Report NEP-ETS-2003-09-24

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.

Other reports in NEP-ETS

The following items were announced in this report:

• Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
• Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers 2003-015, Federal Reserve Bank of St. Louis.
• David Demery & Nigel Duck, 2002. "Cointegration-based tests of the New Keynesian Model of inflation," Bristol Economics Discussion Papers 02/541, School of Economics, University of Bristol, UK.
• L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration.
• Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.).
• Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis.
• Clifford L.F. Attfield, 2003. "Structural Breaks and Convergence in Output Growth in the EU," Bristol Economics Discussion Papers 03/544, School of Economics, University of Bristol, UK.
• Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).