Report NEP-ETS-2008-08-06

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Other reports in NEP-ETS

The following items were anounced in this report:

• Giancarlo Bruno, 2008. "Forecasting Using Functional Coefficients Autoregressive Models," ISAE Working Papers 98, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
• Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute. [Downloadable!]
• Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
• Christian Conrad & Enno Mammen, 2008. "Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models," Working Papers 0473, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
• Yuanhua Feng & Jan Beran & Keming Yu, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Paper 07-14, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
• Jan Beran & Mark A. Heiler, 2007. "Estimation of a nonparametric regression spectrum for multivariate time series," CoFE Discussion Paper 07-12, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
• Yuanhua Feng & Jan Beran, 2007. "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 07-15, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
• Jan Beran & Mark A. Heiler, 2008. "A nonparametric regression cross spectrum for multivariate time series," CoFE Discussion Paper 08-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
• Jan Beran, 2007. "On parameter estimation for locally stationary long-memory processes," CoFE Discussion Paper 07-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
• Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2007. "Practical Volatility Modeling for Financial Market Risk Management," MPRA Paper 9790, University Library of Munich, Germany, revised 15 May 2008. [Downloadable!]

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