NEP-ETS-2006-05-20

This file is part of IDEAS, which uses RePEc data

Report NEP-ETS-2006-05-20

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:

Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /2006/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Javier Hualde & Peter M Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /2006/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series /2006/500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Afonso Gonçalves da Silva & Peter M Robinson, 2006. "Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory," STICERD - Econometrics Paper Series /2006/501, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute. [Downloadable!]
Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute. [Downloadable!]
Christophe Hurlin & Sessi Tokpavi, 2006. "Backtesting VaR Accuracy: A New Simple Test," Pre- and Post-Print documents halshs-00068384_v1, HAL. [Downloadable!]
Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH
Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne. [Downloadable!]

This page was last updated on 2008-7-20.

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