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Report NEP-ETS-2003-09-24
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:
- Raffaella Giacomini & Halbert White, 2003, "Tests of conditional predictive ability," Boston College Working Papers in Economics, Boston College Department of Economics, number 572, Apr.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004, "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers, Federal Reserve Bank of St. Louis, number 2003-015, DOI: 10.20955/wp.2003.015.
- David Demery & Nigel Duck, 2002, "Cointegration-based tests of the New Keynesian Model of inflation," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 02/541, Aug.
- L. Baele, 2003, "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 03/189, Aug.
- Hao Zhou, 2003, "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2003-32.
- Christopher J. Neely, 2004, "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers, Federal Reserve Bank of St. Louis, number 2003-018, DOI: 10.20955/wp.2003.018.
- Clifford L.F. Attfield, 2003, "Structural Breaks and Convergence in Output Growth in the EU," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 03/544, Jan.
- Tim Bollerslev & Hao Zhou, 2003, "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2003-40.