Report NEP-ECM-2004-12-20

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

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Other reports in NEP-ECM

The following items were announced in this report:

• Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," SSE/EFI Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007.
• Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Vanderbilt University Department of Economics Working Papers 0322, Vanderbilt University Department of Economics, revised Apr 2004.
• 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.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," OFRC Working Papers Series 2004fe22, Oxford Financial Research Centre.
• Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre.
• Peter X.-K. Song & Yanqin Fan & John D. Kalbfleisch, 2003. "Maximization by Parts in Likelihood Inference," Vanderbilt University Department of Economics Working Papers 0319, Vanderbilt University Department of Economics.
• Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Vanderbilt University Department of Economics Working Papers 0309, Vanderbilt University Department of Economics.
• 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.
• González Gómez, Andrés, 2004. "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance 572, Stockholm School of Economics.
• Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, University Library of Munich, Germany.
• 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.
• Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, University Library of Munich, Germany.
• Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, University Library of Munich, Germany.
• Yakov Amihud & Clifford Hurvich & Yi Wang, 2004. "Hypothesis Testing in Predictive Regressions," Finance 0412022, University Library of Munich, Germany.
• Yakov Amihud & Clifford Hurvich, 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics 0412008, University Library of Munich, Germany.