Multipower Variation for Brownian Semistationary Processes,
Ole Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij,
from Department of Economics and Business Economics, Aarhus University
(2009)
Keywords: Central Limit Theorem, Gaussian Processes, Intermittency, Nonsemimartingales, Turbulence, Volatility, Wiener Chaos
Stochastic volatility of volatility in continuous time,
Ole Barndorff-Nielsen and Almut Veraart,
from Department of Economics and Business Economics, Aarhus University
(2009)
Keywords: Stochastic volatility, volatility of volatility, non-Gaussian Ornstein–Uhlenbeck process, superposition, leverage effect, Lévy processes.
A Meta-Distribution for Non-Stationary Samples,
Dominique Guégan,
from Department of Economics and Business Economics, Aarhus University
(2009)
Keywords: Non-Stationarity, Copula, Long-memory, Switching, Cumulants, Estimation theory
Co-integration Rank Testing under Conditional Heteroskedasticity,
Giuseppe Cavaliere, Anders Rahbek and Robert Taylor,
from Department of Economics and Business Economics, Aarhus University
(2009)
Keywords: Co-integration, trace and maximum eigenvalue rank tests, conditional heteroskedasticity, i.i.d. bootstrap, wild bootstrap
Efficiency in Large Dynamic Panel Models with Common Factor,
Patrick Gagliardini and Christian Gourieroux,
from Swiss Finance Institute
(2009)
Keywords: Nonlinear Panel Model, Factor Model, Exchangeability, Systematic Risk, Efficiency Bound, Semi-parametric Efficiency, Fixed Effects Estimator, Bayesian Statistics, Stochastic Migration, Granularity
Nonlinear Time Series in Financial Forecasting,
Gloria González-Rivera and Tae Hwy Lee,
from University of California at Riverside, Department of Economics
(2008)
To Combine Forecasts or to Combine Information?,
Huiyu Huang and Tae Hwy Lee,
from University of California at Riverside, Department of Economics
(2009)
Keywords: Equally weighted combination of forecasts, Equity premium, Factor models, Fore- cast combination, Forecast combination puzzle, Information sets, Many predictors, Principal components, Shrinkage
Multivariate methods for monitoring structural change,
Jan Groen, George Kapetanios and Simon Price,
from Bank of England
(2009)
Keywords: monitoring; structural change; panel; CUSUM; fluctuation test