NEP-ETS-2004-04-04

This file is part of IDEAS, which uses RePEc data

Report NEP-ETS-2004-04-04

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:

Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
Jonathan Dark, 2004. "Basis convergence and long memory in volatility when dynamic hedging with SPI futures," Monash Econometrics and Business Statistics Working Papers 6/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, School of Economics and Management, University of Aarhus. [Downloadable!]
Renault, E. & Werker, B.J.M., 2004. "Stochastic volatility models with transaction time risk," Discussion Paper 24, Tilburg University, Center for Economic Research. [Downloadable!]
Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

This page was last updated on 2009-12-20.

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