Report NEP-ETS-2011-01-30

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Mark Podolskij & Mathieu Rosenbaum, 2011. "Testing the local volatility assumption: a statistical approach," CREATES Research Papers 2011-04, Department of Economics and Business Economics, Aarhus University.
• Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, Department of Economics and Business Economics, Aarhus University.
• Vasco Gabriel & Luis Martins, 2010. "Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," School of Economics Discussion Papers 0910, School of Economics, University of Surrey.
• Morten Ø. Nielsen, 2011. "Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models," Working Paper 1259, Economics Department, Queen's University.
• David Stephen Pollock, 2011. "The Discrete–Continuous Correspondence for Frequency-Limited Arma Models and the Hazards of Oversampling," Discussion Papers in Economics 11/14, Division of Economics, School of Business, University of Leicester.
• David Stephen Pollock, 2011. "Band-Limited Stochastic Processes in Discrete and Continuous Time," Discussion Papers in Economics 11/11, Division of Economics, School of Business, University of Leicester.
• David Stephen Pollock & Emi Mise, 2011. "Alternative Methods of Seasonal Adjustment," Discussion Papers in Economics 11/12, Division of Economics, School of Business, University of Leicester.
• Vogelsang, Timothy J. & Wagner, Martin, 2011. "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions," Economics Series 263, Institute for Advanced Studies.
• Roxana Halbleib & Valerie Voev, 2010. "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES ECARES 2010-041, ULB -- Universite Libre de Bruxelles.
• Roxana Halbleib, 2010. "A Note on Estimating Wishart Autoagressive Model," Working Papers ECARES ECARES 2010-043, ULB -- Universite Libre de Bruxelles.
• Gianluca Cubadda & Umberto Triacca, 2011. "An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis," CEIS Research Paper 184, Tor Vergata University, CEIS, revised 24 Jan 2011.
• Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2011. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," CIRJE F-Series CIRJE-F-782, CIRJE, Faculty of Economics, University of Tokyo.
• Item repec:pra:mprapa:28195 is not listed on IDEAS anymore

• Ardia, David & Lennart, Hoogerheide & Nienke, Corré, 2011. "Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?," MPRA Paper 28259, University Library of Munich, Germany.
• Pötscher, Benedikt M., 2011. "On the Order of Magnitude of Sums of Negative Powers of Integrated Processes," MPRA Paper 28287, University Library of Munich, Germany.
• Buss, Ginters, 2011. "Asymmetric Baxter-King filter," MPRA Paper 28176, University Library of Munich, Germany.
• Ulrich K. Müller & James H. Stock, 2011. "Forecasts in a Slightly Misspecified Finite Order VAR," NBER Working Papers 16714, National Bureau of Economic Research, Inc.