Report NEP-ECM-2004-02-01This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.
The following items were announced in this report:
- Pesaran, M.H. & Pick, A., 2004. "Econometric Issues in the Analysis of Contagion," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0402, Faculty of Economics, University of Cambridge.
- Horst Entorf, 2004. "Random Walks with Drifts, Simulaneous Equation Errors, and Small Samples - Simulating the Bird's Eye View," Econometrics, EconWPA 0401009, EconWPA.
- Anna Torres-Lacomba, 2003. "A Comparison Between Correspondence Analysis And Categorical Conjoint Measurement," Business Economics Working Papers, Universidad Carlos III, Departamento de EconomÃa de la Empresa wb037117, Universidad Carlos III, Departamento de Economía de la Empresa.
- Erlandsson, Ulf, 2004. "Reconnecting the Markov Switching Model with Economic Fundamentals," Working Papers, Lund University, Department of Economics 2004:4, Lund University, Department of Economics, revised 18 Mar 2004.
- Niklas Wagner & Terry A. Marsh, 2004. "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics, EconWPA 0401008, EconWPA.
- Bhattacharjee, A., 2004. "A Simple Test for the Absence of Covariate Dependence in Duration Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0401, Faculty of Economics, University of Cambridge.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series, Oxford Financial Research Centre 2004fe03, Oxford Financial Research Centre.
- 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, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_59, Finance Lab, Insper Instituto de Ensino e Pesquisa.