Report NEP-ECM-2005-01-02
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.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-ECM
The following items were announced in this report:
- Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, Department of Economics and Business Economics, Aarhus University.
- Item repec:cep:stiecm:/2004/468 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2004/471 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2004/474 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2004/476 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2004/479 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2004/480 is not listed on IDEAS anymore
- M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series 1358, CESifo.
- Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," ERIM Report Series Research in Management ERS-2004-107-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Cysne, Rubens Penha, 2004. "On the statistical estimation of diffusion processes - a partial survey," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 570, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Villani, Mattias & Larsson, Rolf, 2004. "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series 175, Sveriges Riksbank (Central Bank of Sweden).
- Katarina Juselius, 2004. "Inflation, Money Growth, and I(2) Analysis," Discussion Papers 04-31, University of Copenhagen. Department of Economics.
- David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria.
- Gultekin Isiklar, 2004. "On aggregation bias in fixed-event forecast efficiency tests," Econometrics 0412011, University Library of Munich, Germany, revised 28 Dec 2004.
- Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with measurement errors in dynamic models," Bank of England working papers 237, Bank of England.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003. "Realized Beta: Persistence and Predictability," PIER Working Paper Archive 04-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2004.
- Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Manuel Santos, 2004. "Convergence Properties of the Likelihood of Computed Dynamic Models," PIER Working Paper Archive 04-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- ANNAERT, Jan & CLAES, Anouk G.P. & DE CEUSTER, Marc J.K., 2003. "Does the Compass Rose pattern matter for testing normality?," Working Papers 2003020, University of Antwerp, Faculty of Business and Economics.
- BRYS, Guy & HUBERT, Mia & STRUYF ,Anja, 2004. "Goodness-of-fit tests based on a robust measure of skewness," Working Papers 2004018, University of Antwerp, Faculty of Business and Economics.
- George Kapetanios & Tony Yates, 2004. "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England working papers 238, Bank of England.
- David Mandy & Sandor Fridli, 2004. "Exact FGLS Asymptotics for MA Errors," Working Papers 0405, Department of Economics, University of Missouri, revised 16 Dec 2004.
- Item repec:umc:wpaper:0406 is not listed on IDEAS anymore
- Item repec:umc:wpaper:0420 is not listed on IDEAS anymore
- Alan Manning, 2004. "Instrumental Variables for Binary Treatments with Heterogeneous Treatment Effects: A Simple Exposition," CEP Discussion Papers dp0619, Centre for Economic Performance, LSE.