NEP-ETS-2004-06-27

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Report NEP-ETS-2004-06-27

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:

Don U.A. Galagedera & Roland Shami, 2004. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Finance 0406011, EconWPA. [Downloadable!]
Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: a post Keynesian interpretation," Textos para DiscussÃ£o Cedeplar-UFMG td233, Cedeplar, Universidade Federal de Minas Gerais. [Downloadable!]
Roland Shami & Don U.A. Galagedera, 2004. "Beta Risk and Regime Shift in Market Volatility," Finance 0406012, EconWPA. [Downloadable!]
Christopher F. Baum, 2004. "Topics in time series regression modeling," United Kingdom Stata Users' Group Meetings 2004 7, Stata Users Group, revised 26 Jul 2004. [Downloadable!]
Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004. "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers ECO2004/21, European University Institute. [Downloadable!]
Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Benoit Bellone, 2004. "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics 0406004, EconWPA. [Downloadable!]
Peter Tillmann, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers bgse27_2003, University of Bonn, Germany. [Downloadable!]
Hsiao, C. & Pesaran, M.H., 2004. "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics 0434, Faculty of Economics, University of Cambridge. [Downloadable!]
Ralf BRUEGGEMANN & Helmut LUETKEPOHL, 2004. "Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative," Economics Working Papers ECO2004/20, European University Institute. [Downloadable!]

This page was last updated on 2009-11-15.

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