Report NEP-ETS-2010-11-13

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:

• Søren Johansen & Katarina Juselius, 2010. "An invariance property of the common trends under linear transformations of the data," CREATES Research Papers 2010-72, Department of Economics and Business Economics, Aarhus University.
• Nektarios Aslanidis & Isabel Casas, 2010. "Modelling asset correlations during the recent FInancial crisis: A semiparametric approach," CREATES Research Papers 2010-71, Department of Economics and Business Economics, Aarhus University.
• Item repec:sap:wpaper:133 is not listed on IDEAS anymore

• Stefan Avdjiev & Nathan Balke, 2010. "Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations," BIS Working Papers 323, Bank for International Settlements.
• Marcet, Albert & Jarociński, Marek, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
• Iacopo Mastromatteo & Matteo Marsili & Patrick Zoi, 2010. "Financial correlations at ultra-high frequency: theoretical models and empirical estimation," Papers 1011.1011, arXiv.org, revised Feb 2011.