Report NEP-ETS-2003-07-21This 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.
The following items were announced in this report:
- Regúlez Castillo, Marta & Gardeazabal, Javier, 2002. "A factor model of seasonality in stock returns," DFAEII Working Papers 2002-19, University of the Basque Country - Department of Foundations of Economic Analysis II.
- Marina Resta & Davide Sciutti, . "A characterization of self-affine processes in finance through the scaling function," Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics 13, Society for Computational Economics.
- Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics, EconWPA 0307002, EconWPA, revised 18 Jul 2003.
- Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics, EconWPA 0307004, EconWPA, revised 18 Jul 2003.
- Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics, EconWPA 0307003, EconWPA, revised 18 Jul 2003.