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