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Report NEP-ETS-2016-03-17
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:
- Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias, 2016, "Volatility Discovery," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-07, Feb.
- Jozef Barun'ik & Tobias Kley, 2015, "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers, arXiv.org, number 1510.06946, Oct, revised Dec 2018.
- Diego A. Agudelo & Marcela Guti�rrez & Laura Cardona, 2015, "Volatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 14252, Oct.
- Deschamps, P., 2015, "Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015020, May.
- Vrins, F. & Jeanblanc, M., 2015, "The [phi]-Martingale," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015022, Apr.
- BRAIONE, Manuela, 2016, "A time-varying long run HEAVY model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016002, Feb.
- Papa Ousmane Cissé & Abdou Kâ Diongue & Dominique Guegan, 2016, "Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01278126, Feb.
- Heni Boubaker & Nadia Sghaier, 2014, "Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach," Working Papers, Department of Research, Ipag Business School, number 2014-66, Jan.