Report NEP-ETS-2004-05-16This 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:
- 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.
- Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
- 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.
- 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.
- 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.
- 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.
- McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
- 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.
- 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.
- 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.
- Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper 2004-40, Tilburg University, Center for Economic Research.
- 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.