Printed from https://ideas.repec.org/n/nep-ets/2006-03-18.html
Report NEP-ETS-2006-03-18
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:
- Fernando Espinosa Navarro & Klender Cortez & Roman Jordi Adillon Boladeres, 2006, "A comparative Long-memory Analysis between Spanish, Mexican and U.S. interest rates," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 149.
- Hui Guo & Christopher J. Neely, 2006, "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Working Papers, Federal Reserve Bank of St. Louis, number 2006-006, DOI: 10.20955/wp.2006.006.
- Long Chen & Hui Guo & Lu Zhang, 2006, "Equity market volatility and expected risk premium," Working Papers, Federal Reserve Bank of St. Louis, number 2006-007, DOI: 10.20955/wp.2006.007.
- Justin Wolfers & Eric Zitzewitz, 2006, "Five Open Questions about Prediction Markets," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-06, Jan, DOI: 10.24148/wp2006-06.
- Christophe Van Nieuwenhuyze, 2006, "A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts," Working Paper Research, National Bank of Belgium, number 80, Mar.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005, "Limit theorems for bipower variation in financial econometrics," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W06, Oct.
- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005, "Limit theorems for multipower variation in the presence of jumps," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W07, Feb.
- Bent Nielsen, 2005, "Analysis of co-explosive processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W08, Mar.
- Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006, "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 06-09, Mar.
- Item repec:bos:wpaper:wp2005-0 is not listed on IDEAS anymore
- Pierre Perron, 2005, "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-017, Apr.
- Jinyong Hahn & Jerry Hausman & Guido Kuersteiner, 2005, "Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed E¤ects," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-024, Jul.
- Pierre Perron & Tomoyoshi Yabu, 2005, "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-026, Jul.
- Jonathan Treussard, 2005, "On the Validity of Risk Measures over Time: Value-at-Risk, Conditional Tail Expectations and the Bodie-Merton-Perold Put," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-029, Aug.
- Ai Deng & Pierre Perron, 2005, "A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-030, Aug.
- Ulf von Lilienfeld-Toal & Dilip Mookherjee, 2005, "Bankruptcy Law, Bonded Labor And Inequality," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-035, Sep.
- Item repec:bos:wpaper:wp2005-043 is not listed on IDEAS anymore
- Item repec:bos:wpaper:wp2005-044 is not listed on IDEAS anymore
- Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus & Denmark, 2005, "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers, University of Oxford, Department of Economics, number 240, Jun.
- O.T. Henry & S. Suardi, 2005, "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series, The University of Melbourne, number 945.