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Report NEP-ETS-2007-11-17
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:
- Søren Johansen, 2007, "Some Identification Problems in the Cointegrated Vector Autoregressive Model," Discussion Papers, University of Copenhagen. Department of Economics, number 07-24, Oct.
- Søren Johansen, 2007, "Correlation, Regression, and Cointegration of Nonstationary Economic Time Series," Discussion Papers, University of Copenhagen. Department of Economics, number 07-25, Nov.
- Søren Johansen & Morten Ørregaard Nielsen, 2007, "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers, University of Copenhagen. Department of Economics, number 07-27, Aug.
- Kalogeropoulos, Konstantinos & Dellaportas, Petros & Roberts, Gareth O., 2007, "Likelihood-based inference for correlated diffusions," MPRA Paper, University Library of Munich, Germany, number 5696.
- Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros, 2007, "Inference for stochastic volatility model using time change transformations," MPRA Paper, University Library of Munich, Germany, number 5697.
- Francis X. Diebold & Kamil Yılmaz, 2007, "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 0705, Jan.