Report NEP-ETS-2005-01-23

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:

• Somnath Chatterjee, 2005. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: The Case Of Uk And Germany," Working Papers 2005_2, Business School - Economics, University of Glasgow.
• Strikholm, Birgit & Teräsvirta, Timo, 2005. "Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions," SSE/EFI Working Paper Series in Economics and Finance 578, Stockholm School of Economics, revised 11 Feb 2005.
• D van Dijk & D R Osborn & M Sensier, 2004. "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series 45, Economics, The University of Manchester.
• Willa Chen & Rohit Deo, 2005. "GMM Estimation for Long Memory Latent Variable Volatility and Duration Models," Econometrics 0501006, University Library of Munich, Germany.
• Martin D.D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," NBER Working Papers 11042, National Bureau of Economic Research, Inc.