Printed from https://ideas.repec.org/n/nep-ets/2004-01-18.html
Report NEP-ETS-2004-01-18
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:
- Martin S. Eichenbaum & Jonas D. M. Fisher, 2003, "Evaluating the Calvo model of sticky prices," Working Paper Series, Federal Reserve Bank of Chicago, number WP-03-23.
- Daniel L. Thornton, 2003, "Testing the expectations hypothesis: some new evidence for Japan," Working Papers, Federal Reserve Bank of St. Louis, number 2003-033, DOI: 10.20955/wp.2003.033.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003, "Power and bipower variation with stochastic volatility and jumps," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W17, Sep.
- Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003, "Power variation & stochastic volatility: a review and some new results," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W19, Sep.
- Don U.A. Galagedera & Roland Shami, 2003, "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/03, Dec.
- Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003, "The forecasting performance of German stock option densities," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0312, DOI: 10.26509/frbc-wp-200312.
- Darrel Cohen & Glenn Follette, 2003, "Forecasting exogenous fiscal variables in the United States," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2003-59.
- Jurgen A. Doornik & Marius Ooms, 2003, "Multimodality in the GARCH Regression Model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W20, Sep.
- Item repec:cla:penntw:cae679cdc2e020f74d692ae73e6d291 is not listed on IDEAS anymore
- Ben R. Craig & Joachim G. Keller, 2003, "The empirical performance of option-based densities of foreign exchange," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0313, DOI: 10.26509/frbc-wp-200313.
- Item repec:cla:penntw:6c418113c19a91c029047e10212054f is not listed on IDEAS anymore
- Item repec:cla:uclaol:278 is not listed on IDEAS anymore
- Bent Nielsen, 2003, "Power of tests for unit roots in the presence of a linear trend," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W22, Nov.
- Joseph W. Gruber, 2003, "Productivity growth and the Phillips curve in Canada," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 787.
- Brian M. Doyle & Jon Faust, 2003, "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 786.
- Richard Luger, 2004, "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 04-2, DOI: 10.34989/swp-2004-2.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003, "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W21, Nov.