NEP-ETS-2005-10-29

This file is part of IDEAS, which uses RePEc data

Report NEP-ETS-2005-10-29

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.

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Other reports in NEP-ETS

The following items were anounced in this report:

Stephen Hall & James Mitchell, 2004. "Optimal combination of density forecasts," NIESR Discussion Papers 248, National Institute of Economic and Social Research. [Downloadable!]
Stephen Hall & James Mitchell, 2004. "Density Forecast Combination," NIESR Discussion Papers 249, National Institute of Economic and Social Research. [Downloadable!]
Andres Gonzalez & Timo Terasvirta & Dick van Dijk, 2005. "Panel Smooth Transition Regression Models," Research Paper Series 165, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, EconWPA. [Downloadable!]
Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA. [Downloadable!]
Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005. "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers 05.27, Institute of Economic Policy Research (IEPR). [Downloadable!]
Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
Wan, Alan & Zou, Guohua & Banerjee, Anurag, 2004. "The Limiting Power of Autocorrelation Tests in Regression Models with Linear Restrictions," Discussion Paper Series In Economics And Econometrics 0405, Economics Division, School of Social Sciences, University of Southampton. [Downloadable!]
Pitarakis, J., 2004. "Model Selection Uncertainty and Detection of Threshold Effects," Discussion Paper Series In Economics And Econometrics 0409, Economics Division, School of Social Sciences, University of Southampton. [Downloadable!]

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