Report NEP-ETS-2007-12-08This 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:
- Miguel A. Delgado & Carlos Velasco, 2007. "A new class of distribution-free tests for time series models specification," Economics Working Papers we078047, Universidad Carlos III, Departamento de Economía.
- Item repec:cty:dpaper:0715 is not listed on IDEAS anymore
- Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.).
- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007. "Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously," CIRJE F-Series CIRJE-F-515, CIRJE, Faculty of Economics, University of Tokyo.
- Geweke, John & Amisano, Gianni, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 0831, European Central Bank.
- Dennis Gaertner, 2007. "Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models," SOI - Working Papers 0719, Socioeconomic Institute - University of Zurich.
- Chang-Jin Kim & Yunmi Kim & Charles R. Nelson, 2008. "Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?," Working Papers UWEC-2007-29, University of Washington, Department of Economics.