Report NEP-ETS-2005-01-02

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:

• Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, Department of Economics and Business Economics, Aarhus University.
• Item repec:cep:stiecm:/2004/468 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/471 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/474 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/476 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/479 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/480 is not listed on IDEAS anymore

• Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," ERIM Report Series Research in Management ERS-2004-107-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria.
• Peter F. Christoffersen & Francis X.Diebold, 2003. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," PIER Working Paper Archive 04-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with measurement errors in dynamic models," Bank of England working papers 237, Bank of England.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003. "Realized Beta: Persistence and Predictability," PIER Working Paper Archive 04-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2004.
• George Kapetanios & Tony Yates, 2004. "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England working papers 238, Bank of England.
• David Mandy & Sandor Fridli, 2004. "Exact FGLS Asymptotics for MA Errors," Working Papers 0405, Department of Economics, University of Missouri, revised 16 Dec 2004.
• Item repec:umc:wpaper:0406 is not listed on IDEAS anymore

• Item repec:umc:wpaper:0420 is not listed on IDEAS anymore

• Item repec:umc:wpaper:0302 is not listed on IDEAS anymore

• Item repec:umc:wpaper:0303 is not listed on IDEAS anymore