatility and the Implied-Realized Volatility Relation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-60, Sep.
- James G. MacKinnon & Morten Ørregaard Nielsen, 2010, "Numerical distribution functions of fractional unit root and cointegration tests," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-59, Aug.
- Francesco Ravazzolo & Philip Rothman, 2010, "Oil and US GDP: A real-time out-of-sample examination," Working Paper, Norges Bank, number 2010/18, Sep.
- Trenkler, Carsten & Weber, Enzo, 2010, "Testing for Codependence of Non-Stationary Variables," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 446, Sep.
- Trenkler, Carsten & Weber, Enzo, 2010, "On the Identification of Codependent VAR and VEC Models," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 445, Sep.
- Massimiliano Caporin & Michael McAleer, 2010, "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/58, Sep.
- Peter C. B. Phillips & Jun Yu, 2010, "Dating the Timeline of Financial Bubbles during the Subprime Crisis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1770, Sep.
- Jiti Gao & Peter C. B. Phillips, 2010, "Semiparametric Estimation in Time Series of Simultaneous Equations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1769, Sep.
- Peter C. B. Phillips, 2010, "The Mysteries of Trend," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1771, Sep.
- Xiaoxia Shi & Peter C. B. Phillips, 2010, "Nonlinear Cointegrating Regression under Weak Identification," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1768, Sep.
- Martin Feldkircher, 2010, "Forecast Combination and Bayesian Model Averaging - A Prior Sensitivity Analysis," Working Papers in Economics, University of Salzburg, number 2010-14, Sep.
- 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 707, Sep.
- Jin Feng & Jean-Pierre Fouque & Rohini Kumar, 2010, "Small-time asymptotics for fast mean-reverting stochastic volatility models," Papers, arXiv.org, number 1009.2782, Sep, revised Aug 2012.
- Frantisek Slanina, 2010, "A contribution to the systematics of stochastic volatility models," Papers, arXiv.org, number 1009.2696, Sep.
- Shelley, Gary & Wallace, Frederick, 2010, "Further evidence regarding nonlinear trend reversion of real GDP and the CPI," MPRA Paper, University Library of Munich, Germany, number 24962, Jan.