Report NEP-ETS-2004-12-20

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004, "Estimating Long Memory in Volatility," Econometrics, University Library of Munich, Germany, number 0412006, Dec.
• Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004, "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics, University Library of Munich, Germany, number 0412009, Dec.
• Willa Chen & Clifford Hurvich, 2004, "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics, University Library of Munich, Germany, number 0412007, Dec.
• JS Armstrong & Fred Collopy, 2004, "Integration of Statistical Methods and Judgment for Time Series," General Economics and Teaching, University Library of Munich, Germany, number 0412024, Dec.
• Yakov Amihud & Clifford Hurvich, 2004, "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics, University Library of Munich, Germany, number 0412008, Dec.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2004, "Multipower Variation and Stochastic Volatility," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe22.
• Yakov Amihud & Clifford Hurvich & Yi Wang, 2004, "Hypothesis Testing in Predictive Regressions," Finance, University Library of Munich, Germany, number 0412022, Dec.
• Meitz, Mika & Saikkonen, Pentti, 2004, "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 573, Oct, revised 20 Apr 2007.
• Mototsugu Shintani, 2003, "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0322, Oct, revised Apr 2004.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004, "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe20.
• Joshua D. Angrist & Guido M. Kuersteiner, 2004, "Semiparametric Causality Tests Using the Policy Propensity Score," NBER Working Papers, National Bureau of Economic Research, Inc, number 10975, Dec.
• González Gómez, Andrés, 2004, "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 572, Dec.
• Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman, 2004, "Forecasting Time-Series with Correlated Seasonality," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 28/04, Dec, revised Oct 2005.
• Guillaume Chevillon, 2004, ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-12.