Report NEP-ETS-2011-02-26This 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:
- Christian Bach & Bent Jesper Christensen, 2011. "Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach," CREATES Research Papers 2010-61, Department of Economics and Business Economics, Aarhus University.
- Marine Carrasco & Rachidi Kotchoni, 2011. "Adaptive Realized Kernels," CIRANO Working Papers 2011s-29, CIRANO.
- Hyungsik Roger Moon & Benoit Perron, 2011. "Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel," CIRANO Working Papers 2011s-17, CIRANO.
- Pesaran, M. Hashem & Chudik, Alexander, 2011. "Aggregation in Large Dynamic Panels," IZA Discussion Papers 5478, Institute for the Study of Labor (IZA).
- Item repec:dgr:umamet:2011011 is not listed on IDEAS anymore
- Gengenbach Christian & Hecq Alain & Urbain Jean-Pierre, 2011. "Are Panel Unit Root Tests Useful for Real-Time Data?," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Item repec:dgr:uvatin:20100046 is not listed on IDEAS anymore
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-003/4, Tinbergen Institute.
- Item repec:dgr:uvatin:20100032 is not listed on IDEAS anymore
- Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
- Item repec:dgr:uvatin:20100045 is not listed on IDEAS anymore
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2010. "Modeling Trigonometric Seasonal Components for Monthly Economic Time Series," Tinbergen Institute Discussion Papers 10-018/4, Tinbergen Institute.
- Item repec:dgr:uvatin:20110007 is not listed on IDEAS anymore
- Rianne Legerstee & Philip Hans Franses, 2010. "Does Disagreement amongst Forecasters have Predictive Value?," Tinbergen Institute Discussion Papers 10-088/4, Tinbergen Institute.
- Olfa Zaafrane & Anouar Ben Mabrouk, 2011. "A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation," Papers 1102.3702, arXiv.org.
- Matteo Pelagatti & Pranab Sen, 2010. "A KPSS better than KPSS. Rank tests for short memory stationarity," Working Papers 20110201, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.