Report NEP-ETS-2005-04-16

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The following items were anounced in this report:

• Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering. [Downloadable!]
• Matthias HAGMANN & Carlos LENZ, 2004. "Real Asset Returns and Components of Inflation: A Structural VAR Analysis," FAME Research Paper Series rp118, International Center for Financial Asset Management and Engineering. [Downloadable!]
• Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering. [Downloadable!]
• Quoreshi, Shahiduzzaman, 2005. "Bivariate Time Series Modelling of Financial Count Data," UmeÃ¥ Economic Studies 655, Umeå University, Department of Economics. [Downloadable!]
• Welz, Peter & Österholm, Pär, 2005. "Interest Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests," Working Paper Series 2005:14, Uppsala University, Department of Economics. [Downloadable!]
• Kazuhiko Hayakawa, 2005. "Small Sample Bias Propreties of the System GMM Estimator in Dynamic Panel Data Models," Hi-Stat Discussion Paper Series d05-82, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
• Nikolaus Hautsch, 2005. "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers 2005/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
• D H Kim, 2005. "Nonlinearity in the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 51, Economics, The Univeristy of Manchester. [Downloadable!]
• Baki Billah & Maxwell L King & Ralph D Snyder & Anne B Koehler, 2005. "Exponential Smoothing Model Selection for Forecasting," Monash Econometrics and Business Statistics Working Papers 6/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds, 2005. "Time Series Forecasting: The Case for the Single Source of Error State Space," Monash Econometrics and Business Statistics Working Papers 7/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• DUFOUR, Jean-Marie & FARHAT, Abdekjelik & HALLIN, Marc, 2005. "Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series," Cahiers de recherche 2005-05, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
• DUFOUR, Jean-Marie & TAREK, Jouini, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 2005-09, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
• Eric Hillebrand, 2005. "Overlaying Time Scales in Financial Volatility Data," Econometrics 0501015, EconWPA. [Downloadable!]
• Stanislav Radchenko, 2005. "The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend," Econometrics 0502002, EconWPA. [Downloadable!]
• Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, EconWPA. [Downloadable!]
• Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, EconWPA. [Downloadable!]
• Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005. "On detecting and modeling periodic correlation in financial data," Econometrics 0502006, EconWPA. [Downloadable!]
• Bragoudakis Zacharias, 2005. "Assessing Forecast Performance in a VEC Model: An Empirical Examination," Econometrics 0502007, EconWPA. [Downloadable!]
• Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, EconWPA. [Downloadable!]
• Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics 0502011, EconWPA. [Downloadable!]
• Vadim Marmer, 2005. "Nonlinearity, Nonstationarity and Spurious Forecasts," Econometrics 0503002, EconWPA, revised 15 Dec 2005. [Downloadable!]
• Matteo M. Pelagatti, 2005. "Business cycle and sector cycles," Econometrics 0503006, EconWPA. [Downloadable!]
• Matteo M. Pelagatti & Stefania Rondena, 2005. "Dynamic Conditional Correlation with Elliptical Distributions," Econometrics 0503007, EconWPA. [Downloadable!]
• Matteo M. Pelagatti, 2005. "Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications," Econometrics 0503008, EconWPA. [Downloadable!]
• Ozgen Sayginsoy, 2005. "Powerful and Serial Correlation Robust Tests of the Economic Convergence Hypothesis," Econometrics 0503014, EconWPA, revised 11 Mar 2005. [Downloadable!]
• Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, EconWPA. [Downloadable!]
• Marie Bessec & Othman Bouabdallah, 2005. "What causes the forecasting failure of Markov-Switching models? A Monte Carlo study," Econometrics 0503018, EconWPA. [Downloadable!]
• Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, EconWPA. [Downloadable!]
• Rafal Weron & Adam Misiorek, 2005. "Forecasting Spot Electricity Prices With Time Series Models," Econometrics 0504001, EconWPA. [Downloadable!]
• Chen Pu & Hsiao Chihying, 2005. "Testing Cointegration Rank in Large Systems," Econometrics 0504002, EconWPA. [Downloadable!]
• Patrick Crowley & Jim Lee, 2005. "Decomposing the co-movement of the business cycle: a time- frequency analysis of growth cycles in the eurozone," Macroeconomics 0503015, EconWPA. [Downloadable!]
• Patrick Marsh, . "The Available Information for Invariant Tests of a Unit Root," Discussion Papers 05/03, Department of Economics, University of York. [Downloadable!]
• Joaquim J.S. Ramalho & Richard J. Smith, 2005. "Goodness of Fit Tests for Moment Condition Models," Economics Working Papers 5_2005, University of Évora, Department of Economics (Portugal). [Downloadable!]

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