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Report NEP-ETS-2004-05-16
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:
- Anders Eriksson & Lars Forsberg & Eric Ghysels, 2004, "Approximating the Probability Distribution of Functions of Random Variables: A New Approach," CIRANO Working Papers, CIRANO, number 2004s-21, May.
- Elena Andreou & Eric Ghysels, 2004, "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers, CIRANO, number 2004s-25, May.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2004, "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-3.
- Asani Sarkar & Lingjia Zhang, 2004, "Time-varying consumption correlation and the dynamics of the equity premium: evidence from the G-7 countries," Staff Reports, Federal Reserve Bank of New York, number 181.
- James Morley & Jeremy M. Piger, 2005, "A steady-state approach to trend/cycle decomposition of regime-switching processes," Working Papers, Federal Reserve Bank of St. Louis, number 2004-006, DOI: 10.20955/wp.2004.006.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004, "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers, CIRANO, number 2004s-19, May.
- Item repec:dgr:kubcen:200439 is not listed on IDEAS anymore
- Glen Donaldson & Mark Kamstra, 2004, "Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-6.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2004, "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-1.
- Patrick Coggi & Bogdan Manescu, 2004, "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004, Department of Economics, University of St. Gallen, number 2004-01, Jan.
- Item repec:dgr:kubcen:200440 is not listed on IDEAS anymore
- Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004, "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 637, May.