Printed from https://ideas.repec.org/n/nep-ets/2017-02-05.html
Report NEP-ETS-2017-02-05
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:
- Santiago Gamba-Santamaria & Jose Eduardo Gomez-Gonzalez & Jorge Luis Hurtado-Guarin & Luis Fernando Melo-Velandia, 2017, "Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects," Borradores de Economia, Banco de la Republica de Colombia, number 983, Jan, DOI: 10.32468/be.983.
- Patrick Gagliardini & Eric Ghysels & Mirco Rubin, 2016, "Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-46, Jul.
- Claudio Morana, 2017, "Semiparametric Estimation of Multivariate GARCH Models," Working Paper series, Rimini Centre for Economic Analysis, number 17-02, Jan.
- John Cotter & Mark Hallam & Kamil Yilmaz, 2017, "Mixed-Frequency Macro-Financial Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1704, Feb.
- Claude Godreche & Satya N. Majumdar & Gregory Schehr, 2017, "Record statistics of a strongly correlated time series: random walks and L\'evy flights," Papers, arXiv.org, number 1702.00586, Feb.
- Li Lin & Didier Sornette, 2016, "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-61, Oct.