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Report NEP-ETS-2007-03-03
This 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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2006, "Threshold effects in cointegrating relationships," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number we20060621, Jun.
- Veiga, Helena, 2007, "The sign of asymmetry and the Taylor Effect in stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws070702, Feb.
- Todd Prono, 2006, "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers, Federal Reserve Bank of Boston, number 07-1.
- Westerlund, Joakim, 2007, "A Note on the Pooling of Individual PANIC Unit Root Tests," Working Papers, Lund University, Department of Economics, number 2007:5, Feb.
- Christos S. Savva & Denise R. Osborn & Len Gill, 2006, "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 77.
- Silja Kinnebrock & Mark Podolskij, 2007, "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series, Oxford Financial Research Centre, number 2007fe03.
- Federico Ravenna, 2006, "Vector autoregressions and reduced form representations of DSGE models," Working Papers, Banco de España, number 0619, Aug.