NEP-ETS-2001-09-10

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Report NEP-ETS-2001-09-10

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 anounced in this report:

M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.
Jaebeom Kim & Masao Ogaki & Min-Seok Yang, 2001. "Structural Error Correction Models: Instrumental Variables Methods and Application to an Exchange Rate Model," Working Papers 01-01, Ohio State University, Department of Economics. [Downloadable!]
Chang-Jin Kim & Charles Nelson & Jeremy Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
U. Horst, . "Asymptotics of locally interacting Markov chains with global signals," Sonderforschungsbereich 373 2001-29, Humboldt Universitaet Berlin.
W. Härdle & T. Kleinow & A. Korostelev & C. Logeay, . "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Sonderforschungsbereich 373 2001-24, Humboldt Universitaet Berlin.
Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001. [Downloadable!]
H. Föllmer & U. Horst, . "Convergence of locally and globally interacting Markov chains," Sonderforschungsbereich 373 2001-21, Humboldt Universitaet Berlin.
M. Lanne & H. Lütkepohl & P. Saikkonen, . "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Sonderforschungsbereich 373 2001-39, Humboldt Universitaet Berlin.
B. Candelon & L. Gil-Alana, . "Fractional Integration and Business Cycle Features," Sonderforschungsbereich 373 2001-46, Humboldt Universitaet Berlin.
L. Gil-Alana, . "Forecasting the Real Output Using Fractionally Integrated Techniques," Sonderforschungsbereich 373 2001-27, Humboldt Universitaet Berlin.
W. Härdle & H. Herwartz & V. Spokoiny, . "Time Inhomogeneous Multiple Volatility Modelling," Sonderforschungsbereich 373 2001-7, Humboldt Universitaet Berlin.
S. Chen & W. Härdle & T. Kleinow, . "An Empirical Likelihood Goodness-of-Fit Test for Time Series," Sonderforschungsbereich 373 2001-1, Humboldt Universitaet Berlin.
W. Härdle & J. Horowitz & J.-P. Kreiss, . "Bootstrap Methods For Time Series," Sonderforschungsbereich 373 2001-59, Humboldt Universitaet Berlin.
Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Normal modified stable processes," Economics Papers 2001-W6, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics. [Downloadable!]
U. Küchler & V.A. Vasiliev, . "On guaranteed parameter estimation of stochastic differential equations with time delay by noisy observations," Sonderforschungsbereich 373 2001-14, Humboldt Universitaet Berlin.
J.-P. Kreiss & E. Paparoditis, . "Autoregressive Aided Periodogram Bootstrap for Time Series," Sonderforschungsbereich 373 2001-60, Humboldt Universitaet Berlin.
Charles R. Nelson, 1987. "Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root," NBER Technical Working Papers 0063, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
L. Gil-Alana, . "A Joint Test of Fractional Cyclic Integration and a Linear Time Trend," Sonderforschungsbereich 373 2001-26, Humboldt Universitaet Berlin.
Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
M. Fengler & W. Härdle & C. Villa, . "The Dynamics of Implied Volatilities: A Common Principle Components Approach," Sonderforschungsbereich 373 2001-38, Humboldt Universitaet Berlin.
G. Caporale & L. Gil-Alana, . "Unemployment and Input Prices: A Fractional Cointegration Approach," Sonderforschungsbereich 373 2001-56, Humboldt Universitaet Berlin.
Kyungho Jang & Masao Ogaki, 2001. "The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Working Papers 01-02, Ohio State University, Department of Economics. [Downloadable!]
U. Küchler & E. Platen, . "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Sonderforschungsbereich 373 2001-30, Humboldt Universitaet Berlin.

This page was last updated on 2009-11-29.

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