Report NEP-ETS-2007-06-30This 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:
- Yunus Aksoy & Miguel A. Leon-Ledesma, 2007. "Non-linearities and Unit Roots in G7 Macroeconomic Variables," Birkbeck Working Papers in Economics and Finance 0710, Birkbeck, Department of Economics, Mathematics & Statistics.
- Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Item repec:hal:papers:halshs-00156685 is not listed on IDEAS anymore
- Item repec:hal:papers:halshs-00156688 is not listed on IDEAS anymore
- Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Volatility forecasting for crude oil futures," Research Papers in Economics 2007:9, Stockholm University, Department of Economics.
- Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets," Research Papers in Economics 2007:11, Stockholm University, Department of Economics.
- John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics.
- Jennifer Chan & Boris Choy & Udi Makov, 2007. "Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution," Research Paper Series 196, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carla Ysusi, 2006. "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation," Working Papers 2006-10, Banco de México.
- Antonio E. Noriega & Daniel Ventosa-Santaulària, 2006. "Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks," Working Papers 2006-12, Banco de México.
- Carla Ysusi, 2006. "Estimating Integrated Volatility Using Absolute High-Frequency Returns," Working Papers 2006-13, Banco de México.