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Report NEP-ETS-2011-08-29
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:
- Yin Liao & Heather M. Anderson, 2011, "Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/11, Aug.
- Greg Hannsgen, 2011, "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive, Levy Economics Institute, number wp_682, Aug.
- Antoine Jacquier & Martin Keller-Ressel & Aleksandar Mijatovic, 2011, "Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models," Papers, arXiv.org, number 1108.3998, Aug.