Report NEP-ETS-2007-12-08

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The following items were anounced 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. [Downloadable!]
• George Kapetanios & Vincent Labhard & Simon Price, 2007. "Forecasting using Bayesian and information theoretic model averaging: an application to UK in flation," City University Economics Discussion Papers 07/15, Department of Economics, City University, London. [Downloadable!]
• 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.). [Downloadable!]
• 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. [Downloadable!]
• John Geweke & Gianni Amisano, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank. [Downloadable!]
• Dennis Gaertner, 2007. "Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models," Working Papers 0719, University of Zurich, Socioeconomic Institute. [Downloadable!]
• Chang-Jin Kim & Yunmi Kim & Charles R. Nelson, 2007. "Business Conditions, Stock Market Volatility, and Expected Return," Working Papers UWEC-2007-29, University of Washington, Department of Economics. [Downloadable!]

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