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Report NEP-ETS-2012-10-20
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:
- Todd E. Clark & Francesco Ravazzolo, 2012, "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper, Norges Bank, number 2012/09, Oct.
- Lönnbark, Carl, 2012, "Asymmetry with respect to the memory in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 849, Oct.
- Lönnbark, Carl, 2012, "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 848, Oct.
- Maximo Camacho & Yuliya Lovcha & Gabriel Perez-Quiros, 2012, "Can we use seasonally adjusted indicators in dynamic factor models?," Working Papers, Banco de España, number 1235, Oct.
- Ardelean, Vlad, 2012, "Detecting outliers in time series," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 05/2012.
- Lee, Bong Soo & Ryu, Doojin, 2012, "Stock returns and implied volatility: A new VAR approach," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2012-51.
- Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012, "Regime switches in the volatility and correlation of financial institutions," Working Paper Research, National Bank of Belgium, number 227, Oct.
- Bai, Zhidong & Hui, Yongchang & Wong, Wing-Keung, 2012, "New Non-Linearity Test to Circumvent the Limitation of Volterra Expansion," MPRA Paper, University Library of Munich, Germany, number 41872, Aug.