Report NEP-ETS-1999-10-20This 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:
- Simon M. Potter, 1999. "Nonlinear time series modelling: an introduction," Staff Reports 87, Federal Reserve Bank of New York.
- Éric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO.
- Theodore M. Crone & Michael P. McLaughlin, 1999. "A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area," Working Papers 99-7, Federal Reserve Bank of Philadelphia.
- Michael Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco.