Report NEP-ECM-2009-09-26

Subscribe to this report: email or RSS

Other reports in NEP-ECM

The following items were anounced in this report:

• Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche 0927, CIRPEE. [Downloadable!]
• Han Lin Shang & Rob J Hyndman, 2009. "Nonparametric time series forecasting with dynamic updating," Monash Econometrics and Business Statistics Working Papers 8/09, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers (in Progress) 22009, South Dakota State University, Department of Economics. [Downloadable!]
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
• Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute. [Downloadable!]
• Tetsuya Takaishi, 2009. "Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme," Quantitative Finance Papers 0909.1478, arXiv.org. [Downloadable!]
• Jan J. J. Groen & George Kapetanios, 2009. "Parsimonious estimation with many instruments," Staff Reports 386, Federal Reserve Bank of New York. [Downloadable!]
• Alain Guay & Emmanuel Guerre & Stepana Lazarova, 2009. "Adaptive Rate-Optimal Detection of Small Autocorrelation Coefficients," Cahiers de recherche 0925, CIRPEE. [Downloadable!]
• Alexander Kriwoluzky, 2009. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers ECO2009/29, European University Institute. [Downloadable!]
• Shiqing Ling & Michael McAleer, 2009. "A General Asymptotic Theory for Time Series Models," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
• Tetsuya Takaishi, 2009. "Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme," Quantitative Finance Papers 0907.5276, arXiv.org. [Downloadable!]
• Gilles Zumbach, 2009. "Inference on multivariate ARCH processes with large sizes," Quantitative Finance Papers 0903.1531, arXiv.org. [Downloadable!]
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers 2009-03, Universidad Torcuato Di Tella. [Downloadable!]
• Tetsuya Takaishi, 2009. "An Adaptive Markov Chain Monte Carlo Method for GARCH Model," Quantitative Finance Papers 0901.0992, arXiv.org. [Downloadable!]
• Westerlund, Joakim & Narayan, Paresh, 2009. "Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH," Working Papers in Economics 379, Göteborg University, Department of Economics. [Downloadable!]
• William T. Shaw & Jonathan McCabe, 2009. "Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space," Quantitative Finance Papers 0903.1592, arXiv.org. [Downloadable!]
• Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI). [Downloadable!]
• Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity," Cahiers de recherche 0926, CIRPEE. [Downloadable!]
• Pavel V. Shevchenko & Grigory Temnov, 2009. "Modeling operational risk data reported above a time-varying threshold," Quantitative Finance Papers 0904.4075, arXiv.org, revised Jul 2009. [Downloadable!]
• Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Post-Print hal-00416449_v1, HAL. [Downloadable!]
• Hlouskova, Jaroslava & Wagner, Martin, 2009. "Finite Sample Correction Factors for Panel Cointegration Tests," Economics Series 244, Institute for Advanced Studies. [Downloadable!]
• Kiefer, Nicholas M., 2009. "The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals," Working Papers 09-01, Cornell University, Center for Analytic Economics. [Downloadable!]
• Gareth W. Peters & Pavel V. Shevchenko & Mario V. W\"uthrich, 2009. "Model uncertainty in claims reserving within Tweedie's compound Poisson models," Quantitative Finance Papers 0904.1483, arXiv.org. [Downloadable!]
• Adam Clements & Annastiina Silvennoinen, 2009. "On the economic benefit of utility based estimation of a volatility model," NCER Working Paper Series 44, National Centre for Econometric Research. [Downloadable!]
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella. [Downloadable!]
• Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Quantitative Finance Papers 0909.2624, arXiv.org. [Downloadable!]
• Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," The School of Economics Discussion Paper Series 0915, Economics, The University of Manchester. [Downloadable!]
• Groen, J.J.J. & Paap, R., 2009. "Real-time inflation forecasting in a changing world," Econometric Institute Report EI 2009-19 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
• Pavel V. Shevchenko, 2009. "Implementing Loss Distribution Approach for Operational Risk," Quantitative Finance Papers 0904.1805, arXiv.org, revised Jul 2009. [Downloadable!]
• Marc Barthelemy & Jean-Pierre Nadal & Henri Berestycki, 2009. "Disentangling collective trends from local dynamics," Quantitative Finance Papers 0909.1490, arXiv.org. [Downloadable!]
• Choi, Hwan-sik & Kiefer, Nicholas M., 2009. "Geometry of the Log-Likelihood Ratio Statistic in Misspecified Models," Working Papers 09-08, Cornell University, Center for Analytic Economics. [Downloadable!]
• Dirk Tasche, 2009. "Estimating discriminatory power and PD curves when the number of defaults is small," Quantitative Finance Papers 0905.3928, arXiv.org. [Downloadable!]
• L. Lin & Ren R. E & D. Sornette, 2009. "A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals," Quantitative Finance Papers 0905.0128, arXiv.org. [Downloadable!]
• Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2009. "New procedures for testing whether stock price processes are martingales," Quantitative Finance Papers 0907.3273, arXiv.org. [Downloadable!]
• Westerlund, Joakim & Costantini, Mauro & Narayan, Paresh & Popp, Stephan, 2009. "Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production," Working Papers in Economics 377, Göteborg University, Department of Economics. [Downloadable!]
• T.D. Stanley & Stephen B. Jarrell & Hristos Doucouliagos, 2009. "Could It Be Better to Discard 90% of the Data? A Statistical Paradox," Economics Series 2009_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
• Suarez, Ronny, 2009. "Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances," MPRA Paper 17482, University Library of Munich, Germany. [Downloadable!]
• Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly, 2009. "Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates," Quantitative Finance Papers 0904.2910, arXiv.org. [Downloadable!]
• Fulvio Baldovin & Dario Bovina & Attilio L. Stella, 2009. "Modeling non-Markovian, nonstationary scaling dynamics," Quantitative Finance Papers 0909.3244, arXiv.org. [Downloadable!]
• Jiří Witzany, 2009. "Estimating LGD Correlation," Working Papers IES 2009/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2009. [Downloadable!]
• Debdulal Mallick, 2009. "Marginal and Interaction Effects in Ordered Response Models," EERI Research Paper Series EERI_RP_2009_22, Economics and Econometrics Research Institute (EERI). [Downloadable!]
• Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2009. "Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics," CFS Working Paper Series 2009/18, Center for Financial Studies. [Downloadable!]
• Westerlund, Joakim & Breitung, Jörg, 2009. "Myths and Facts about Panel Unit Root Tests," Working Papers in Economics 380, Göteborg University, Department of Economics. [Downloadable!]

This page was last updated on 2009-11-22.