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Report NEP-ECM-2001-11-27
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, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001, "Flexible multivariate GARCH modeling with an application to international stock markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 578, Oct.
- Offer Lieberman & Peter C.B. Phillips, 2001, "Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1308, Jul.
- Federico M. Bandi & Peter C.B. Phillips, 2001, "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1332, Sep.
- Erling B. Andersen, 2001, "Some Simple ML Estimators in Stochastic Differential Equations," Discussion Papers, University of Copenhagen. Department of Economics, number 01-10, Oct.
- Peter C.B. Phillips, 2001, "Regression with Slowly Varying Regressors," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1310, Jul.
- Jun Yu & Peter C.B. Phillips, 2001, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1309, Jul.
- Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang, 2001, "Nonlinear Instrumental Variable Estimation of an Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1331, Sep.
- Peter C.B. Phillips, 2001, "Bootstrapping Spurious Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1330, Sep.
- Darsinos, T. & Satchell, S.E., 2001, "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0116, Nov.
- Olivier Ledoit & Michael Wolf, 2001, "Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 575, Oct.