Report NEP-ETS-2007-02-10This 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.
The following items were announced in this report:
- Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia 170, Universitat de Barcelona. Espai de Recerca en Economia.
- Antoine Jacquier, 2007. "Asymptotic skew under stochastic volatility," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 0703, Birkbeck, Department of Economics, Mathematics & Statistics.
- John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers, Bank of Canada 07-1, Bank of Canada.
- Peter C.B. Phillips & Jun Yu, 2007. "Information Loss in Volatility Measurement with Flat Price Trading," Levine's Bibliography 321307000000000805, UCLA Department of Economics.
- Issler, João Victor & Lima, Luiz Renato Regis de Oliveira, 2007. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 642, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," Working Paper Series in Economics and Finance, Stockholm School of Economics 0652, Stockholm School of Economics.
- Kirdan Lees & Troy Matheson & Christie Smith, 2007. "Open economy DSGE-VAR forecasting and policy analysis - head to head with the RBNZ published forecasts," Reserve Bank of New Zealand Discussion Paper Series DP2007/01, Reserve Bank of New Zealand.
- Troy Matheson & James Mitchell & Brian Silverstone, 2007. "Nowcasting and predicting data revisions in real time using qualitative panel survey data," Reserve Bank of New Zealand Discussion Paper Series DP2007/02, Reserve Bank of New Zealand.
- Juan Carlos Escanciano & Silvia Mayoral, . "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 01/07, School of Economics and Business Administration, University of Navarra.
- Rasmus Kattai, 2007. "Constants do not stay constant because variables are varying," Bank of Estonia Working Papers, Bank of Estonia 2007-01, Bank of Estonia, revised 02 Jan 2007.
- Minford, Patrick & Theodoridis, Konstantinos & Meenagh, David, 2007. "Testing a model of the UK by the method of indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section E2007/2, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2008.
- Jürgen Franke & Jean-Pierre Stockis & Joseph Tadjuidje, 2007. "Quantile Sieve Estimates For Time Series," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2007-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Arz, Stephanus, 2006. "A new mixed multiplicative-additive model for seasonal adjusment," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2006,47, Deutsche Bundesbank, Research Centre.
- Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany.
- Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006. "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper 1593, University Library of Munich, Germany.
- Feng, Yuanhua & Yu, Keming, 2006. "Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model," MPRA Paper 1597, University Library of Munich, Germany.