Report NEP-ETS-2007-09-09

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:

• Andersson, Jonas, 2007. "On the estimation of correlations for irregularly spaced time series," Discussion Papers 2007/19, Norwegian School of Economics, Department of Business and Management Science.
• Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and inference for a Markov switching Garch model," Cahiers de recherche 07-09, HEC Montréal, Institut d'économie appliquée.
• Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-507, CIRJE, Faculty of Economics, University of Tokyo.
• Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," CIRJE F-Series CIRJE-F-514, CIRJE, Faculty of Economics, University of Tokyo.
• Hautsch, Nikolaus, 2007. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," SFB 649 Discussion Papers 2007-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Item repec:rim:rimwps:02-07 is not listed on IDEAS anymore