Report NEP-ETS-2003-04-13This 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:
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers, Economics Group, Nuffield College, University of Oxford 2003-W12, Economics Group, Nuffield College, University of Oxford.
- Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance, Stockholm School of Economics 524, Stockholm School of Economics, revised 12 Feb 2004.
- Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers, Copenhagen Business School, Department of Finance 2002-4, Copenhagen Business School, Department of Finance.
- Meddahi, N. & Renault, E. & Werker, B.J.M., 2003. "GARCH and Irregularly Spaced Data," Discussion Paper, Tilburg University, Center for Economic Research 2003-27, Tilburg University, Center for Economic Research.
- George Kapetanios & Massimiliano Marcellino, 2003. "A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions," Working Papers, Queen Mary, University of London, School of Economics and Finance 489, Queen Mary, University of London, School of Economics and Finance.