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Report NEP-ETS-2001-12-19
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Luca Benati, 2001, "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers, Bank of England, number 142, Sep.
- Item repec:wop:cirano:2001s65 is not listed on IDEAS anymore
- Jurgen A. Doornik & Marius Ooms, 2001, "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W27, Nov.
- Siddhartha Chib & Neil Shephard, 2001, "Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W26, Aug.
- Albert Marcet & Morten O. Ravn, 2001, "The HP-filter in cross-country comparisons," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 588, Nov, revised Dec 2003.
- Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001, "Some recent developments in stochastic volatility modelling," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W25, Dec.
- Olivier Ledoit & Michael Wolf, 2001, "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 586, Nov.