Report NEP-ETS-2013-07-28

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:

• Hyeongwoo Kim & Deockhyun Ryu, 2013. "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series auwp2013-08, Department of Economics, Auburn University.
• Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
• M. Caivano & A. Harvey, 2013. "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics 1325, Faculty of Economics, University of Cambridge.
• Pierre BAJGROWICZ & Olivier SCAILLET, 2011. "We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics," Swiss Finance Institute Research Paper Series 11-36, Swiss Finance Institute.
• Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," Working Papers halshs-00844413, HAL.
• Item repec:hum:wpaper:sfb649dp2013-033 is not listed on IDEAS anymore

• Chen, Haiqiang, 2013. "Robust estimation and inference for threshold models with integrated regressors," SFB 649 Discussion Papers 2013-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Javier Fernandez-Macho, 2013. "A Test for the Null of Multiple Cointegrating Vectors," Economics Series Working Papers 657, University of Oxford, Department of Economics.
• Javier Fernandez-Macho, 2013. "A wavelet approach to multiple cointegration testing," Economics Series Working Papers 668, University of Oxford, Department of Economics.