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Report NEP-ETS-2004-12-12
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:
- Maria-Helena A. Dias & Joilson Dias & Charles L. Evans, 2004, "Estimation Of The Cyclical Component Of Economic Time Series," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 104.
- Item repec:att:belgnw:200460 is not listed on IDEAS anymore
- Item repec:att:belgnw:200461 is not listed on IDEAS anymore
- M. Hashem Pesaran, 2004, "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series, CESifo, number 1331.
- Arie ten Cate, 2004, "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 41, Nov.
- Mora Galán, Alberto & Pérez, Ana & Ruiz Ortega, Esther, 2004, "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws046315, Nov.
- Item repec:dgr:eureri:30001959 is not listed on IDEAS anymore
- Akifumi Isogai & Satoru Kanoh & Toshifumi Tokunaga, 2004, "An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d04-43, Nov.
- Xibin Zhang & Maxwell L. King, 2004, "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 26/04, Nov.
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004, "Stochastic volatility with leverage: fast likelihood inference," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W19, Aug.
- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004, "Likelihood based inference for diffusion driven models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W20, Aug.
- Ole Barndorff-Nielsen & Neil Shephard, 2004, "Multipower Variation and Stochastic Volatility," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W30, Nov.
- G. Malengier & L. Pozzi, 2004, "Examining Ricardian Equivalence by estimating and bootstrapping a nonlinear dynamic panel model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 04/274, Nov.
- Catalin Starica, 2004, "Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?," Econometrics, University Library of Munich, Germany, number 0411015, Nov.
- Jawadi Fredj & Koubaa Yousra, 2004, "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics, University Library of Munich, Germany, number 0412001, Dec.
- Cornelis A. Los, 2004, "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance, University Library of Munich, Germany, number 0412014, Dec.
- JS Armstrong & Robert Fildes, 2004, "Correspondence On the Selection of Error Measures for Comparisons Among Forecasting Methods," General Economics and Teaching, University Library of Munich, Germany, number 0412002, Dec.
- JS Armstrong & Fred Collopy, 2004, "Causal Forces: Structuring Knowledge for Time-series Extrapolation," General Economics and Teaching, University Library of Munich, Germany, number 0412003, Dec.
- Fred Collopy & JS Armstrong, 2004, "Rule-Based Forecasting: Development and Validation of an Expert Systems Approach to Combining Time Series Extrapolations," General Economics and Teaching, University Library of Munich, Germany, number 0412004, Dec.
- JS Armstrong, 2004, "Research on Forecasting: A Quarter-Century Review, 1960-1984," General Economics and Teaching, University Library of Munich, Germany, number 0412006, Dec.
- JS Armstrong & Michael C. Grohman, 2004, "A Comparative Study of Methods for Long-Range Market Forecasting," General Economics and Teaching, University Library of Munich, Germany, number 0412010, Dec.
- Kevin Dowd, 2004, "FOMC Forecasts of Macroeconomic Risks," Occasional Papers, Industrial Economics Division, number 12, 09, revised 10 Jan 2004.