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Report NEP-ETS-2013-10-05
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:
- Carole Bernard & Zhenyu Cui & Don McLeish, 2013, "On the martingale property in stochastic volatility models based on time-homogeneous diffusions," Papers, arXiv.org, number 1310.0092, Sep, revised Jul 2014.
- Carole Bernard & Zhenyu Cui & Don McLeish, 2013, "Convergence of the discrete variance swap in time-homogeneous diffusion models," Papers, arXiv.org, number 1310.0099, Sep.
- Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013, "Shapes of implied volatility with positive mass at zero," Papers, arXiv.org, number 1310.1020, Oct, revised May 2017.
- Line Elvstrøm Ekner & Emil Nejstgaard, 2013, "Parameter Identification in the Logistic STAR Model," Discussion Papers, University of Copenhagen. Department of Economics, number 13-07, Sep.
- Bensalma, Ahmed, 2013, "Simple Fractional Dickey Fuller test," MPRA Paper, University Library of Munich, Germany, number 50315, Jul.