Printed from https://ideas.repec.org/n/nep-ecm/2004-07-18.html
Report NEP-ECM-2004-07-18
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:
- Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005, "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers, Yale School of Management, number ysm353, Mar, revised 01 Apr 2005.
- Laurent Calvet & Adlai Fisher, 2003, "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers, National Bureau of Economic Research, Inc, number 9839, Jul.
- Corrado Crocetta & Nicola Loperfido, 2003, "Statistical Analysis of the Correlation between Italian and U.S. Stock Returns," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 12-2003, Nov.
- Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004, "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 561, Jul, revised 09 Nov 2004.
- Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004, "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 04.10, Jun.
- Boriss Siliverstovs, 2003, "Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 389.
- Harry J. Paarsch & Bjarne Brendstrup, 2004, "Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions With Asymmetric Bidders," Working Papers, Fondazione Eni Enrico Mattei, number 2004.11, Jan.
- Elisabetta Strazzera & Margarita Genius, 2004, "The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests," Working Papers, Fondazione Eni Enrico Mattei, number 2004.73, Apr.
- Giovanni S.F. Bruno, 2004, "Approximating the bias of the LSDV estimator for dynamic panel data models," United Kingdom Stata Users' Group Meetings 2004, Stata Users Group, number 2, Jun.
- Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004, "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 10614, Jul.
- Jonathan B. Hill, 2004, "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics, University Library of Munich, Germany, number 0407013, Jul, revised 15 Feb 2006.
- John Y. Campbell & Motohiro Yogo, 2003, "Efficient Tests of Stock Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 10026, Oct.