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.

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