Report NEP-ETS-2004-08-16

Subscribe to this report: email or RSS

Other reports in NEP-ETS

The following items were anounced in this report:

• Katsumi Shimotsu & Alex Maynard, 2004. "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 Far Eastern Meetings 518, Econometric Society. [Downloadable!]
• Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2004. "Purchasing power parity and the unit root tests: A robust analysis," Economics Working Papers (Ensaios Economicos da EPGE) 552, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Pilar Grau-Carles, 2004. "Test for long memory processes. A bootstrap approach," Computing in Economics and Finance 2004 111, Society for Computational Economics. [Downloadable!]
• Myunghwan Seo, 2004. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," Econometric Society 2004 North American Summer Meetings 494, Econometric Society. [Downloadable!]
• Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
• Alain Noullez & Alessandra Iacobucci, 2004. "A Frequency-selective Filter for Short-Length Time Series," Computing in Economics and Finance 2004 128, Society for Computational Economics. [Downloadable!]
• Sainan Jin & Peter Phillips & Yixiao Sun, 2004. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Econometric Society 2004 North American Winter Meetings 299, Econometric Society. [Downloadable!]
• Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society. [Downloadable!]
• Stan Radchenko & Oleg Korenok, 2004. "The role of permanent and transitory components in business cycle volatility moderation," Econometric Society 2004 North American Summer Meetings 149, Econometric Society. [Downloadable!]
• Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics. [Downloadable!]
• Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings 508, Econometric Society. [Downloadable!]
• Rodney W. Strachan & Herman K. van Dijk, 2004. "The Value of Structural Information in the VAR Model," Econometric Society 2004 North American Summer Meetings 45, Econometric Society. [Downloadable!]
• Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics. [Downloadable!]
• David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series 128, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Kirstin Hubrich, 2004. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Computing in Economics and Finance 2004 230, Society for Computational Economics. [Downloadable!]
• Daniela Hristova, 2004. "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004 47, Society for Computational Economics. [Downloadable!]
• Peter C. B. Phillips & Chirok Han, 2004. "GMM with Many Moment Conditions," Econometric Society 2004 Far Eastern Meetings 525, Econometric Society. [Downloadable!]
• PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics. [Downloadable!]
• S. Manzan, 2004. "Nonlinear Mean Reversion in Stock Prices," Computing in Economics and Finance 2004 264, Society for Computational Economics. [Downloadable!]
• Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings 198, Econometric Society. [Downloadable!]
• M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Statistics and Econometrics Working Papers ws042007, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
• D.S.P Rao & Rambaldi & A.N., 2004. "A Constrained State-Space Approach to the Prediction of Comparable Real Income Across Countries," Econometric Society 2004 Australasian Meetings 154, Econometric Society. [Downloadable!]
• Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings 125, Econometric Society. [Downloadable!]
• Peter Vlaar & Ard den Reijer, 2004. "Forecasting inflation: An art as well as a science!," Computing in Economics and Finance 2004 148, Society for Computational Economics. [Downloadable!]
• Garland Durham, 2004. "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings 294, Econometric Society. [Downloadable!]
• Rana Chatterjee, 2004. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: Evidence From The Uk And Germany," Computing in Economics and Finance 2004 346, Society for Computational Economics. [Downloadable!]
• Lennart F. Hoogerheide & Johan F. Kaashoek, 2004. "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004 74, Society for Computational Economics. [Downloadable!]

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