Report NEP-ETS-2013-11-14

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:

• K. Triantafyllopoulos, 2013. "Multivariate stochastic volatility modelling using Wishart autoregressive processes," Papers 1311.0530, arXiv.org.
• Kim Song Yon & Kim Mun Chol, 2013. "Modeling of Volatility with Non-linear Time Series Model," Papers 1311.1154, arXiv.org, revised Jul 2014.
• Stefano De Marco & Peter Friz, 2013. "Varadhan's formula, conditioned diffusions, and local volatilities," Papers 1311.1545, arXiv.org, revised Jun 2016.
• Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," Working Papers halshs-00879522, HAL.
• Zhu, Ke & Li, Wai-Keung, 2013. "A bootstrapped spectral test for adequacy in weak ARMA models," MPRA Paper 51224, University Library of Munich, Germany.
• Schleer, Frauke, 2013. "Finding starting-values for maximum likelihood estimation of vector STAR models," ZEW Discussion Papers 13-076, ZEW - Leibniz Centre for European Economic Research.