NEP-ETS-2001-11-27

This file is part of IDEAS, which uses RePEc data

Report NEP-ETS-2001-11-27

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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The following items were anounced in this report:

Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," Economics Working Papers 578, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Offer Lieberman & Peter C.B. Phillips, 2001. "Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter," Cowles Foundation Discussion Papers 1308, Cowles Foundation, Yale University. [Downloadable!]
Federico M. Bandi & Peter C.B. Phillips, 2001. "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers 1332, Cowles Foundation, Yale University. [Downloadable!]
Item repec:kul:kulwps:kul0102 is not listed on IDEAS anymore
Erling B. Andersen, 2001. "Some Simple ML Estimators in Stochastic Differential Equations," Discussion Papers 01-10, University of Copenhagen. Department of Economics. [Downloadable!]
Peter C.B. Phillips, 2001. "Regression with Slowly Varying Regressors," Cowles Foundation Discussion Papers 1310, Cowles Foundation, Yale University. [Downloadable!]
Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation, Yale University. [Downloadable!]
Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang, 2001. "Nonlinear Instrumental Variable Estimation of an Autoregression," Cowles Foundation Discussion Papers 1331, Cowles Foundation, Yale University. [Downloadable!]
Peter C.B. Phillips, 2001. "Bootstrapping Spurious Regression," Cowles Foundation Discussion Papers 1330, Cowles Foundation, Yale University. [Downloadable!]
Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge. [Downloadable!]
Olivier Ledoit & Michael Wolf, 2001. "Some Hypothesis Tests for the Covariance Matrix when the Dimension is Large Compared to the Sample Size," Economics Working Papers 575, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Item repec:kul:kulwps:kul0101 is not listed on IDEAS anymore

This page was last updated on 2008-7-20.

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