Report NEP-ETS-2011-10-09

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:

• Rasmus Tangsgaard Varneskov, 2011. "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers 2011-35, Department of Economics and Business Economics, Aarhus University.
• Markus Eberhardt, 2011. "Panel time-series modeling: New tools for analyzing xt data," United Kingdom Stata Users' Group Meetings 2011 22, Stata Users Group.
• Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
• Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde, 2011. "Multivariate Stochastic Volatility via Wishart Processes - A Continuation," Working Papers 2011-19, Faculty of Economics and Statistics, Universität Innsbruck.
• Md Atikur Rahman Khan & D.S. Poskitt, 2011. "Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes," Monash Econometrics and Business Statistics Working Papers 22/11, Monash University, Department of Econometrics and Business Statistics.
• Daisuke Nagakura & Toshiaki Watanabe, 2011. "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series gd11-200, Institute of Economic Research, Hitotsubashi University.
• Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011. "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports HSC/11/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
• Ronny Nilsson & Gyorgy Gyomai, 2011. "Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters," OECD Statistics Working Papers 2011/4, OECD Publishing.
• Peter Fuleky & Carl S. Bonham, 2011. "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers 201110, University of Hawaii at Manoa, Department of Economics.
• Peter Fuleky, 2011. "On the Choice of the Unit Period in Time Series Models," Working Papers 201111, University of Hawaii at Manoa, Department of Economics.
• Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
• Todd E. Clark & Michael W. McCracken, 2011. "Tests of equal forecast accuracy for overlapping models," Working Papers (Old Series) 1121, Federal Reserve Bank of Cleveland.
• Markus Jochmann & Gary Koop, 2011. "Regime-Switching Cointegration," Working Paper series 40_11, Rimini Centre for Economic Analysis.
• Vitor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-17, GEMF, Faculty of Economics, University of Coimbra.
• Miquel Montero, 2011. "Parrondo-like behavior in continuous-time random walks with memory," Papers 1107.2346, arXiv.org, revised Nov 2011.