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Report NEP-ETS-2006-04-01
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:
- Todd E. Clark & Michael W. McCracken, 2006, "Combining forecasts from nested models," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 06-02.
- Massimiliano Marcellino & George Kapetanios, 2006, "Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 306.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12109, Mar.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005, "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W16, Jul.
- Neil Shephard, 2005, "Stochastic Volatility," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W17, Jul.
- Lisa Borland & Jean-Philippe Bouchaud, 2005, "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500059, Jul.
- Olivier Guedj & Jean-Philippe Bouchaud, 2004, "Experts' earning forecasts: bias, herding and gossamer information," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500062, Oct.
- Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters, 2005, "Large dimension forecasting models and random singular value spectra," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500066, Dec.
- Stan Hurn & Ralf Becker, 2006, "Testing for nonlinearity in mean in the presence of heteroskedasticity," Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology, number 2006-02, Jun.