NEP-ETS-2008-03-01

This file is part of IDEAS, which uses RePEc data

Report NEP-ETS-2008-03-01

This 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.

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The following items were anounced in this report:

Douglas Steigerwald & Jack Erb, 2007. "Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity," University of California at Santa Barbara, Economics Working Paper Series 09-07, Department of Economics, UC Santa Barbara. [Downloadable!]
Ivana Komunjer & MICHAEL OWYANG, 2007. "Multivariate Forecast Evaluation And Rationality Testing," University of California at San Diego, Economics Working Paper Series 2007-08, Department of Economics, UC San Diego. [Downloadable!]
Markus Haas & Stefan Mittnik, 2008. "Multivariate Regime–Switching GARCH with an Application to International Stock Markets," CFS Working Paper Series 2008/08, Center for Financial Studies. [Downloadable!]
Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Pre- and Post-Print documents halshs-00259193_v1, HAL. [Downloadable!]
Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Pre- and Post-Print documents halshs-00259225_v1, HAL. [Downloadable!]
Dominique Guegan & Justin Leroux, 2008. "Forecasting chaotic systems : the role of local Lyapunov exponents," Pre- and Post-Print documents halshs-00259238_v1, HAL. [Downloadable!]
Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 07-15, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
Cristina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers 03/2008, NIPE - Universidade do Minho. [Downloadable!]

This page was last updated on 2008-7-20.

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