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Report NEP-ETS-2004-01-25
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:
- Iwaisako, Tokuo & 祝迫, 得夫 & イワイサコ, トクオ, 2004, "Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number a448, Jan.
- Naoya Katayama, 2004, "Seasonally and Fractionally Differenced Time Series (revised, August 2006)," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-11, Jan.
- Claude Lopez, 2004, "Evidence of Purchasing Power Parity for the Floating Regime Period," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2004-01, May, revised Mar 2006.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004, "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe02.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004, "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe01.
- Item repec:dgr:unutaf:eifc03-33 is not listed on IDEAS anymore
- Jaume Masoliver & Miquel Montero & Josep Perello, , "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics, number 24.
- Christiansen, Charlotte, 2003, "Volatility-Spillover E ffects in European Bond Markets," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 03-8, Oct.
- Naoya Katayama, 2004, "Asymptotic Prediction Mean Squared Error for Strongly Dependent Processes with Estimated Parameters," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-10, Jan.