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