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Report NEP-ETS-2005-02-13
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:
- Item repec:bbk:bbkefp:0412 is not listed on IDEAS anymore
- Item repec:bbk:bbkefp:0413 is not listed on IDEAS anymore
- Jean-Marie Dufour, 2005, "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers, CIRANO, number 2005s-02, Feb.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers, CIRANO, number 2005s-03, Feb.
- Henry, Jerome & Marcellino, Massimiliano & Angelini, Elena, 2004, "Interpolation and Backdating with A Large Information Set," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4533, Oct.
- Rossi, Barbara & Pesavento, Elena, 2004, "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4536, Sep.
- Pesaran, M. Hashem & Timmermann, Allan & Pettenuzzo, Davide, 2004, "Forecasting Time Series Subject to Multiple Structural Breaks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4636, Sep.
- Timmermann, Allan & Elliott, Graham, 2004, "Optimal Forecast Combination Under Regime Switching," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4649, Oct.
- Kaufmann, Sylvia & Frühwirth-Schnatter, Sylvia, 2004, "Model-based Clustering of Multiple Time Series," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4650, Sep.
- Kandel, Shmuel & Zilca, Shlomo, 2004, "A Variance Ratio Related Prediction Tool with Application to the NYSE Index 1825-2002," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4729, Nov.
- Konstantin A., KHOLODILIN & Wension Vincent, YAO, 2004, "Business Cycle Turning Points : Mixed-Frequency Data with Structural Breaks," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2004024, Sep.
- Campagnoli Patrizia & Muliere Pietro & Petrone Sonia, , "Generalized dynamic linear models for financial time series," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0003.
- Paruolo Paolo, , "The power of lambda max," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0004.
- Mira Antonietta, , "On Metropolis-Hastings algorithms with delayed rejection," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0005.
- Paruolo Paolo, , "Asymptotic standard errors for common trends linear combinations in I(2) VAR systems," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0007.
- Paruolo Paolo, , "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0106.
- Paruolo Paolo, , "On Monte Carlo Estimation of Relative Power," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0112.
- Todd E. Clark & Kenneth D. West, 2005, "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0305, Jan.
- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003, "Multiple time scales in volatility and leverage correlation: A stochastic volatility model," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 50001, Feb.
- Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard, 2001, "Microscopic models for long ranged volatility correlations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500024, Jan.
- Atsushi Inoue & Mototsugu Shintani, 2001, "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0129, Dec, revised Aug 2003.
- Xiaohong Chen & Yanqin Fan, 2002, "Evaluating Density Forecasts via the Copula Approach," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0225, Oct, revised Sep 2003.