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 EconomÃa.
- 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, Board of Governors of the Federal Reserve System (U.S.) 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.