Report NEP-ETS-2007-12-01

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:

• Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute.
• Item repec:hal:papers:halshs-00187910_v1 is not listed on IDEAS anymore

• Item repec:hal:papers:halshs-00188264_v1 is not listed on IDEAS anymore

• Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian forecast combination for VAR models," Working Paper Series 216, Sveriges Riksbank (Central Bank of Sweden).
• D.S.G. Pollock, 2007. "Investigating Economic Trends And Cycles," Discussion Papers in Economics 07/17, Division of Economics, School of Business, University of Leicester, revised Apr 2008.
• Dominique Guegan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Documents de travail du Centre d'Economie de la Sorbonne b07053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Dominique Guegan & Florian Ielpo, 2007. "Flexible time series models for subjective distribution estimation with monetary policy in view," Documents de travail du Centre d'Economie de la Sorbonne b07056, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne b07057, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2007. "Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability," Working Papers Series 151, Central Bank of Brazil, Research Department.
• Dimitris Politis & Dimitrios Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers 0005, University of Peloponnese, Department of Economics.
• Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics.