Report NEP-ETS-2005-02-13

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Item repec:bbk:bbkefp:0412 is not listed on IDEAS anymore

• Item repec:bbk:bbkefp:0413 is not listed on IDEAS anymore

• Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
• Henry, Jerome & Marcellino, Massimiliano & Angelini, Elena, 2004. "Interpolation and Backdating with A Large Information Set," CEPR Discussion Papers 4533, C.E.P.R. Discussion Papers.
• Rossi, Barbara & Pesavento, Elena, 2004. "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons," CEPR Discussion Papers 4536, C.E.P.R. Discussion Papers.
• Pesaran, M. Hashem & Timmermann, Allan & Pettenuzzo, Davide, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CEPR Discussion Papers 4636, C.E.P.R. Discussion Papers.
• Timmermann, Allan & Elliott, Graham, 2004. "Optimal Forecast Combination Under Regime Switching," CEPR Discussion Papers 4649, C.E.P.R. Discussion Papers.
• Kaufmann, Sylvia & Frühwirth-Schnatter, Sylvia, 2004. "Model-based Clustering of Multiple Time Series," CEPR Discussion Papers 4650, C.E.P.R. Discussion Papers.
• Kandel, Shmuel & Zilca, Shlomo, 2004. "A Variance Ratio Related Prediction Tool with Application to the NYSE Index 1825-2002," CEPR Discussion Papers 4729, C.E.P.R. Discussion Papers.
• Konstantin A., KHOLODILIN & Wension Vincent, YAO, 2004. "Business Cycle Turning Points : Mixed-Frequency Data with Structural Breaks," LIDAM Discussion Papers IRES 2004024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Campagnoli Patrizia & Muliere Pietro & Petrone Sonia, "undated". "Generalized dynamic linear models for financial time series," Economics and Quantitative Methods qf0003, Department of Economics, University of Insubria.
• Paruolo Paolo, "undated". "The power of lambda max," Economics and Quantitative Methods qf0004, Department of Economics, University of Insubria.
• Mira Antonietta, "undated". "On Metropolis-Hastings algorithms with delayed rejection," Economics and Quantitative Methods qf0005, Department of Economics, University of Insubria.
• Paruolo Paolo, "undated". "Asymptotic standard errors for common trends linear combinations in I(2) VAR systems," Economics and Quantitative Methods qf0007, Department of Economics, University of Insubria.
• Paruolo Paolo, "undated". "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods qf0106, Department of Economics, University of Insubria.
• Paruolo Paolo, "undated". "On Monte Carlo Estimation of Relative Power," Economics and Quantitative Methods qf0112, Department of Economics, University of Insubria.
• Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
• Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003. "Multiple time scales in volatility and leverage correlation: A stochastic volatility model," Science & Finance (CFM) working paper archive 50001, Science & Finance, Capital Fund Management.
• Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard, 2001. "Microscopic models for long ranged volatility correlations," Science & Finance (CFM) working paper archive 500024, Science & Finance, Capital Fund Management.
• Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers 0129, Vanderbilt University Department of Economics, revised Aug 2003.
• Xiaohong Chen & Yanqin Fan, 2002. "Evaluating Density Forecasts via the Copula Approach," Vanderbilt University Department of Economics Working Papers 0225, Vanderbilt University Department of Economics, revised Sep 2003.