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Report NEP-ETS-2007-01-28
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:
- Stanislav Anatolyev, 2007, "Inference about predictive ability when there are many predictors," Working Papers, Center for Economic and Financial Research (CEFIR), number w0096, Jan.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2007, "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6043, Jan.
- Item repec:cty:dpaper:0504 is not listed on IDEAS anymore
- Item repec:cty:dpaper:0610 is not listed on IDEAS anymore
- Angelica Gonzalez, 2007, "Empirical Likelihood: Improved Inference within Dynamic Panel Data Models," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 154, Jan.
- Christian Kascha & Karel Mertens, 2006, "Business Cycle Analysis and VARMA models," Economics Working Papers, European University Institute, number ECO2006/37.
- Giampiero M. Gallo & Edoardo Otranto, 2005, "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2005_10.
- Giovanni De Luca & Giampiero M. Gallo, 2005, "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2005_11, Oct.
- Antonio Matas-Mir & Denise R. Osborn & Marco Lombardi, 2005, "The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2005_15, Sep.
- Christian T. Brownlees & Giampiero Gallo, 2006, "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2006_03, Oct.
- Giampiero Gallo & Edoardo Otranto, 2006, "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2006_04, Sep.
- Marco Lombardi & Giorgio Calzolari, 2006, "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2006_07, Oct.
- Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006, "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2006_15, Oct.
- Adrian pagan & Don Harding, 2006, "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series, National Centre for Econometric Research, number 1, Apr.
- Adam Clements & Stan Hurn & Scott White, 2006, "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series, National Centre for Econometric Research, number 3, Aug.
- Stan Hurn & Ralf Becker, 2007, "Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8," NCER Working Paper Series, National Centre for Econometric Research, number 8, Jan.
- Item repec:ven:wpaper:53_06 is not listed on IDEAS anymore
- Item repec:ven:wpaper:56_06 is not listed on IDEAS anymore
- Ziegler, Christina & Eickmeier, Sandra, 2006, "How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,42.
- Rao, B. Bhaskara, 2006, "Time Series Econometrics of Growth Models: A Guide for Applied Economists," MPRA Paper, University Library of Munich, Germany, number 1547, Dec.