Report NEP-ETS-2010-08-06

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:

• James G. MacKinnon & Morten Ø. Nielsen, 2010. "Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests," Working Paper 1240, Economics Department, Queen's University.
• Tibor Neugebauer & Juan A. Lacomba & Francisco Lagos, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-07, Luxembourg School of Finance, University of Luxembourg.
• Theodore Panagiotidis, 2010. "An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application," Working Paper series 20_10, Rimini Centre for Economic Analysis.
• Jean-Pierre Fouque & Sebastian Jaimungal & Matthew Lorig, 2010. "Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models," Papers 1007.4361, arXiv.org, revised Apr 2012.
• Achilles D. Speliotopoulos, 2010. "Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices," Papers 1007.5274, arXiv.org.
• Archil Gulisashvili, 2010. "Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture," Papers 1007.5353, arXiv.org.
• Jean-Pierre Fouque & Matthew Lorig, 2010. "A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model," Papers 1007.4366, arXiv.org, revised Apr 2012.
• A. M. Avdeenko, 2010. "Optimization of Financial Instrument Parcels in Stochastic Wavelet Model," Papers 1007.5413, arXiv.org.
• Buss, Ginters, 2010. "Seasonal decomposition with a modified Hodrick-Prescott filter," MPRA Paper 24133, University Library of Munich, Germany.