Printed from https://ideas.repec.org/n/nep-ets/2004-11-22.html
Report NEP-ETS-2004-11-22
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:
- Hirukawa Masayuki, 2004, "A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Working Papers, Concordia University, Department of Economics, number 04005, Sep.
- Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004, "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0403, May.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004, "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance, University Library of Munich, Germany, number 0411008, Nov.
- Fabio Busetti, 2004, "Tests of seasonal integration and cointegration in multivariate unobserved component models," Econometrics, University Library of Munich, Germany, number 0411003, Nov.
- Guerre, 2004, "Design-Adaptive Pointwise Nonparametric Regression Estimation For Recurrent Markov Time Series," Econometrics, University Library of Munich, Germany, number 0411007, Nov.
- Jonathan B. Hill, 2004, "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics, University Library of Munich, Germany, number 0411014, Nov, revised 04 Nov 2005.
- Artur C. B. da Silva Lopes & Antonio Montañés, 2004, "The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts," Econometrics, University Library of Munich, Germany, number 0411010, Nov.
- G. Everaert & L. Pozzi, 2004, "Bootstrap Based Bias Correction for Homogeneous Dynamic Panels," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 04/263, Oct.
- Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004, "A Dynamic Analysis of Moving Average Rules," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 133, Oct.
- Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004, "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0300, Aug.
- Michael Jansson & Marcelo J. Moreira, 2004, "Optimal Inference in Regression Models with Nearly Integrated Regressors," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0303, Nov.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004, "Fractional calculus and continuous-time finance," Finance, University Library of Munich, Germany, number 0411007, Nov.
- Tommaso Proietti, 2004, "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics, University Library of Munich, Germany, number 0411011, Nov.
- Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004, "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers, CIRANO, number 2004s-56, Nov.