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Report NEP-ETS-2005-11-09
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:
- Hui Feng, 2005, "Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?," Econometrics Working Papers, Department of Economics, University of Victoria, number 0515, Aug.
- Ching-Kang Ing & Ching-Zong Wei, 2005, "A maximal moment inequality for long range dependent time series with applications to estimation and model selection," Econometrics, University Library of Munich, Germany, number 0508009, Aug.
- Chen Pu & Hsiao Chihying, 2005, "Subsampling Cointegration Ranks in Large Systems," Econometrics, University Library of Munich, Germany, number 0508010, Aug.
- Bhaskara Rao, 2005, "Estimating Short and Long Run Relationships: A Guide to the Applied Economist," Econometrics, University Library of Munich, Germany, number 0508013, Aug.
- Oleg Korenok & Stanislav Radchenko, 2005, "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics, University Library of Munich, Germany, number 0508015, Aug.
- Benoit Bellone, 2005, "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics, University Library of Munich, Germany, number 0508017, Aug.
- Maurício Yoshinori Une & Marcelo Savino Portugal, 2005, "Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks," Econometrics, University Library of Munich, Germany, number 0509006, Sep.
- Segismundo Izquierdo & Ces�reo Hern�ndez & Javier Pajares, 2005, "State Space Modelling of Cointegrated Systems using Subspace Algorithms," Econometrics, University Library of Munich, Germany, number 0509010, Sep, revised 07 Feb 2006.
- Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2005, "Nonidentically distributed variables and nonlinear autocorrelation," Finance, University Library of Munich, Germany, number 0508009, Aug.
- Lakshmi Balasubramanyan, 2005, "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance, University Library of Munich, Germany, number 0509002, Sep.