Report NEP-ECM-2004-02-01

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The following items were anounced in this report:

• Pesaran, M.H. & Pick, A., 2004. "Econometric Issues in the Analysis of Contagion," Cambridge Working Papers in Economics 0402, Faculty of Economics, University of Cambridge. [Downloadable!]
• Horst Entorf, 2004. "Random Walks with Drifts, Simulaneous Equation Errors, and Small Samples - Simulating the Bird's Eye View," Econometrics 0401009, EconWPA. [Downloadable!]
• Anna Torres-Lacomba, 2003. "A Comparison Between Correspondence Analysis And Categorical Conjoint Measurement," Business Economics Working Papers wb037117, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
• Erlandsson, Ulf, 2004. "Reconnecting the Markov Switching Model with Economic Fundamentals," Working Papers 2004:4, Lund University, Department of Economics, revised 18 Mar 2004. [Downloadable!]
• Niklas Wagner & Terry A. Marsh, 2004. "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics 0401008, EconWPA. [Downloadable!]
• Bhattacharjee, A., 2004. "A Simple Test for the Absence of Covariate Dependence in Duration Models," Cambridge Working Papers in Economics 0401, Faculty of Economics, University of Cambridge. [Downloadable!]
• Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series 2004fe03, Oxford Financial Research Centre. [Downloadable!]
• Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Ibmec São Paulo. [Downloadable!]

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