Report NEP-ECM-2001-07-23This 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.
The following items were announced in this report:
- M. Pitsillis & S. Satchell, 2001. "Improving the Estimates of the Risk Premia - Application in the UK Financial Market," Cambridge Working Papers in Economics 0109, Faculty of Economics, University of Cambridge.
- Item repec:wop:calsdi:2001-09 is not listed on IDEAS anymore
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Emmanuel Guerre & Pascal Lavergne, 2001. "Rate-optimal data-driven specification testing in regression models," Econometrics 0107001, EconWPA.
- Naoto Kunitomo & Seisho Sato, 2001. "A Generalized SSAR Model and Predictive Distribution with an Application to VaR," CIRJE F-Series CIRJE-F-122, CIRJE, Faculty of Economics, University of Tokyo.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Oliver Linton & Mototsugu Shintani, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," FMG Discussion Papers dp383, Financial Markets Group.
- Dean P. Foster & Robert A. Stine, 2001. "Variable Selection in Data Mining: Building a Predictive Model for Bankruptcy," Center for Financial Institutions Working Papers 01-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Item repec:fmg:fmgdps:dp0384 is not listed on IDEAS anymore
- Oliver Linton & Andrew Jeffrey & Thong Nguyen, 2001. "Flexible Term Structure Estimation: Which Method is Preferred?," FMG Discussion Papers dp385, Financial Markets Group.