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Report NEP-ETS-2005-07-03
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:
- James H. Stock & Mark W. Watson, 2005, "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 11467, Jul.
- John Y. Campbell & Samuel B. Thompson, 2005, "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11468, Jul.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005, "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe09.
- Hsiang-Tai Lee & Jonathan Yoder, 2005, "A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios," Econometrics, University Library of Munich, Germany, number 0506009, Jun.
- Donggyu Sul, 2005, "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics, University Library of Munich, Germany, number 0506010, Jun.
- T. Bojdecki & Luis G. Gorostiza & A. Talarczyk, 2004, "Functional Limit Theorems for Occupation Time Fluctuations of Branching Systems in the Case of Long-Range Dependence," RePAd Working Paper Series, Département des sciences administratives, UQO, number lrsp-TRS402, Jul.
- Junsoo Lee & Mark C. Strazicich, 2004, "Minimum LM Unit Root Test with One Structural Break," Working Papers, Department of Economics, Appalachian State University, number 04-17.