Report NEP-ETS-2001-12-04

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:

• Aguilar, Javiera, 1999. "GARCH, Implied Volatilities and Implied Distributions: An Evaluation for Forecasting Purposes," Working Paper Series 88, Sveriges Riksbank (Central Bank of Sweden).
• Boswijk, H.P., 2000. "Testing for a Unit Root with Near-Integrated Volatility," CeNDEF Working Papers 00-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
• Boswijk, H.P. & van Dijk, D. & Franses, P.H., 2000. "Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models," CeNDEF Working Papers 00-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
• Donald W.K. Andrews & Yixiao Sun, 2001. "Local Polynomial Whittle Estimation of Long-range Dependence," Cowles Foundation Discussion Papers 1293, Cowles Foundation for Research in Economics, Yale University.