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Report NEP-ETS-2005-05-23
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:dgr:uvatin:20050040 is not listed on IDEAS anymore
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Manuel S. Santos, 2004, "Convergence properties of the likelihood of computed dynamic models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-27.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005, "Model confidence sets for forecasting models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-07.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005, "A, B, C’s, (and D’s) for understanding VARs," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-09.
- Ben R. Craig & Joachim G. Keller, 2004, "The forecast ability of risk-neutral densities of foreign exchange," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0409, DOI: 10.26509/frbc-wp-200409.
- N. Kundan Kishor & Evan F. Koenig, 2005, "VAR estimation and forecasting when data are subject to revision," Working Papers, Federal Reserve Bank of Dallas, number 0501.
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-56.
- Mark W. French, 2005, "A nonlinear look at trend MFP growth and the business cycle: result from a hybrid Kalman/Markov switching model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-12.
- Todd E. Clark & Michael W. McCracken, 2004, "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 04-10.
- Siddhartha Chib & Michael J. Dueker, 2004, "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers, Federal Reserve Bank of St. Louis, number 2004-030, DOI: 10.20955/wp.2004.030.
- Massimo Guidolin & Allan Timmerman, 2005, "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers, Federal Reserve Bank of St. Louis, number 2005-003, DOI: 10.20955/wp.2005.003.
- Silvia Goncalves & Massimo Guidolin, 2005, "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers, Federal Reserve Bank of St. Louis, number 2005-010, DOI: 10.20955/wp.2005.010.
- Gary Koop & Simon M. Potter, 2004, "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports, Federal Reserve Bank of New York, number 196.
- Robert F. Engle & Giampiero M. Gallo, 2003, "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2003_07, Jul.
- Marco J. Lombardi & Simon J. Godsill, 2004, "On-line Bayesian estimation of AR signals in symmetric alpha-stable noise," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2004_05, May.
- Marco J. Lombardi & Giorgio Calzolari, 2004, "Indirect estimation of alpha-stable distributions and processes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2004_07, Jun.
- Marco J. Lombardi, 2004, "Bayesian inference for alpha-stable distributions: a random walk MCMC approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2004_11, Sep.
- Jan G. De Gooijer & Rob J. Hyndman, 2005, "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/05, May.
- Rob J. Hyndman & Anne B. Koehler, 2005, "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/05, May.
- Item repec:qmw:qmwecw:wp537 is not listed on IDEAS anymore
- Item repec:qmw:qmwecw:wp539 is not listed on IDEAS anymore
- Item repec:qmw:qmwecw:wp540 is not listed on IDEAS anymore
- Item repec:qmw:qmwecw:wp541 is not listed on IDEAS anymore
- Hashem Dezhbakhsh & Daniel Levy, 2005, "Periodic Properties of Interpolated Time Series," Econometrics, University Library of Munich, Germany, number 0505004, May.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003, "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 03-025, Feb, revised 01 Sep 2003.