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Report NEP-ETS-2010-07-24
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:
- Trenkler, Carsten & Weber, Enzo, 2009, "Codependence and Cointegration," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 437, Oct.
- Weber, Enzo, 2010, "On the Sources of U.S. Stock Market Comovement," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 439, Mar.
- Weber, Enzo, 2009, "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 431, Jul.
- Vitali Alexeev & Alex Maynard, 2010, "Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks," Working Papers, University of Guelph, Department of Economics and Finance, number 1001.
- Xin Jin & John M Maheu, 2010, "Modelling Realized Covariances and Returns," Working Papers, University of Toronto, Department of Economics, number tecipa-408, Jul.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009, "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1652R, Oct.
- R. Vilela Mendes & Maria Jo~ao Oliveira, 2010, "The fractional volatility model: No-arbitrage, leverage and risk measures," Papers, arXiv.org, number 1007.2817, Jul.