Printed from https://ideas.repec.org/n/nep-ets/2012-05-22.html
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, Department of Economics and Business Economics, Aarhus University, number 2012-20, May.
- R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012, "The fractional volatility model: No-arbitrage, leverage and completeness," Papers, arXiv.org, number 1205.2866, May.
- Erd.inc{c} Aky{i}ld{i}r{i}m & Yan Dolinsky & H. Mete Soner, 2012, "Approximating stochastic volatility by recombinant trees," Papers, arXiv.org, number 1205.3555, May, revised Jul 2014.
- Andrey Itkin, 2012, "New solvable stochastic volatility models for pricing volatility derivatives," Papers, arXiv.org, number 1205.3550, May, revised Jun 2012.
- Guglielmo D'Amico & Filippo Petroni, 2012, "Weighted-indexed semi-Markov models for modeling financial returns," Papers, arXiv.org, number 1205.2551, May, revised Jun 2012.
- Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011, "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper, University Library of Munich, Germany, number 38697.
- Pitarakis, Jean-Yves, 2012, "Jointly testing linearity and nonstationarity within threshold autoregressions," MPRA Paper, University Library of Munich, Germany, number 38845, May.
- Pitarakis, Jean-Yves, 2012, "Functional cointegration: definition and nonparametric estimation," MPRA Paper, University Library of Munich, Germany, number 38846, May.
- 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, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 12-020, May.
- Christian Francq & Jean-Michel Zakoïan, 2011, "Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions," Working Papers, Center for Research in Economics and Statistics, number 2011-30.
- Patrick Gagliardini & Christian Gouriéroux, 2012, "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers, Center for Research in Economics and Statistics, number 2012-07, Mar.
- McElroy, Tucker S. & Politis, Dimitris N., 2012, "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt35c7r55c, May.