Report NEP-ETS-2010-09-18

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:

• Makram El-Shagi & Sebastian Giesen, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19, Halle Institute for Economic Research.
• Item repec:dgr:kubcen:201084 is not listed on IDEAS anymore

• Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Cholesky-MIDAS model for predicting stock portfolio volatility," Centre for Growth and Business Cycle Research Discussion Paper Series 149, Economics, The University of Manchester.
• Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series CARF-F-217, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," CARF F-Series CARF-F-183, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Chen, Pu, 2010. "A time series causal model," MPRA Paper 24841, University Library of Munich, Germany.
• Chen, Pu & Hsiao, Chih-Ying, 2010. "Looking behind Granger causality," MPRA Paper 24859, University Library of Munich, Germany.