Report NEP-ETS-2004-06-02

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:

• McCAUSLAND, William, 2004, "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2004-07.
• Souza, Leonardo Rocha, 2003, "The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 470, Jan.
• Yanjun Liu & Bing-Sun Wong, , "Estimating Structural Breaks in the Volatility of Canadian Output Growth," Working Papers-Department of Finance Canada, Department of Finance Canada, number 2003-20.
• M. Hashem Pesaran & Andreas Pick, 2004, "Econometric Issues in the Analysis of Contagion," CESifo Working Paper Series, CESifo, number 1176.
• Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie, 2004, "Robustness of stationary tests under long-memory alternatives," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 541, Apr.
• K. Borovkov & Alexander Novikov, 2004, "Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 115, Jan.
• Fernandes, Marcelo & Grammig, Joachim, 2003, "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 501, Oct.
• Souza, Leonardo Rocha, 2003, "Temporal aggregation and bandwidth selection in estimating long memory," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 478, Mar.
• Fernandes, Marcelo & Monteiro, Paulo Klinger, 2004, "Central limit theorem for asymmetric kernel functionals," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 522, Feb.
• Paulo M. M. Rodrigues & Antonio Rubia, 2004, "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics, University Library of Munich, Germany, number 0405004, May.
• R. Liptser & Alexander Novikov, 2004, "On Tail Distributions of Supremum and Quadratic Variation of Local Martingales," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 116, Jan.
• Item repec:wpa:wuwpfi:0405031 is not listed on IDEAS anymore

• Fernandes, Marcelo & Grammig, Joachim, 2003, "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 502, Oct.
• Leah Kelly & Eckhard Platen & Michael Sorensen, 2003, "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 96, Jun.
• Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 1999, "A long run structural macroeconometric model of the UK," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 35, Jun, revised Dec 2001.
• Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro, 2003, "Convex combinations of long memory estimates from different sampling rates," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 489, Jul.
• Souza, Leonardo Rocha, 2003, "A note on Chambers's 'long memory and aggregation in macroeconomic time series'," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 503, Oct.
• Cysne, Rubens Penha, 2004, "On the statistical estimation of diffusion processes: a survey," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 540, Apr.
• Xiao, Zhijie & Lima, Luiz Renato, 2004, "Testing unit root based on partially adaptive estimation," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 528, Mar.
• Sofiane ABOURA, 2004, "GARCH Option Pricing Under Skew," Finance, University Library of Munich, Germany, number 0405032, May.
• Kim, Soyoung & Lima, Luiz Renato Regis de Oliveira, 2004, "A new perspective on the PPP hypothesis," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 530, Mar.
• R. M. Eldridge & Maurice Peat & Max Stevenson, 2003, "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 122, Jan.
• David Heath & Eckhard Platen, 2004, "Local Volatility Function Models under a Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 124, Apr.
• Fernandes, Marcelo, 2003, "Bounds for the probability distribution function of the linear ACD process," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 488, Jul.
• Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie, 2004, "Do shocks permanently change output? : Local persistency in economic time series," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 529, Mar.

Report NEP-ETS-2004-06-02

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: