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Report NEP-ETS-2012-01-03
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:
- Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011, "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-49, Nov.
- Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011, "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers, Czech National Bank, Research and Statistics Department, number 2011/10, Nov.
- Miguel Artiach, 2011, "Second-order moments of frequency asymmetric cycles," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2011-27, Dec.
- Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011, "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers, CIRANO, number 2011s-72, Nov.
- Item repec:dgr:umamet:2011056 is not listed on IDEAS anymore
- Item repec:dnb:dnbwpp:327 is not listed on IDEAS anymore
- Cristin Buescu & Michael Taksar & Fatoumata J. Kon'e, 2011, "An application of the method of moments to volatility estimation using daily high, low, opening and closing prices," Papers, arXiv.org, number 1112.4534, Dec.
- Vladimir Filimonov & Didier Sornette, 2011, "Spurious trend switching phenomena in financial markets," Papers, arXiv.org, number 1112.3868, Dec.
- Pierre Perron & Tomoyoshi Yabu, 2011, "Testing for Trend in the Presence of Autoregressive Error: A Comment," Keio/Kyoto Joint Global COE Discussion Paper Series, Keio/Kyoto Joint Global COE Program, number 2011-024, Oct.