Report NEP-ETS-2011-06-04

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:

• Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, Department of Economics and Business Economics, Aarhus University.
• David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.
• Mohamed Boutahar & Rabeh Khalfaoui2, 2011. "Estimation of the long memory parameter in non stationary models: A Simulation Study," Working Papers halshs-00595057, HAL.
• Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2011. "International transmission of shocks: a time-varying factor-augmented VAR approach to the open economy," Bank of England working papers 425, Bank of England.
• Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
• García-Ferrer, Antonio & González-Prieto, Ester, 2011. "Exploring ICA for time series decomposition," DES - Working Papers. Statistics and Econometrics. WS ws111611, Universidad Carlos III de Madrid. Departamento de Estadística.
• Tristani, Oreste & Amisano, Gianni, 2011. "Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations," Working Paper Series 1341, European Central Bank.
• Stelios Bekiros, 2011. "Nonlinear causality testing with stepwise multivariate filtering," Economics Working Papers ECO2011/22, European University Institute.
• Stelios Bekiros, 2011. "Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics," Economics Working Papers ECO2011/21, European University Institute.
• Stelios Bekiros & Massimiliano Marcellino, 2011. "The Multiscale Causal Dynamics of Foreign Exchange Markets," Economics Working Papers ECO2011/23, European University Institute.
• Pesaran, M.H. & Chudik, A., 2011. "Aggregation in Large Dynamic Panels," Cambridge Working Papers in Economics 1118, Faculty of Economics, University of Cambridge.
• Francesco Carravetta & Marco M. Sorge, 2011. "On the Solution of Markov-switching Rational Expectations Models," Bonn Econ Discussion Papers bgse05_2011, University of Bonn, Germany.
• Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.