Report NEP-ETS-2002-12-02

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The following items were anounced in this report:

• George Kapetanios, 2002. "A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models," Working Papers 467, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary, University of London, Department of Economics. [Downloadable!]
• He, Changli & Teräsvirta, Timo, 2002. "An application of the analogy between vector ARCH and vector random coefficient autoregressive models," Working Paper Series in Economics and Finance 516, Stockholm School of Economics. [Downloadable!]
• Gonzalo Camba-Mendez & George Kapetanios, 2002. "Bootstrap Statistical Tests of Rank Determination for System Identification," Working Papers 468, Queen Mary, University of London, Department of Economics. [Downloadable!]
• R. A. L. Carter & A. Zellner, 2002. "The ARAR Error Model for Univariate Time Series and Distributed Lag Models," UWO Department of Economics Working Papers 20025, University of Western Ontario, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models," Working Papers 475, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002. "Error correction in DHSY," Working Paper Series in Economics and Finance 517, Stockholm School of Economics. [Downloadable!]
• George Kapetanios, 2002. "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers 466, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations," Working Papers 470, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Eugenie Hol & Siem Jan Koopman, 2002. "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers 02-068/4, Tinbergen Institute. [Downloadable!]
• George Kapetanios & Yongcheol Shin, 2002. "GLS Detrending for Nonlinear Unit Root Tests," Working Papers 472, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks," Working Papers 469, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• George Kapetanios, 2002. "Measuring Conditional Persistence in Time Series," Working Papers 474, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
• Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 473, Queen Mary, University of London, Department of Economics. [Downloadable!]

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