Report NEP-ETS-2004-09-30

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:

• J. T. A. S. Ferreira & M. F. J. Steel, 2004, "On Describing Multivariate Skewness: A Directional Approach," Econometrics, University Library of Munich, Germany, number 0409010, Sep.
• Niklas Wagner & Terry A. Marsh, 2004, "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics, University Library of Munich, Germany, number 0409009, Sep.
• Item repec:dgr:umamet:2004040 is not listed on IDEAS anymore

• Frank Smets & Raf Wouters, 2004, "Forecasting with a Bayesian DSGE Model: an application to the euro area," Working Paper Research, National Bank of Belgium, number 60, Sep.
• John Hunter & Christos Ioannidis, 2004, "Identifying and Solving Multivariate Rational Expectations Models," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-08, Sep.
• Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004, "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 509, Sep.
• Cornelis A. Los, 2004, "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance, University Library of Munich, Germany, number 0409040, Sep.
• Eric Hillebrand & Gunther Schnabl, 2004, "The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 7, Sep.
• Hashem Pesaran & Andreas Pick, 2004, "Econometric Issues in the Analysis of Contagion," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 67, Sep.
• Kin-Yip Ho & Ka Cheng Tsui, 2004, "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 12, Sep.
• V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2004, "A Critique of Structural VARs Using Real Business Cycle Theory," Levine's Bibliography, UCLA Department of Economics, number 122247000000000518, Nov.
• Marine Carrasco, 2004, "Chi-square Tests for Parameter Stability," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 508, Sep.
• Jean-Yves Pitarakis, 2004, "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics, University Library of Munich, Germany, number 0409013, Sep.
• Ricardo Hausmann & Ugo Panizza & Roberto Rigobon, 2004, "The Long-Run Volatility Puzzle of the Real Exchange Rate," NBER Working Papers, National Bureau of Economic Research, Inc, number 10751, Sep.
• Donald W.K. Andrews & Marcelo Moreira & James H. Stock, 2004, "Optimal Invariant Similar Tests for Instrumental Variables Regression," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0299, Aug.
• Sergio Da Silva & Raul Matsushita & Iram Gleria & Annibal Figueiredo, 2004, "Log-Periodicity in High Frequency Financial Series," Finance, University Library of Munich, Germany, number 0409043, Sep.
• Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2004, "Spurious Nonlinear Regressions In Econometrics," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 27, Sep.
• Eric Hillebrand, 2004, "Neglecting Parameter Changes in Autoregressive Models," Departmental Working Papers, Department of Economics, Louisiana State University, number 2004-04, Apr.
• Gary Koop & Rodney Strachan & Herman van Dijk & Mattias Villani, 2004, "Bayesian Approaches to Cointegration," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/27, Sep.
• Cornelis A. Los & Jeyanthi Karuppiah, 2004, "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance, University Library of Munich, Germany, number 0409037, Sep.
• Marco Lippi & Daniel L. Thornton, 2004, "A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2004/05, Mar.
• Artur Da Silva Lopes, 2004, "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 75, Sep.
• Philip Kostov & John Lingard, 2004, "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics, University Library of Munich, Germany, number 0409007, Sep.
• Mark Aguiar & Gita Gopinath, 2004, "Emerging Market Business Cycles: The Cycle is the Trend," NBER Working Papers, National Bureau of Economic Research, Inc, number 10734, Sep.
• Philip Kostov & John Lingard, 2004, "Recurrence analysis techniques for non-stationary and non-linear data," Microeconomics, University Library of Munich, Germany, number 0409003, Sep.
• Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004, "Likelihood based inference for diffusion driven models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe17.
• Gary Koop & Simon M. Potter, 2004, "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/26, Sep.
• Sutthisit Jamdee & Cornelis A. Los, 2004, "Dynamic Risk Profile of the US Term Structure by Wavelet MRA," Finance, University Library of Munich, Germany, number 0409045, Sep.
• Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004, "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 10756, Sep.
• Pesaran, M. Hashem, 2004, "A Pair-Wise Approach to Testing for Output and Growth Convergence," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1313, Sep.
• Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004, "A Time Series Analysis of Financial Fragility in the UK Banking System," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe18.
• Giovanni Urga & Lorenzo Trapani, 2004, "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 74, Sep.
• Christian Melzer & Florian Hoppner & Thorsten Neumann, 2004, "Changing Effects Of Monetary Policy In The US - Evidence From A Time-Varying Coefficients VAR," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 79, Sep.

Report NEP-ETS-2004-09-30

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: