Report NEP-ETS-2004-05-09
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.
Other reports in NEP-ETS
The following items were announced in this report:
- Niklas Wagner & Terry Marsh, 2003. "Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes," Research Program in Finance, Working Paper Series 1012, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Bal??zs ??gert & Yosra Koubaa, 2004. "Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach," William Davidson Institute Working Papers Series 2004-663, William Davidson Institute at the University of Michigan.
- José Angel Roldán Casas & Rafaela Dios-Palomares, 2004. "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces E2004/37, Centro de Estudios Andaluces.
- Gonzalo Cortazar & Eduardo Schwartz & Lorezo Naranjo, 2003. "Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data," University of California at Los Angeles, Anderson Graduate School of Management 1109, Anderson Graduate School of Management, UCLA.
- Claude Lopez & Christian J. Murray & David H. Papell, 2004. "State of the Art Unit Root Tests and Purchasing Power Parity," University of Cincinnati, Economics Working Papers Series 2004-04, University of Cincinnati, Department of Economics.