Report NEP-ETS-2008-06-21

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:

• Pesaran, M.H. & Pick, A., 2008. "Forecasting Random Walks Under Drift Instability," Cambridge Working Papers in Economics 0814, Faculty of Economics, University of Cambridge.
• Item repec:dgr:kubcen:200853 is not listed on IDEAS anymore

• Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
• Item repec:dgr:uvatin:20080008 is not listed on IDEAS anymore

• Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute.
• Item repec:hal:papers:halshs-00285866_v1 is not listed on IDEAS anymore

• Aurélien Hazan & Vincent Vigneron, 2008. "Analysis of the dependence structure in econometric time series," Post-Print hal-00287463, HAL.
• Dimitris K. Christopoulos & Miguel Leon-Ledesma, 2008. "Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model," Studies in Economics 0802, School of Economics, University of Kent.
• Item repec:qut:auncer:2008-2 is not listed on IDEAS anymore

• Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany.
• Fanelli, Luca & Paruolo, Paolo, 2007. "Speed of Adjustment in Cointegrated Systems," MPRA Paper 9174, University Library of Munich, Germany.
• Sella Lisa, 2008. "Old and New Spectral Techniques for Economic Time Series," Department of Economics and Statistics Cognetti de Martiis. Working Papers 200809, University of Turin.