## Report NEP-ETS-2005-02-13

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:

- Item repec:bbk:bbkefp:0412 is not listed on IDEAS anymore
- Item repec:bbk:bbkefp:0413 is not listed on IDEAS anymore
- Jean-Marie Dufour, 2005.
"
**Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics**," CIRANO Working Papers 2005s-02, CIRANO. - Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005.
"
**Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions**," CIRANO Working Papers 2005s-03, CIRANO. - Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2004.
"
**Interpolation and Backdating with A Large Information Set**," CEPR Discussion Papers 4533, C.E.P.R. Discussion Papers. - Pesavento, Elena & Rossi, Barbara, 2004.
"
**Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons**," CEPR Discussion Papers 4536, C.E.P.R. Discussion Papers. - Pesaran, M Hashem & Pettenuzzo, Davide & Timmermann, Allan G, 2004.
"
**Forecasting Time Series Subject to Multiple Structural Breaks**," CEPR Discussion Papers 4636, C.E.P.R. Discussion Papers. - Elliott, Graham & Timmermann, Allan G, 2004.
"
**Optimal Forecast Combination Under Regime Switching**," CEPR Discussion Papers 4649, C.E.P.R. Discussion Papers. - Frühwirth-Schnatter, Sylvia & Kaufmann, Sylvia, 2004.
"
**Model-based Clustering of Multiple Time Series**," CEPR Discussion Papers 4650, C.E.P.R. Discussion Papers. - Kandel, Shmuel & Zilca, Shlomo, 2004.
"
**A Variance Ratio Related Prediction Tool with Application to the NYSE Index 1825-2002**," CEPR Discussion Papers 4729, C.E.P.R. Discussion Papers. - Konstantin A., KHOLODILIN & Wension Vincent, YAO, 2004.
"
**Business Cycle Turning Points : Mixed-Frequency Data with Structural Breaks**," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2004024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). - Campagnoli Patrizia & Muliere Pietro & Petrone Sonia, .
"
**Generalized dynamic linear models for financial time series**," Economics and Quantitative Methods qf0003, Department of Economics, University of Insubria. - Paruolo Paolo, .
"
**The power of lambda max**," Economics and Quantitative Methods qf0004, Department of Economics, University of Insubria. - Mira Antonietta, .
"
**On Metropolis-Hastings algorithms with delayed rejection**," Economics and Quantitative Methods qf0005, Department of Economics, University of Insubria. - Paruolo Paolo, .
"
**Asymptotic standard errors for common trends linear combinations in I(2) VAR systems**," Economics and Quantitative Methods qf0007, Department of Economics, University of Insubria. - Paruolo Paolo, .
"
**LR cointegration tests when some cointegrating relations are known**," Economics and Quantitative Methods qf0106, Department of Economics, University of Insubria. - Paruolo Paolo, .
"
**On Monte Carlo Estimation of Relative Power**," Economics and Quantitative Methods qf0112, Department of Economics, University of Insubria. - Todd E. Clark & Kenneth D. West, 2005.
"
**Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference**," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc. - Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003.
"
**Multiple time scales in volatility and leverage correlation: A stochastic volatility model**," Science & Finance (CFM) working paper archive 50001, Science & Finance, Capital Fund Management. - Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard, 2001.
"
**Microscopic models for long ranged volatility correlations**," Science & Finance (CFM) working paper archive 500024, Science & Finance, Capital Fund Management. - Atsushi Inoue & Mototsugu Shintani, 2001.
"
**Bootstrapping GMM Estimators for Time Series**," Vanderbilt University Department of Economics Working Papers 0129, Vanderbilt University Department of Economics, revised Aug 2003. - Xiaohong Chen & Yanqin Fan, 2002.
"
**Evaluating Density Forecasts via the Copula Approach**," Vanderbilt University Department of Economics Working Papers 0225, Vanderbilt University Department of Economics, revised Sep 2003.