Report NEP-ETS-2003-08-17

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:

• Hai-Chin YU & Ming-Chang Huang, 2003. "Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong," Econometrics 0308002, University Library of Munich, Germany, revised 18 Aug 2003.
• Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, University Library of Munich, Germany.
• Jeannette H.C. Woerner, 2003. "Estimation of Integrated Volatility in Stochastic Volatility Models," OFRC Working Papers Series 2003mf05, Oxford Financial Research Centre.
• Erdinc Altay, 2003. "Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets," Finance 0308005, University Library of Munich, Germany.