Report NEP-ETS-2009-12-19

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:

• Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper 2009/23, Norges Bank.
•  Wen-Jen Tsay, 2009. "Monitoring Structural Changes in Regression with Long Memory Processes," IEAS Working Paper : academic research 09-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Ángel de la Fuente, 2009. "A mixed splicing procedure for economic time series," UFAE and IAE Working Papers 796.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
• Deschamps, Philippe J., 2009. "Bayesian estimation of an extended local scale stochastic volatility model," DQE Working Papers 15, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 12 Nov 2011.
• Smeekes, S., 2009. "Detrending bootstrap unit root tests," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
• Emanuele Taufer & Nikolai Leonenko & Marco Bee, 2009. "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," DISA Working Papers 0907, Department of Computer and Management Sciences, University of Trento, Italy, revised 02 Dec 2009.
• Mehrhoff, Jens, 2009. "A solution to the problem of too many instruments in dynamic panel data GMM," Discussion Paper Series 1: Economic Studies 2009,31, Deutsche Bundesbank.
• Engle Robert F. & Rangel José Gonzalo, 2009. "High and Low Frequency Correlations in Global Equity Markets," Working Papers 2009-17, Banco de México.
• Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
• Gianluca Cubadda & Alain Hecq, 2009. "Testing for Common Autocorrelation in Data Rich Environments," CEIS Research Paper 153, Tor Vergata University, CEIS, revised 04 Dec 2009.
• Tim M Christensen & Stan Hurn & Adrian Pagan, 2009. "Detecting Common Dynamics in Transitory Components," NCER Working Paper Series 49, National Centre for Econometric Research.