Report NEP-ETS-2013-08-05This 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:
- M. Caivano & A. Harvey, 2013. "Two EGARCH models and one fat tail," Cambridge Working Papers in Economics 1326, Faculty of Economics, University of Cambridge.
- J. Miguel Marín & M. T. Rodríguez Bernal & Eva Romero, 2013. "Data cloning estimation of GARCH and COGARCH models," Statistics and Econometrics Working Papers ws132723, Universidad Carlos III, Departamento de Estadística y Econometría.
- Grote, Claudia & Sibbertsen, Philipp, 2013. "Testing for Cointegration in a Double-LSTR Framework," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃÂ¤t der Leibniz UniversitÃÂ¤t Hannover dp-514, Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t.
- Eric Ghysels & J. Isaac Miller, 2013. "We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. While it is well known that aggregation and sampling frequency do not affect the long," Working Papers 1307, Department of Economics, University of Missouri, revised 07 May 2014.