Report NEP-ETS-2010-09-25

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:

• Bent Jesper Christensen & Paolo Santucci de Magistris, 2010. "Level Shifts in Volatility and the Implied-Realized Volatility Relation," CREATES Research Papers 2010-60, Department of Economics and Business Economics, Aarhus University.
• James G. MacKinnon & Morten Ørregaard Nielsen, 2010. "Numerical distribution functions of fractional unit root and cointegration tests," CREATES Research Papers 2010-59, Department of Economics and Business Economics, Aarhus University.
• Francesco Ravazzolo & Philip Rothman, 2010. "Oil and US GDP: A real-time out-of-sample examination," Working Paper 2010/18, Norges Bank.
• Trenkler, Carsten & Weber, Enzo, 2010. "Testing for Codependence of Non-Stationary Variables," University of Regensburg Working Papers in Business, Economics and Management Information Systems 446, University of Regensburg, Department of Economics.
• Trenkler, Carsten & Weber, Enzo, 2010. "On the Identification of Codependent VAR and VEC Models," University of Regensburg Working Papers in Business, Economics and Management Information Systems 445, University of Regensburg, Department of Economics.
• Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
• Peter C. B. Phillips & Jun Yu, 2010. "Dating the Timeline of Financial Bubbles during the Subprime Crisis," Cowles Foundation Discussion Papers 1770, Cowles Foundation for Research in Economics, Yale University.
• Jiti Gao & Peter C. B. Phillips, 2010. "Semiparametric Estimation in Time Series of Simultaneous Equations," Cowles Foundation Discussion Papers 1769, Cowles Foundation for Research in Economics, Yale University.
• Peter C. B. Phillips, 2010. "The Mysteries of Trend," Cowles Foundation Discussion Papers 1771, Cowles Foundation for Research in Economics, Yale University.
• Xiaoxia Shi & Peter C. B. Phillips, 2010. "Nonlinear Cointegrating Regression under Weak Identification," Cowles Foundation Discussion Papers 1768, Cowles Foundation for Research in Economics, Yale University.
• Feldkircher, Martin, 2010. "Forecast Combination and Bayesian Model Averaging - A Prior Sensitivity Analysis," Working Papers in Economics 2010-14, University of Salzburg.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 707, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Jin Feng & Jean-Pierre Fouque & Rohini Kumar, 2010. "Small-time asymptotics for fast mean-reverting stochastic volatility models," Papers 1009.2782, arXiv.org, revised Aug 2012.
• Frantisek Slanina, 2010. "A contribution to the systematics of stochastic volatility models," Papers 1009.2696, arXiv.org.
• Shelley, Gary & Wallace, Frederick, 2010. "Further evidence regarding nonlinear trend reversion of real GDP and the CPI," MPRA Paper 24962, University Library of Munich, Germany.