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Report NEP-ETS-2010-08-06
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:
- James G. MacKinnon & Morten Ø. Nielsen, 2010, "Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests," Working Paper, Economics Department, Queen's University, number 1240, Jul.
- Tibor Neugebauer & Juan A. Lacomba & Francisco Lagos, 2010, "Modelling structural changes in the volatility process," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 10-07.
- Theodore Panagiotidis, 2010, "An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application," Working Paper series, Rimini Centre for Economic Analysis, number 20_10, Jan.
- Jean-Pierre Fouque & Sebastian Jaimungal & Matthew Lorig, 2010, "Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models," Papers, arXiv.org, number 1007.4361, Jul, revised Apr 2012.
- Achilles D. Speliotopoulos, 2010, "Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices," Papers, arXiv.org, number 1007.5274, Jul.
- Archil Gulisashvili, 2010, "Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture," Papers, arXiv.org, number 1007.5353, Jul.
- Jean-Pierre Fouque & Matthew Lorig, 2010, "A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model," Papers, arXiv.org, number 1007.4366, Jul, revised Apr 2012.
- A. M. Avdeenko, 2010, "Optimization of Financial Instrument Parcels in Stochastic Wavelet Model," Papers, arXiv.org, number 1007.5413, Jul.
- Buss, Ginters, 2010, "Seasonal decomposition with a modified Hodrick-Prescott filter," MPRA Paper, University Library of Munich, Germany, number 24133, Jul.