Report NEP-ETS-2007-03-03

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Pitarakis, Jean-Yves, 2006. "Threshold effects in cointegrating relationships," UC3M Working papers. Economics we20060621, Universidad Carlos III de Madrid. Departamento de Economía.
• Veiga, Helena, 2007. "The sign of asymmetry and the Taylor Effect in stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws070702, Universidad Carlos III de Madrid. Departamento de Estadística.
• Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
• Westerlund, Joakim, 2007. "A Note on the Pooling of Individual PANIC Unit Root Tests," Working Papers 2007:5, Lund University, Department of Economics.
• Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series 77, Economics, The University of Manchester.
• Silja Kinnebrock & Mark Podolskij, 2007. "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series 2007fe03, Oxford Financial Research Centre.
• Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Working Papers 0619, Banco de España.