Report NEP-ETS-2011-12-19

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:

• Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, Department of Economics and Business Economics, Aarhus University.
• Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
• Kim Christensen & Mark Podolskij, 2011. "Asymptotic theory of range-based multipower variation," CREATES Research Papers 2011-47, Department of Economics and Business Economics, Aarhus University.
• Emanuela Ciapanna & Marco Taboga, 2011. "Bayesian analysis of coefficient instability in dynamic regressions," Temi di discussione (Economic working papers) 836, Bank of Italy, Economic Research and International Relations Area.
• Daniele Coin, 2011. "A method to estimate power parameter in Exponential Power Distribution via polynomial regression," Temi di discussione (Economic working papers) 834, Bank of Italy, Economic Research and International Relations Area.
• Item repec:dgr:kubcen:2011134 is not listed on IDEAS anymore

• Pawel Janus & Siem Jan Koopman & André Lucas, 2011. "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers 11-175/2/DSF28, Tinbergen Institute.
• Hassler, Uwe & Meller, Barbara, 2011. "Detecting multiple breaks in long memory: The case of US inflation," Discussion Paper Series 1: Economic Studies 2011,26, Deutsche Bundesbank.