Report NEP-ETS-2002-10-08This 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.
The following items were announced in this report:
- Marco Aiolfi & Carlo Ambrogio Favero, . "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Brännäs, Kurt, 2002. "Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data," UmeÃ¥ Economic Studies 592, Umeå University, Department of Economics.
- Item repec:wop:calsdi:2000-06r is not listed on IDEAS anymore
- Item repec:wop:calsdi:2002-15 is not listed on IDEAS anymore
- Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Moser, Gabriel & Scharler, Johann & Fritzer, Friedrich, 2002. "Forecasting Austrian HICP and its Components using VAR and ARIMA Models," Working Papers 73, Oesterreichische Nationalbank (Austrian Central Bank).