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Report NEP-ETS-2012-05-02
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 & Nicola Fusari & Viktor Todorov, 2011, "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-11, May.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2012, "Modelling electricity day–ahead prices by multivariate Lévy semistationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-13, Mar.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012, "Unit roots, nonlinearities and structural breaks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-14, Apr.
- Neil Shephard & Dacheng Xiu, 2012, "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers, University of Oxford, Department of Economics, number 604, Apr.
- Jennifer Castle & David Hendry, 2012, "Forecasting by factors, by variables, or both?," Economics Series Working Papers, University of Oxford, Department of Economics, number 600, Apr.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012, "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/12, Apr.
- D.S. Poskitt & Wenying Yao, 2012, "VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/12, Apr.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012, "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/12, Apr.
- Mark J Jensen & John M Maheu, 2012, "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Papers, University of Toronto, Department of Economics, number tecipa-453, Apr.
- Item repec:dgr:uvatin:20120026 is not listed on IDEAS anymore
- James Morley & Jeremy Piger & Pao-Lin Tien, 2012, "Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?," Discussion Papers, School of Economics, The University of New South Wales, number 2012-23, Mar.
- Yulei Luo & Jun Nie & Eric Young, 2012, "Model uncertainty, state uncertainty, and state-space models," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 12-02.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2012, "Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12023, Apr.
- Gregor Wergen & Satya N. Majumdar & Gregory Schehr, 2012, "Record Statistics for Multiple Random Walks," Papers, arXiv.org, number 1204.5039, Apr.
- Gayatri Tilak & Tamas Szell & Remy Chicheportiche & Anirban Chakraborti, 2012, "Study of statistical correlations in intraday and daily financial return time series," Papers, arXiv.org, number 1204.5103, Apr.