Report NEP-ETS-2009-04-05

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.

Other reports in NEP-ETS

The following items were announced in this report:

• Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, Department of Economics and Business Economics, Aarhus University.
• Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, Department of Economics and Business Economics, Aarhus University.
• John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Discussion Papers of DIW Berlin 873, DIW Berlin, German Institute for Economic Research.
• Mc CRORIE, J. Roderick, 2008. "The role of Skorokhod space in the development of the econometric analysis of time series," LIDAM Discussion Papers CORE 2008059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Wang, Shin-Huei & Hafner, Christian, 2008. "Estimating autocorrelations in the presence of deterministic trends," LIDAM Discussion Papers CORE 2008073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao, 2009. "Extreme Value GARCH modelling with Bayesian Inference," Working Papers in Economics 09/05, University of Canterbury, Department of Economics and Finance.
• Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-based nonlinear quantile autoregression," CeMMAP working papers CWP27/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.