Report NEP-ETS-2009-04-05This 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:
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, School of Economics and Management, University of Aarhus.
- Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, School of Economics and Management, University of Aarhus.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Discussion Papers of DIW Berlin 873, DIW Berlin, German Institute for Economic Research.
- Mc CRORIE, J. Roderick, 2008. "The role of Skorokhod space in the development of the econometric analysis of time series," CORE Discussion Papers 2008059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Wang, Shin-Huei & Hafner, Christian, 2008. "Estimating autocorrelations in the presence of deterministic trends," CORE Discussion Papers 2008073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao, 2009. "Extreme Value GARCH modelling with Bayesian Inference," Working Papers in Economics 09/05, University of Canterbury, Department of Economics and Finance.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-based nonlinear quantile autoregression," CeMMAP working papers CWP27/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.