Report NEP-ETS-2012-05-22

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:

• Hendrik Kaufmann & Robinson Kruse & Philipp Sibbertsen, 2012. "On tests for linearity against STAR models with deterministic trends," CREATES Research Papers 2012-20, Department of Economics and Business Economics, Aarhus University.
• R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012. "The fractional volatility model: No-arbitrage, leverage and completeness," Papers 1205.2866, arXiv.org.
• Erd.inc{c} Aky{i}ld{i}r{i}m & Yan Dolinsky & H. Mete Soner, 2012. "Approximating stochastic volatility by recombinant trees," Papers 1205.3555, arXiv.org, revised Jul 2014.
• Andrey Itkin, 2012. "New solvable stochastic volatility models for pricing volatility derivatives," Papers 1205.3550, arXiv.org, revised Jun 2012.
• Guglielmo D'Amico & Filippo Petroni, 2012. "Weighted-indexed semi-Markov models for modeling financial returns," Papers 1205.2551, arXiv.org, revised Jun 2012.
• Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011. "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper 38697, University Library of Munich, Germany.
• Pitarakis, Jean-Yves, 2012. "Jointly testing linearity and nonstationarity within threshold autoregressions," MPRA Paper 38845, University Library of Munich, Germany.
• Pitarakis, Jean-Yves, 2012. "Functional cointegration: definition and nonparametric estimation," MPRA Paper 38846, University Library of Munich, Germany.
• Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," PIER Working Paper Archive 12-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Christian Francq & Jean-Michel Zakoïan, 2011. "Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions," Working Papers 2011-30, Center for Research in Economics and Statistics.
• Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
• Item repec:cdl:ucsdec:qt35c7r55c is not listed on IDEAS anymore