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Report NEP-ETS-2004-02-29
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:
- Ahlgren, Niklas & Nyblom, Jukka, 2003, "A General Test for the Cointegrating Rank in Vector Autoregressive Models," Working Papers, Hanken School of Economics, number 499, Dec.
- Eklund, Bruno & Teräsvirta, Timo, 2003, "Testing constancy of the error covariance matrix in vector models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 549, Nov, revised 18 Jan 2006.
- Item repec:dnb:mebser:2003-16 is not listed on IDEAS anymore
- Timmermann, Allan & Lunde, Asger, 2003, "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4104, Nov.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004, "A Feasible Central Limit Theory for Realised Volatility Under Leverage," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W03, Feb.
- Andrew Bauer & Nicholas Haltom & Juan F. Rubio-Ramirez, 2003, "Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2003-32.
- Charles S. Bos & Neil Shephard, 2004, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W02, Feb.
- Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004, "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4165, Jan.