TIME SERIES III
Tuesday 27th August 2002,
14:30 - 16:00
Room: 4.2
Session Chair(s):
Marius Ooms, Free University Amsterdam, NETHERLANDS
Category: Econometrics
NONPARAMETRIC MULTI-STEP AHEAD PREDICTION IN TIME SERIES ANALYSIS
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Presenter(s): |
Christian Matthias Hafner, Electrabel, Quantitative Analysis, BELGIUM |
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Co-Author(s): |
Rong Chen, University of Chicago, UNITED STATES and Lijian Yang, Wharton School Pennsylvania, UNITED STATES |
TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
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Presenter(s): |
Ana Beatriz C. Galvao, European University Institute, ITALY |
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Co-Author(s): |
Michael Clements, Warwick University, UNITED KINGDOM |
PERIODIC UNOBSERVED COMPONENT TIME SERIES MODELS:ESTIMATION AND FORECASTING WITH APPLICATIONS
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Presenter(s): |
Marius Ooms, Free University Amsterdam, NETHERLANDS |
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Co-Author(s): |
Siem Jan Koopman, Vrije Universiteit Amsterdam, NETHERLANDS |
Total Papers in This session: 3
Session Ref: 669
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