Report NEP-ETS-2006-04-08

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:

• Markku Lanne & Helmut Lütkepohl, 2006. "Structural Vector Autoregressions with Nonnormal Residuals," CESifo Working Paper Series 1651, CESifo.
• Fulvio Corsi & Uta Kretschmer & Stefan Mittnik & Christian Pigorsch, 2005. "The Volatility of Realized Volatility," CFS Working Paper Series 2005/33, Center for Financial Studies.
• Hiroaki Chigira & Taku Yamamoto, 2006. "Cointegration, Integration, and Long-Term Forcasting," Hi-Stat Discussion Paper Series d05-148, Institute of Economic Research, Hitotsubashi University.
• Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Economics Papers 2005-W24, Economics Group, Nuffield College, University of Oxford.
• Troy Matheson, 2006. "Phillips curve forecasting in a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2006/01, Reserve Bank of New Zealand.
• Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
• Item repec:hum:wpaper:sfb649dp2006-021 is not listed on IDEAS anymore

• Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005. "Testing the Null of Cointegration with Structural Breaks," DEA Working Papers 10, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005. "The KPSS Test with Two Structural Breaks," DEA Working Papers 13, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Niels Haldrup & Antonio Montañés & Andreu Sansó, 2005. "Testing for Additive Outliers in Seasonally Integrated Time Series," DEA Working Papers 15, Universitat de les Illes Balears, Departament d'Economía Aplicada.