Report NEP-ETS-2009-08-08This 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:
- Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-30, School of Economics and Management, University of Aarhus.
- Mario Cerrato & Christian de Peretti & Rolf Larsson & Nick Sarantis, 2009. "A Nonlinear Panel Unit Root Test under Cross Section Dependence," Working Papers, Business School - Economics, University of Glasgow 2009_28, Business School - Economics, University of Glasgow.
- Geweke, John & Amisano, Gianni, 2009. "Optimal Prediction Pools," Working Paper Series, European Central Bank 1017, European Central Bank.
- Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP), Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.