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Report NEP-ETS-2011-10-09
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:
- Rasmus Tangsgaard Varneskov, 2011, "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-35, Sep.
- Markus Eberhardt, 2011, "Panel time-series modeling: New tools for analyzing xt data," United Kingdom Stata Users' Group Meetings 2011, Stata Users Group, number 22, Sep.
- Barbara Rossi, 2011, "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics, number 11-20.
- Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde, 2011, "Multivariate Stochastic Volatility via Wishart Processes - A Continuation," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-19, Aug.
- Md Atikur Rahman Khan & D.S. Poskitt, 2011, "Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/11, Sep.
- Daisuke Nagakura & Toshiaki Watanabe, 2011, "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-200, Aug.
- Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011, "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/03.
- Ronny Nilsson & Gyorgy Gyomai, 2011, "Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters," OECD Statistics Working Papers, OECD Publishing, number 2011/4, May, DOI: 10.1787/5kg9srt7f8g0-en.
- Peter Fuleky & Carl S. Bonham, 2011, "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201110, Jun.
- Peter Fuleky, 2011, "On the Choice of the Unit Period in Time Series Models," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201111, Aug.
- Todd E. Clark & Michael W. McCracken, 2011, "Advances in forecast evaluation," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1120.
- Todd E. Clark & Michael W. McCracken, 2011, "Tests of equal forecast accuracy for overlapping models," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1121.
- Markus Jochmann & Gary Koop, 2011, "Regime-Switching Cointegration," Working Paper series, Rimini Centre for Economic Analysis, number 40_11, Sep.
- Vitor Castro, 2011, "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2011-17, Sep.
- Miquel Montero, 2011, "Parrondo-like behavior in continuous-time random walks with memory," Papers, arXiv.org, number 1107.2346, Jul, revised Nov 2011.