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Report NEP-ETS-2012-09-03
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:
- Helmut Lütkepohl, 2012, "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1235.
- Meenagh, David & Minford, Patrick & Wickens, Michael, 2012, "Testing macroeconomic models by indirect inference on unfiltered data," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2012/17, Jul.
- Maican, Florin G. & Sweeney, Richard J., 2012, "Cost of Misspecification in Break-Model Unit-Root Tests," Working Papers in Economics, University of Gothenburg, Department of Economics, number 536, Aug.
- Stefan Gerhold & Max Kleinert & Piet Porkert & Mykhaylo Shkolnikov, 2012, "Small time central limit theorems for semimartingales with applications," Papers, arXiv.org, number 1208.4282, Aug.
- Jean-Pierre Fouque & Matthew Lorig & Ronnie Sircar, 2012, "Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration," Papers, arXiv.org, number 1208.5802, Aug, revised Sep 2015.
- Jozef Barunik & Michaela Barunikova, 2012, "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers, arXiv.org, number 1208.4831, Aug, revised Feb 2013.
- Harvey, A. & Sucarrat, G., 2012, "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1236, Aug.
- Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012, "A simple specification procedure for the transition function in persistent nonlinear time series models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-500, Jul.
- Pierre Chausse & Dinghai Xu, 2012, "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers, University of Waterloo, Department of Economics, number 1203, May, revised May 2012.
- Dinghai Xu, 2012, "Continuous Empirical Characteristic Function Estimation of GARCH Models," Working Papers, University of Waterloo, Department of Economics, number 1204, May, revised May 2012.