NEP-ETS-2004-05-16

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Report NEP-ETS-2004-05-16

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:

Anders Eriksson & Lars Forsberg & Eric Ghysels, 2004. "Approximating the Probability Distribution of Functions of Random Variables: A New Approach," CIRANO Working Papers 2004s-21, CIRANO. [Downloadable!]
Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO. [Downloadable!]
Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," Working Paper 2004-3, Federal Reserve Bank of Atlanta. [Downloadable!]
Asani Sarkar & Lingjia Zhang, 2004. "Time-varying consumption correlation and the dynamics of the equity premium: evidence from the G-7 countries," Staff Reports 181, Federal Reserve Bank of New York. [Downloadable!]
James Morley & Jeremy M. Piger, 2005. "A steady-state approach to trend/cycle decomposition of regime-switching processes," Working Papers 2004-006, Federal Reserve Bank of St. Louis. [Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO. [Downloadable!]
McCrorie, J.R. & Chambers, M.J., 2004. "Granger causality and the sampling of economic processes," Discussion Paper 39, Tilburg University, Center for Economic Research. [Downloadable!]
Glen Donaldson & Mark Kamstra, 2004. "Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off," Working Paper 2004-6, Federal Reserve Bank of Atlanta. [Downloadable!]
Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," Working Paper 2004-1, Federal Reserve Bank of Atlanta. [Downloadable!]
Patrick Coggi & Bogdan Manescu, 2004. "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004 2004-01, Department of Economics, University of St. Gallen. [Downloadable!]
Chambers, M.J. & McCrorie, J.R., 2004. "Frequency domain gaussian estimation of temporally aggregated cointegrated systems," Discussion Paper 40, Tilburg University, Center for Economic Research. [Downloadable!]
Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004. "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," UmeÃ¥ Economic Studies 637, Umeå University, Department of Economics. [Downloadable!]

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

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