Report NEP-ETS-2010-10-23This 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:
- Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, Department of Economics and Business Economics, Aarhus University.
- Item repec:hal:wpaper:hal-00525740_v1 is not listed on IDEAS anymore
- Shimotsu, Katsumi, 2010. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers 2010-11, Graduate School of Economics, Hitotsubashi University.
- Richard Ashley, 2010. "On the Origins of Conditional Heteroscedasticity in Time Series," Working Papers e07-23, Virginia Polytechnic Institute and State University, Department of Economics.
- Item repec:dgr:kubcen:2010107 is not listed on IDEAS anymore
- Item repec:dgr:kubcen:2010105 is not listed on IDEAS anymore
- Item repec:dgr:eureir:1765020940 is not listed on IDEAS anymore
- Marina Theodosiou, 2010. "Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps," Working Papers 2010-7, Central Bank of Cyprus.
- Item repec:ner:oxford:http://economics.ouls.ox.ac.uk/14904/ is not listed on IDEAS anymore
- Andrzej Jarosz, 2010. "Hermitian and non-Hermitian covariance estimators for multivariate Gaussian and non-Gaussian assets from random matrix theory," Papers 1010.2981, arXiv.org, revised May 2012.
- Nikolai Dokuchaev, 2010. "On detecting the dependence of time series," Papers 1010.2576, arXiv.org.