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Report NEP-ETS-2011-04-30
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Christophe Boucher & Bertrand Maillet, 2011, "Detrending Persistent Predictors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00587775, Mar.
- Francois-Éric Racicot & Raymond Théoret, 2011, "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp032011, Apr.
- Aaron L. Game & Jason J. Wu, 2011, "Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-18.
- Bernard Bercu & Frederic Proia, 2011, "A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process," Papers, arXiv.org, number 1104.3328, Apr.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011, "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper, University Library of Munich, Germany, number 30364, Apr.
- Lanne, Markku & Nyberg, Henri & Saarinen, Erkka, 2011, "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison," MPRA Paper, University Library of Munich, Germany, number 30254, Apr.