NEP-ETS-2003-11-30

This file is part of IDEAS, which uses RePEc data

Report NEP-ETS-2003-11-30

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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Other reports in NEP-ETS

The following items were anounced in this report:

Katsumi Shimotsu, 2003. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Economics Discussion Papers 570, University of Essex, Department of Economics. [Downloadable!]
Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, EconWPA. [Downloadable!]
Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Fabian BORNHORST, 2003. "On the use of panel unit root tests on cross-sectionally dependent data: an application to PPP," Economics Working Papers ECO2003/24, European University Institute. [Downloadable!]
Katsumi Shimotsu, 2003. "Gaussian semiparametric estimation of multivariate fractionally integrated processes," Economics Discussion Papers 571, University of Essex, Department of Economics. [Downloadable!]
Harrison Hong & Jeremy C. Stein, 2003. "Simple Forecasts and Paradigm Shifts," NBER Working Papers 10013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Jonathan H. Wright, 2003. "Forecasting U.S. inflation by Bayesian Model Averaging," International Finance Discussion Papers 780, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," Working Paper 2003-28, Federal Reserve Bank of Atlanta. [Downloadable!]
Pandey Ajay, 2003. "Overnight Stock Returns and Time-varying Correlations," IIMA Working Papers 2003-09-05, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
Ramsey, J.B., 2002. "Wavelets in Economics and Finance: Past and Future," Working Papers 02-02, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]

This page was last updated on 2009-11-22.

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