Report NEP-ETS-2013-06-04This 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.
The following items were announced in this report:
- Taiane S. Prass & S\'ilvia R. C. Lopes, 2013. "Risk Measure Estimation On Fiegarch Processes," Science & Finance (CFM) working paper archive 1305.5238, Science & Finance, Capital Fund Management.
- J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2013. "Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]," Science & Finance (CFM) working paper archive 1305.6765, Science & Finance, Capital Fund Management.
- Michael McAleer & Felix Chan & Les Oxley, 2013. "Modeling and Simulation: An Overview," Working Papers in Economics 13/18, University of Canterbury, Department of Economics and Finance.
- BAUWENS, Luc & otranto, EDOARDO, 2013. "Modeling the dependence of conditional correlations on volatility," CORE Discussion Papers 2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- HAFNER, Christian & LINTON, Oliver, 2013. "An almost closed form estimator for the EGARCH model," CORE Discussion Papers 2013022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Christian Gouriéroux & Jean-Michel Zakoian, 2013. "Explosive Bubble Modelling by Noncausal Process," Working Papers 2013-04, Centre de Recherche en Economie et Statistique.
- Item repec:dgr:uvatin:2013050 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:2013073 is not listed on IDEAS anymore
- David Ardia & Lennart F. Hoogerheide, 2013. "Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012," Cahiers de recherche 1313, CIRPEE.
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Working Papers 1309, Queen's University, Department of Economics.