NEP-ETS-2007-01-28

This file is part of IDEAS, which uses RePEc data

Report NEP-ETS-2007-01-28

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:

Stanislav Anatolyev, 2007. "Inference about predictive ability when there are many predictors," Working Papers w0096, Center for Economic and Financial Research (CEFIR). [Downloadable!]
Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2007. "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers 6043, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Ovidiu Precup & Giulia Iori, 2005. "Cross-Correlation Measures in the High-Frequency Domain," City University Economics Discussion Papers 05/04, Department of Economics, City University, London. [Downloadable!]
Giulia Iori & Ovidiu V. Precup, 2006. "Weighted Network Analysis of High Frequency Cross-Correlation Measures," City University Economics Discussion Papers 06/10, Department of Economics, City University, London. [Downloadable!]
Angelica Gonzalez, 2007. "Empirical Likelihood: Improved Inference within Dynamic Panel Data Models," ESE Discussion Papers 154, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
Christian Kascha & Karel Mertens, 2006. "Business Cycle Analysis and VARMA models," Economics Working Papers ECO2006/37, European University Institute. [Downloadable!]
Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Antonio Matas-Mir & Denise R. Osborn & Marco Lombardi, 2005. "The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes," Econometrics Working Papers Archive wp2005_15, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive wp2006_15, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research. [Downloadable!]
Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research. [Downloadable!]
Stan Hurn & Ralf Becker, 2007. "Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8," NCER Working Paper Series 8, National Centre for Econometric Research. [Downloadable!]
Item repec:ven:wpaper:53_06 is not listed on IDEAS anymore
Item repec:ven:wpaper:56_06 is not listed on IDEAS anymore
Ziegler, Christina & Eickmeier, Sandra, 2006. "How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Discussion Paper Series 1: Economic Studies 2006,42, Deutsche Bundesbank, Research Centre. [Downloadable!]
Rao, B. Bhaskara, 2006. "Time Series Econometrics of Growth Models: A Guide for Applied Economists," MPRA Paper 1547, University Library of Munich, Germany, revised 01 Jun 2007. [Downloadable!]

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

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