Printed from https://ideas.repec.org/n/nep-ets/2006-03-05.html
Report NEP-ETS-2006-03-05
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:
- Raffella Giacomini & Barbara Rossi, 2005, "Detecting and Predicting Forecast Breakdowns," UCLA Economics Working Papers, UCLA Department of Economics, number 845, Dec.
- Massimo Franchi, , "The Integration Order of Vector Autoregressive Processes," Discussion Papers, University of Copenhagen. Department of Economics, number 06-05.
- Rodney W. Strachan & Herman K. van Dijk, 2006, "Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 06/5, Feb.
- Christos Savva & Denise R Osborn & Len Gill, 2005, "Volatility, spillover Effects and Correlations in US and Major European Markets," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 23, Sep.
- Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005, "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 24, Sep.
- Rodney W Strachan & Herman K van Dijik, 2005, "Valuing Structure, Model Uncertainty and Model Averaging in Vector Autoregressive Process," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 30, Sep.
- Mattias Villani & Malin Adolfson & Jesper Linde, 2005, "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 32, Sep.
- Georgios Chortareas & George Kapetanios, 2005, "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 36, Sep.
- Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005, "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 46, Sep.
- Cal Muckley & Raj Aggarwal & Brian Lucey, 2005, "Dynamics of Equity Markets Integration in Europe: Evidence of Change with Events and over Time," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 48, Sep.
- Dimitrios Papaikonomou & Jacinta Pires, 2005, "Are US Output Expectations Unbiased? A Cointegrated VAR Analysis in Real Time," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 59, Sep.
- Massimiliano De Santis, 2005, "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 62, Sep.
- John Hatgioannides & Spiros Mesomeris, 2005, "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 64, Sep.
- Maarten Dossche & Gerdie Everaert, 2005, "Measuring inflation persistence: A structural time series approach," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 85, Sep.