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Report NEP-ECM-2004-02-01
This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- Pesaran, M.H. & Pick, A., 2004, "Econometric Issues in the Analysis of Contagion," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0402, Jan.
- Horst Entorf, 2004, "Random Walks with Drifts, Simulaneous Equation Errors, and Small Samples - Simulating the Bird's Eye View," Econometrics, University Library of Munich, Germany, number 0401009, Jan.
- Torres Lacomba, Anna, 2003, "A comparison between correspondence analysis and categorical conjoint measurement," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa, number wb037117, Jan.
- Erlandsson, Ulf, 2004, "Reconnecting the Markov Switching Model with Economic Fundamentals," Working Papers, Lund University, Department of Economics, number 2004:4, Jan, revised 04 Nov 2004.
- Niklas Wagner & Terry A. Marsh, 2004, "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics, University Library of Munich, Germany, number 0401008, Jan.
- Bhattacharjee, A., 2004, "A Simple Test for the Absence of Covariate Dependence in Duration Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0401, Jan.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004, "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe03.
- Pedro L. Valls Pereira, 2004, "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_59, Oct.