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Report NEP-ETS-2010-09-18
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:
- Item repec:iwh:dispap:19-10 is not listed on IDEAS anymore
- Item repec:dgr:kubcen:201084 is not listed on IDEAS anymore
- Ralf Becker & Adam Clements & Robert O'Neill, 2010, "A Cholesky-MIDAS model for predicting stock portfolio volatility," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 149.
- Massimiliano Caporin & Michael McAleer, 2010, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-217, May.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009, "Realized Volatility Risk," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-197, Dec, revised Jan 2010.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-183, Oct.
- Massimiliano Caporin & Michael McAleer, 2010, "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-219, May.
- Chen, Pu, 2010, "A time series causal model," MPRA Paper, University Library of Munich, Germany, number 24841, Sep.
- Chen, Pu & Hsiao, Chih-Ying, 2010, "Looking behind Granger causality," MPRA Paper, University Library of Munich, Germany, number 24859, Sep.