Report NEP-ETS-2012-02-15

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:

• 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, Department of Economics and Business Economics, Aarhus University, number 2012-04, Jan.
• Michael C. Munnix & Takashi Shimada & Rudi Schafer & Francois Leyvraz Thomas H. Seligman & Thomas Guhr & H. E. Stanley, 2012, "Identifying States of a Financial Market," Papers, arXiv.org, number 1202.1623, Feb.
• Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012, "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," Papers, arXiv.org, number 1202.0100, Feb, revised Aug 2015.
• Amel Bentata & Rama Cont, 2012, "Short-time asymptotics for marginal distributions of semimartingales," Papers, arXiv.org, number 1202.1302, Feb.
• Sunil Kumar & Nivedita Deo, 2012, "Correlation, Network and Multifractal Analysis of Global Financial Indices," Papers, arXiv.org, number 1202.0409, Feb.
• J. Shen & B. Zheng, 2012, "On return-volatility correlation in financial dynamics," Papers, arXiv.org, number 1202.0342, Feb.
• Jozef Barunik & Lukas Vacha, 2012, "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Papers, arXiv.org, number 1202.1854, Feb, revised Feb 2013.
• X. F. Jiang & B. Zheng, 2012, "Anti-correlation and subsector structure in financial systems," Papers, arXiv.org, number 1201.6418, Jan.
• Jongwook Kim & Gabjin Oh, 2012, "Heavy-tail driven by memory," Papers, arXiv.org, number 1201.5690, Jan, revised May 2013.
• Giacomo Livan & Luca Rebecchi, 2012, "Asymmetric correlation matrices: an analysis of financial data," Papers, arXiv.org, number 1201.6535, Jan, revised Apr 2012.
• Jo~ao P. da Cruz & Pedro G. Lind, 2012, "Heavy-tails in economic data: fundamental assumptions, modelling and analysis," Papers, arXiv.org, number 1202.0142, Feb.

Report NEP-ETS-2012-02-15

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: