Report NEP-ECM-2004-07-18

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Other reports in NEP-ECM

The following items were anounced in this report:

• Matthew I. Spiegel & Harry Mamaysky & Hong Zhang, 2003. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers ysm353, Yale School of Management. [Downloadable!]
• Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Corrado Crocetta & Nicola Loperfido, 2003. "Statistical Analysis of the Correlation between Italian and U.S. Stock Returns," Quaderni DSEMS 12-2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
• Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," Working Paper Series in Economics and Finance 561, Stockholm School of Economics, revised 04 Nov 2004.
• Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 04.10, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
• Boriss Siliverstovs, 2003. "Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment," Discussion Papers of DIW Berlin 389, DIW Berlin, German Institute for Economic Research. [Downloadable!]
• Harry J. Paarsch & Bjarne Brendstrup, 2004. "Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions With Asymmetric Bidders," Working Papers 2004.11, Fondazione Eni Enrico Mattei. [Downloadable!]
• Elisabetta Strazzera & Margarita Genius, 2004. "The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests," Working Papers 2004.73, Fondazione Eni Enrico Mattei. [Downloadable!]
• Giovanni S.F. Bruno, 2004. "Approximating the bias of the LSDV estimator for dynamic panel data models," United Kingdom Stata Users' Group Meetings 2004 2, Stata Users Group. [Downloadable!]
• Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004. "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers 10614, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics 0407013, EconWPA, revised 17 May 2005. [Downloadable!]
• John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

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