Report NEP-ETS-2012-02-15This 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:
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, School of Economics and Management, University of Aarhus.
- Michael C. M\"unnix & Takashi Shimada & Rudi Sch\"afer & Francois Leyvraz Thomas H. Seligman & Thomas Guhr & H. E. Stanley, 2012. "Identifying States of a Financial Market," Papers 1202.1623, arXiv.org.
- Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "The Evolution of Stock Market Efficiency in the U.S.: A Non-Bayesian Time-Varying Model Approach," Papers 1202.0100, arXiv.org, revised Mar 2015.
- Amel Bentata & Rama Cont, 2012. "Short-time asymptotics for marginal distributions of semimartingales," Papers 1202.1302, arXiv.org.
- Sunil Kumar & Nivedita Deo, 2012. "Correlation, Network and Multifractal Analysis of Global Financial Indices," Papers 1202.0409, arXiv.org.
- J. Shen & B. Zheng, 2012. "On return-volatility correlation in financial dynamics," Papers 1202.0342, arXiv.org.
- Jozef Barunik & Lukas Vacha, 2012. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Papers 1202.1854, arXiv.org, revised Feb 2013.
- X. F. Jiang & B. Zheng, 2012. "Anti-correlation and subsector structure in financial systems," Papers 1201.6418, arXiv.org.
- Jongwook Kim & Gabjin Oh, 2012. "Heavy-tail driven by memory," Papers 1201.5690, arXiv.org, revised May 2013.
- Giacomo Livan & Luca Rebecchi, 2012. "Asymmetric correlation matrices: an analysis of financial data," Papers 1201.6535, arXiv.org, revised Apr 2012.
- Jo\~ao P. da Cruz & Pedro G. Lind, 2012. "Heavy-tails in economic data: fundamental assumptions, modelling and analysis," Papers 1202.0142, arXiv.org.