Report NEP-ETS-2005-05-23

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Other reports in NEP-ETS

The following items were anounced in this report:

• Leon Bettendorf & Stephanie van der Geest & Gerard Kuper, 2005. "Do Daily Retail Gasoline Prices adjust Asymmetrically?," Tinbergen Institute Discussion Papers 05-040/2, Tinbergen Institute. [Downloadable!]
• Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Manuel Santos, 2004. "Convergence properties of the likelihood of computed dynamic models," Working Paper 2004-27, Federal Reserve Bank of Atlanta. [Downloadable!]
• Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," Working Paper 2005-07, Federal Reserve Bank of Atlanta. [Downloadable!]
• Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Thomas Sargent, 2005. "A, B, C’s, (and D’s) for understanding VARs," Working Paper 2005-09, Federal Reserve Bank of Atlanta. [Downloadable!]
• Ben R. Craig & Joachim G. Keller, 2004. "The forecast ability of risk-neutral densities of foreign exchange," Working Paper 0409, Federal Reserve Bank of Cleveland. [Downloadable!]
• N. Kundan Kishor & Evan F. Koenig, 2005. "VAR estimation and forecasting when data are subject to revision," Working Papers 05-01, Federal Reserve Bank of Dallas. [Downloadable!]
• Tim Bollerslev & Michael Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
• Mark W. French, 2005. "A nonlinear look at trend MFP growth and the business cycle: result from a hybrid Kalman/Markov switching model," Finance and Economics Discussion Series 2005-12, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
• Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City. [Downloadable!]
• Siddhartha Chib & Michael J. Dueker, 2004. "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers 2004-030, Federal Reserve Bank of St. Louis. [Downloadable!]
• Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers 2005-003, Federal Reserve Bank of St. Louis. [Downloadable!]
• Silvia Goncalves & Massimo Guidolin, 2005. "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers 2005-010, Federal Reserve Bank of St. Louis. [Downloadable!]
• Gary M. Koop & Simon M. Potter, 2004. "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports 196, Federal Reserve Bank of New York. [Downloadable!]
• Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
• Marco J. Lombardi & Simon J. Godsill, 2004. "On-line Bayesian estimation of AR signals in symmetric alpha-stable noise," Econometrics Working Papers Archive wp2004_05, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
• Marco J. Lombardi & Giorgio Calzolari, 2004. "Indirect estimation of alpha-stable distributions and processes," Econometrics Working Papers Archive wp2004_07, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
• Marco J. Lombardi, 2004. "Bayesian inference for alpha-stable distributions: a random walk MCMC approach," Econometrics Working Papers Archive wp2004_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
• Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Rob J. Hyndman & Anne B. Koehler, 2005. "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers 13/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• George Kapetanios & Elias Tzavalis, 2005. "Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset," Working Papers 537, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2005. "Tests for Deterministic Parametric Structural Change in Regression Models," Working Papers 539, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2005. "Estimating Deterministically Time-Varying Variances in Regression Models," Working Papers 540, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Hashem Dezhbakhsh & Daniel Levy, 2005. "Periodic Properties of Interpolated Time Series," Econometrics 0505004, EconWPA. [Downloadable!]
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive 03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003. [Downloadable!]

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