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Report NEP-ETS-2013-03-09
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:
- Stefano Grassi & Paolo Santucci de Magistris, 2013, "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-03, 02.
- Neil Shephard, 2013, "Martingale unobserved component models," Economics Series Working Papers, University of Oxford, Department of Economics, number 644, Feb.
- Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013, "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers, University of Oxford, Department of Economics, number 645, Feb.
- Majid M. Al-Sadoon, 2013, "Geometric and long run aspects of Granger causality," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1356, Jan.
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2013, "Testing for Autocorrelation in Quantile Regression Models," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2013rwp-54, Feb.
- Marczak, Martyna & Gómez, Victor, 2013, "Monthly US business cycle indicators: A new multivariate approach based on a band-pass filter," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 64-2013.