Report NEP-ETS-2007-02-10

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:

• Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Working Papers in Economics 170, Universitat de Barcelona. Espai de Recerca en Economia.
• Antoine Jacquier, 2007. "Asymptotic skew under stochastic volatility," Birkbeck Working Papers in Economics and Finance 0703, Birkbeck, Department of Economics, Mathematics & Statistics.
• John Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.
• Peter C.B. Phillips & Jun Yu, 2007. "Information Loss in Volatility Measurement with Flat Price Trading," Levine's Bibliography 321307000000000805, UCLA Department of Economics.
• Issler, João Victor & Lima, Luiz Renato Regis de Oliveira, 2007. "A panel data approach to economic forecasting: the bias-corrected average forecast," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 642, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
• Kirdan Lees & Troy Matheson & Christie Smith, 2007. "Open economy DSGE-VAR forecasting and policy analysis - head to head with the RBNZ published forecasts," Reserve Bank of New Zealand Discussion Paper Series DP2007/01, Reserve Bank of New Zealand.
• Troy Matheson & James Mitchell & Brian Silverstone, 2007. "Nowcasting and predicting data revisions in real time using qualitative panel survey data," Reserve Bank of New Zealand Discussion Paper Series DP2007/02, Reserve Bank of New Zealand.
• Juan Carlos Escanciano & Silvia Mayoral, 2007. "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.
• Rasmus Kattai, 2007. "Constants do not stay constant because variables are varying," Bank of Estonia Working Papers 2007-01, Bank of Estonia, revised 02 Jan 2007.
• Minford, Patrick & Theodoridis, Konstantinos & Meenagh, David, 2007. "Testing a model of the UK by the method of indirect inference," Cardiff Economics Working Papers E2007/2, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2008.
• Item repec:hum:wpaper:sfb649dp2007-005 is not listed on IDEAS anymore

• Arz, Stephanus, 2006. "A new mixed multiplicative-additive model for seasonal adjusment," Discussion Paper Series 1: Economic Studies 2006,47, Deutsche Bundesbank.
• Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany.
• Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006. "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper 1593, University Library of Munich, Germany.
• Feng, Yuanhua & Yu, Keming, 2006. "Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model," MPRA Paper 1597, University Library of Munich, Germany.