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.

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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 1305.5238, arXiv.org.
• 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 1305.6765, arXiv.org.
• Michael McAleer & Felix Chan & Les Oxley, 2013. "Modeling and Simulation: An Overview," Working Papers in Economics 13/18, University of Canterbury, Department of Economics and Finance.
• BAUWENS, Luc & otranto, EDOARDO, 2013. "Modeling the dependence of conditional correlations on volatility," LIDAM Discussion Papers CORE 2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• HAFNER, Christian & LINTON, Oliver, 2013. "An almost closed form estimator for the EGARCH model," LIDAM Discussion Papers CORE 2013022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Christian Gouriéroux & Jean-Michel Zakoian, 2013. "Explosive Bubble Modelling by Noncausal Process," Working Papers 2013-04, Center for Research in Economics and Statistics.
• 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 1313, CIRPEE.
• Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
• 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 1309, Economics Department, Queen's University.