Report NEP-ETS-2011-10-22This 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:
- Laurent Schoeffel, 2011. "Time Scales in Futures Markets and Applications," Papers 1110.1727, arXiv.org.
- Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2011. "The instability of the correlation structure of the S&P 500," MPRA Paper 34160, University Library of Munich, Germany.
- Julio Roman, Juan Manuel, 2011. "The Hodrick-Prescott filter with priors: linear restrictions on HP filters," MPRA Paper 34202, University Library of Munich, Germany.