Report NEP-ETS-2003-03-19This 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:
- Shiqing Ling & Michael McAleer, 2003. "Regression Quantiles for Unstable Autoregressive Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo.
- Item repec:dgr:eureri:2003292 is not listed on IDEAS anymore
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc.
- Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws031126, Universidad Carlos III, Departamento de Estadística y Econometría.
- Remco T. Peters & Robin G. de Vilder, 2002. "The S&P500 future index as a time changed Brownian motion," DELTA Working Papers, DELTA (Ecole normale supÃ©rieure) 2002-06, DELTA (Ecole normale supérieure).