NEP-ETS-2004-12-20

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Report NEP-ETS-2004-12-20

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 anounced in this report:

Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, EconWPA. [Downloadable!]
Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, EconWPA. [Downloadable!]
Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA. [Downloadable!]
JS Armstrong & Fred Collopy, 2004. "Integration of Statistical Methods and Judgment for Time Series," General Economics and Teaching 0412024, EconWPA. [Downloadable!]
Yakov Amihud & Clifford Hurvich, 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics 0412008, EconWPA. [Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," OFRC Working Papers Series 2004fe22, Oxford Financial Research Centre. [Downloadable!]
Yakov Amihud & Clifford Hurvich & Yi Wang, 2004. "Hypothesis Testing in Predictive Regressions," Finance 0412022, EconWPA. [Downloadable!]
Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007. [Downloadable!]
Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Working Papers 0322, Department of Economics, Vanderbilt University, revised Apr 2004. [Downloadable!]
Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," OFRC Working Papers Series 2004fe20, Oxford Financial Research Centre. [Downloadable!]
Joshua D. Angrist & Guido M. Kuersteiner, 2004. "Semiparametric Causality Tests Using the Policy Propensity Score," NBER Working Papers 10975, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
González Gómez, Andrés, 2004. "A smooth permanent surge process," Working Paper Series in Economics and Finance 572, Stockholm School of Economics. [Downloadable!]
Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman, 2004. "Forecasting Time-Series with Correlated Seasonality," Monash Econometrics and Business Statistics Working Papers 28/04, Monash University, Department of Econometrics and Business Statistics, revised Oct 2005. [Downloadable!]
Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]

This page was last updated on 2009-11-8.

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