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Report NEP-ETS-2004-04-04
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:
- Jonathan Dark, 2004, "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/04, Mar.
- Niels Haldrup & Morten O. Nielsen, 2004, "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-2, Apr.
- Jonathan Dark, 2004, "Basis convergence and long memory in volatility when dynamic hedging with SPI futures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/04, Mar.
- Jonathan Dark, 2004, "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/04, Mar.
- Gabriel Pons Rotger, 2004, "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-1, Apr.
- Item repec:dgr:kubcen:200424 is not listed on IDEAS anymore
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004, "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-03.
- Jonathan Dark, 2004, "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/04, Mar.