Report NEP-ETS-2007-01-13

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The following items were anounced in this report:

• Yixiao Sun & Peter Phillips & Sainan Jin, 2005. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗," University of California at San Diego, Economics Working Paper Series 2005-12, Department of Economics, UC San Diego. [Downloadable!]
• Ivana Komunjer & Quang Vuong, 2006. "Efficientt Conditional Quantile Estimation: The Time Series Case," University of California at San Diego, Economics Working Paper Series 2006-10, Department of Economics, UC San Diego. [Downloadable!]
• Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
• Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation, Yale University. [Downloadable!]
• Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation, Yale University. [Downloadable!]
• Peter C.B. Phillips & Jun Yu, 2007. "Information Loss in Volatility Measurement with Flat Price Trading," Cowles Foundation Discussion Papers 1598, Cowles Foundation, Yale University. [Downloadable!]
• Chirok Han & Peter C.B. Phillips, 2007. "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity," Cowles Foundation Discussion Papers 1599, Cowles Foundation, Yale University. [Downloadable!]
• Timothy J. Halliday, 2006. "Testing for State Dependence with Time-Variant Transition Probabilities," Working Papers 200614, University of Hawaii at Manoa, Department of Economics. [Downloadable!]
• Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 24 Jan 2007. [Downloadable!]
• Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria. [Downloadable!]
• Fonseca Giovanni, 2005. "Stability conditions for a Piecewise Deterministic Markov Process," Economics and Quantitative Methods qf0502, Department of Economics, University of Insubria. [Downloadable!]
• Felix Chan & Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Stability tests for heterogeneous panel data," PSE Working Papers 2006-49, PSE (Ecole normale supérieure). [Downloadable!]
• Silvia S.W. Lui, 2006. "An Empirical Study of Asian Stock Volatility Using Stochastic Volatility Factor Model: Factor Analysis and Forecasting," Working Papers 581, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Hugo Kruiniger, 2006. "Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions," Working Papers 582, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil). [Downloadable!]
• Chuan Goh, 2007. "Bandwidth Selection for Semiparametric Estimators Using the m-out-of-n Bootstrap," Working Papers tecipa-274, University of Toronto, Department of Economics. [Downloadable!]

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