NEP-ECM-2007-07-07

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Report NEP-ECM-2007-07-07

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

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Other reports in NEP-ECM

The following items were anounced in this report:

Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07071, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
Jean-Francois Richard & Wei Zhang, 2007. "Efficient High-Dimensional Importance Sampling," Working Papers 321, University of Pittsburgh, Department of Economics, revised Jan 2007. [Downloadable!]
Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
Christian Kascha, 2007. "A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models," Economics Working Papers ECO2007/12, European University Institute. [Downloadable!]
Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute. [Downloadable!]
Fabio Canova & Luca Sala, 2007. "Back to square one: identification issues in DSGE models," Banco de EspaÃ±a Working Papers 0715, Banco de España. [Downloadable!]
Lonnie Magee, 2007. "Ordinary Least Squares Bias and Bias Corrections for iid Samples," Quantitative Studies in Economics and Population Research Reports 419, McMaster University. [Downloadable!]
Jeong-Ryeol Kurz-Kim & Mico Loretan, 2007. "A note on the coefficient of determination in models with infinite variance variables," International Finance Discussion Papers 895, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Konrad Banachewicz & André Lucas, 2007. "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers 07-046/2, Tinbergen Institute. [Downloadable!]
Figueiredo, Annibal & Matsushita, Raul & Da Silva, Sergio & Serva, Maurizio & Viswanathan, Gandhi & Nascimento, Cesar & Gleria, Iram, 2007. "The Levy sections theorem: an application to econophysics," MPRA Paper 3810, University Library of Munich, Germany. [Downloadable!]
Ricardo Reis & Mark W. Watson, 2007. "Measuring changes in the value of the numeraire," Kiel Working Papers 1364, Kiel Institute for the World Economy. [Downloadable!]

This page was last updated on 2009-11-29.

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