Report NEP-ETS-2004-06-02

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Other reports in NEP-ETS

The following items were anounced in this report:

• McCAUSLAND, William, 2004. "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche 2004-07, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
• Souza, Leonardo Rocha, 2003. "The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes," Economics Working Papers (Ensaios Economicos da EPGE) 470, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Yanjun Liu & Bing-Sun Wong, . "Estimating Structural Breaks in the Volatility of Canadian Output Growth," Working Papers-Department of Finance Canada 2003-20, Department of Finance Canada. [Downloadable!]
• M. Hashem Pesaran & Andreas Pick, 2004. "Econometric Issues in the Analysis of Contagion," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
• Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie, 2004. "Robustness of stationary tests under long-memory alternatives," Economics Working Papers (Ensaios Economicos da EPGE) 541, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• K. Borovkov & Alexander Novikov, 2004. "Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process," Research Paper Series 115, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Souza, Leonardo Rocha, 2003. "Temporal Aggregation and Bandwidth Selection in Estimating Long Memory," Economics Working Papers (Ensaios Economicos da EPGE) 478, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Fernandes, Marcelo & Monteiro, Paulo Klinger, 2004. "Central limit theorem for asymmetric kernel functionals," Economics Working Papers (Ensaios Economicos da EPGE) 522, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA. [Downloadable!]
• R. Liptser & Alexander Novikov, 2004. "On Tail Distributions of Supremum and Quadratic Variation of Local Martingales," Research Paper Series 116, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Item repec:wpa:wuwpfi:0405031 is not listed on IDEAS anymore

• Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Leah Kelly & Eckhard Platen, 2003. "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series 96, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• A Garratt & K Lee & M Pesaran & Yongcheol Shin, 2004. "A long run structural macroeconometric model of the UK," ESE Discussion Papers 35, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
• Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro de, 2003. "Convex Combinations of Long Memory Estimates from Different Sampling Rates," Economics Working Papers (Ensaios Economicos da EPGE) 489, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Souza, Leonardo Rocha, 2003. "A note on Chambers's "long memory and aggregation in macroeconomic time series"," Economics Working Papers (Ensaios Economicos da EPGE) 503, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Cysne, Rubens Penha, 2004. "On the statistical estimation of diffusion processes: A survey," Economics Working Papers (Ensaios Economicos da EPGE) 540, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Lima, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2004. "Testing unit root based on partially adaptive estimation," Economics Working Papers (Ensaios Economicos da EPGE) 528, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, EconWPA. [Downloadable!]
• Kim, Soyoung & Lima, Luiz Renato Regis de Oliveira, 2004. "A new perspective on the PPP hypothesis," Economics Working Papers (Ensaios Economicos da EPGE) 530, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• R. M. Eldridge & Maurice Peat & Max Stevenson, 2003. "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series 122, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
• David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," Economics Working Papers (Ensaios Economicos da EPGE) 488, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie, 2004. "Do shocks permanently change output? Local persistency in economic time series," Economics Working Papers (Ensaios Economicos da EPGE) 529, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]

This page was last updated on 2009-11-29.