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Report NEP-ETS-2013-06-04
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:
- Taiane S. Prass & S'ilvia R. C. Lopes, 2013, "Risk Measure Estimation On Fiegarch Processes," Papers, arXiv.org, number 1305.5238, May.
- J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2013, "Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]," Papers, arXiv.org, number 1305.6765, May.
- Michael McAleer & Felix Chan & Les Oxley, 2013, "Modeling and Simulation: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/18, May.
- BAUWENS, Luc & otranto, EDOARDO, 2013, "Modeling the dependence of conditional correlations on volatility," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013014, May.
- HAFNER, Christian & LINTON, Oliver, 2013, "An almost closed form estimator for the EGARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013022, May.
- Christian Gouriéroux & Jean-Michel Zakoian, 2013, "Explosive Bubble Modelling by Noncausal Process," Working Papers, Center for Research in Economics and Statistics, number 2013-04, Feb.
- Item repec:dgr:uvatin:2013050 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:2013073 is not listed on IDEAS anymore
- David Ardia & Lennart F. Hoogerheide, 2013, "Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012," Cahiers de recherche, CIRPEE, number 1313.
- Jennifer Castle & David Hendry, 2013, "Semi-automatic Non-linear Model selection," Economics Series Working Papers, University of Oxford, Department of Economics, number 654, May.
- Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2013, "Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets," Working Paper, Economics Department, Queen's University, number 1309, Dec.