Printed from https://ideas.repec.org/n/nep-ets/2002-04-25.html
Report NEP-ETS-2002-04-25
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:
- Racine, J & Hyndman, R.J., 2001, "Using R to Teach Econometrics," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/01, Nov.
- Hyndman, R.J. & Koehler, A.B. & Snyder, R.D. & Grose, S., 2000, "A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/00, Aug.
- Snyder, R.D. & Forbes, C.S., 1999, "Understanding the Kalman Filter: an Object Oriented Programming Perspective," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/99, Dec.
- Forbes, C.S. & Snyder, R.D. & Shami, R.S., 2000, "Bayesian Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/00, Aug.
- Sharon Kozicki, 2001, "Implications of real-time data for forecasting and modeling expectations," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 01-12.
- Shami, R.G. & Forbes, C.S., 2000, "A structural Time Series Model with Markov Switching," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/00, Dec.
- Koehler, A.B. & Snyder, R.D. & Ord, J.K., 1999, "Forecasting Models and Prediction Intervals for the Multiplicative Holt-Winters Method," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/99, Jan.
- G.C. Lim & G.M. Martin & V.L. Martin, 2002, "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/02, Feb.
- Strachan, R., 2000, "Valid Bayesian Estimation of the Cointegrating Error Correction Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/00, Jul.
- Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," NBER Working Papers, National Bureau of Economic Research, Inc, number 8895, Apr.
- Item repec:fmg:fmgdps:dp0412 is not listed on IDEAS anymore
- Anderson, H.M. & Vahid, F., 2000, "Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/00, Mar.
- Maharaj, E.A., 2001, "Comparison of Non-Stationary Time Series in the Frequency Domain," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/01, Mar.
- Anderson, H.M. & Vahid, F., 2001, "Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/01, May.
- Marahaj, E.A. & Inder, B., 1999, "Forecasting Time Series from Clusters," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/99, Jun.
- Strachan, R.W. & Inder, B., 1999, "Bayesian Trace Statistics for the Reduced Rank Regression Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/99, Oct.
- C.S. Forbes & G.M. Martin & J. Wright, 2002, "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/02, Feb.
- Fry, T.R.L. & Broadbent, S. & Dixon, J.M., 1999, "Estimating Advertising Half-Life and the Data Interval Bias," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/99, Mar.
- Hyndman, R.J. & Yao, Q., 1998, "Nonparametric Estimation and Symmetry Tests for Conditional Density Functions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/98.
- Athanasopoulos, G. & Anderson, H.M. & Vahid, F., 2001, "Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/01, Jun.
- Hyndman, R.J. & Koehler, A.B. & Ord, J.K. & Snyder, R.D., 2001, "Prediction Intervals for Exponential Smoothing State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/01, Dec.
- Leonardo Souza & Alvaro Veiga & Marcelo C. Medeiros, 2002, "Evaluating the performance of GARCH models using White´s Reality Check," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 453, Apr.
- Yacine Ait-Sahalia & Per A. Mykland, 2002, "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0276, Apr.
- Todd E. Clark & Michael W. McCracken, 2001, "Evaluating long-horizon forecasts," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 01-14.
- Hyndman, R.J. & Billah, B., 2001, "Unmasking the Theta Method," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/01, Jun.
- Vahid, F. & Issler, J.V., 2001, "The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/01, Mar.
- Maharaj, E.A., 1999, "A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/99, Sep.
- Item repec:dgr:uvatin:20020032 is not listed on IDEAS anymore
- Jon Faust & Eric T. Swanson & Jonathan H. Wright, 2002, "Identifying vars based on high frequency futures data," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 720.