Report NEP-ETS-2005-02-05
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.Subscribe to this report: email or RSS
Other reports in NEP-ETS
The following items were announced in this report:
- Oliver Linton, 2004. "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series /2004/474, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Item repec:umc:wpaper:0303 is not listed on IDEAS anymore
- George Kapetanios & Tony Yates, 2004. "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England working papers 238, Bank of England.
- Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series /2004/479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Item repec:umc:wpaper:0420 is not listed on IDEAS anymore
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003. "Realized Beta: Persistence and Predictability," PIER Working Paper Archive 04-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2004.
- Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, School of Economics and Management, University of Aarhus.
- Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with measurement errors in dynamic models," Bank of England working papers 237, Bank of England.
- Peter M Robinson, 2004. "ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction," STICERD - Econometrics Paper Series /2004/471, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series /2004/476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Peter M Robinson, 2004. "The Distance between Rival Nonstationary Fractional Processes," STICERD - Econometrics Paper Series /2004/468, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series /2004/480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- David Mandy & Sandor Fridli, 2004. "Exact FGLS Asymptotics for MA Errors," Working Papers 0405, Department of Economics, University of Missouri, revised 16 Dec 2004.
- Item repec:dgr:eureri:30001977 is not listed on IDEAS anymore
- Item repec:umc:wpaper:0302 is not listed on IDEAS anymore
- Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria.
- Peter F. Christoffersen & Francis X.Diebold, 2003. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," PIER Working Paper Archive 04-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Item repec:umc:wpaper:0406 is not listed on IDEAS anymore