Report NEP-ETS-2003-10-20

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:

• A. Sfetsos & C. Siriopoulos, 2002, "A hybrid clustering scheme for time series forecasting," Computing in Economics and Finance 2002, Society for Computational Economics, number 17, Jul.
• Fajardo, J. & Cajueiro, D. O., 2003, "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_53, Oct.
• Andrés Bujosa & Marcos Bujosa & Antonio García Ferrer, 2002, "A Note on the Pseudo-Spectra and the Pseudo-Covariance Generating Functions of ARMA Processes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0203.
• Frédéric Karamé & Lise Patureau & Thepthida Sopraseuth, 2002, "Can We Beat the Random Walk Forecasts of Out-of-Sample Exchange Rates? A Structural Approach," Computing in Economics and Finance 2002, Society for Computational Economics, number 233, Jul.
• Burkhard Raunig, 2003, "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 86, Sep.
• Marcos Bujosa & Antonio García Ferrer & Peter Young, 2002, "An ARMA Representation of Unobserved Component Models under Generalized Random Walk Specifications: New Algorithms and Examples," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0204.
• Item repec:mtl:montde:07-2003 is not listed on IDEAS anymore

• Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003, "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/03, Oct.
• M. Kabir Hassan & Anisul M. Islam & Syed Basher, 2003, "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Finance, University Library of Munich, Germany, number 0310015, Oct.
• Charemza W.W. & M. Lifshits & S. Makarova, 2002, "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002, Society for Computational Economics, number 251, Jul.
• massimo franchi, 2002, "A Non-Causal Identification Scheme for Vector Autoregressions," Computing in Economics and Finance 2002, Society for Computational Economics, number 290, Jul.
• Item repec:mtl:montde:06-2003 is not listed on IDEAS anymore

• Takshi Yamada & Kazuhiro Ueda & Takashi Okatsu, 2002, "Relationships between market sentiment and price dynamics in an artificial stock market," Computing in Economics and Finance 2002, Society for Computational Economics, number 263, Jul.
• Pesaran, M.H., 2003, "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0346, Oct.
• Clinton WATKINS & Michael McALEER, 2002, "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002, Society for Computational Economics, number 18, Jul.
• J. Huston McCulloch & Prasad V. Bidarkota, 2003, "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003, Society for Computational Economics, number 59, Aug.
• Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003, "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_55, Oct.
• Syed A. Basher & Mohammed Mohsin, 2003, ""PPP tests in cointegrated panels: Evidence from Asian developing countries"," Macroeconomics, University Library of Munich, Germany, number 0310012, Oct.
• Item repec:mtl:montde:14-2003 is not listed on IDEAS anymore

• Asger Lunde & Esben Hoeg, 2003, "Wavelet Estimation of Integrated Volatility," Computing in Economics and Finance 2003, Society for Computational Economics, number 274, Aug.
• Gonçalves, Sílvia & KILIAN, Lutz, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 01-2003.
• Maximo Camacho, 2002, "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002, Society for Computational Economics, number 274, Jul.
• Diego Valderrama, 2003, "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003, Society for Computational Economics, number 219, Aug.
• Aaron D. Smallwood & Paul M. Beaumont, 2002, "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 285, Jul.
• Camarero, Mariam, & Flôres, R. & C. Tamarit, 2002, "Time series evidence of international output convergence in Mercosur," Computing in Economics and Finance 2002, Society for Computational Economics, number 87, Jul.

Report NEP-ETS-2003-10-20

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: