Report NEP-ETS-2014-01-10This 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:
- Mohammad Mousavi & Peter W. Glynn, 2013. "Exact Simulation of Non-stationary Reflected Brownian Motion," Papers, arXiv.org 1312.6456, arXiv.org.
- Ting Ting Chen & Tetsuya Takaishi, 2013. "Empirical Study of the GARCH model with Rational Errors," Papers, arXiv.org 1312.7057, arXiv.org.
- A. Sensoy & Benjamin Miranda Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series, Central Bank of Brazil, Research Department 342, Central Bank of Brazil, Research Department.
- Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2014. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," Dynare Working Papers, CEPREMAP 30, CEPREMAP.
- Rui Pascoal & Ana Margarida Monteiro, 2013. "Market Efficiency, Roughness and Long Memory in the PSI20 Index Returns: Wavelet and Entropy Analysis," GEMF Working Papers, GEMF - Faculdade de Economia, Universidade de Coimbra 2013-27, GEMF - Faculdade de Economia, Universidade de Coimbra.
- Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers, University of Connecticut, Department of Economics 2013-34, University of Connecticut, Department of Economics.
- Roberto Leon-Gonzalez & Fuyu Yang, 2014. "Bayesian Inference and Forecasting in the Stationary Bilinear Model," University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. 055, School of Economics, University of East Anglia, Norwich, UK..