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Report NEP-ECM-2003-05-12
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:
- Nour Meddahi, 2002, "ARMA Representation of Two-Factor Models," CIRANO Working Papers, CIRANO, number 2002s-92, Dec.
- Sergio Pastorello & Valentin Patilea & Eric Renault, 2003, "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers, CIRANO, number 2003s-08, Apr.
- Silvia Gonçalves & Lutz Kilian, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers, CIRANO, number 2003s-17, Apr.
- Bartolucci Francesco & Mira Antonietta & Scaccia Luisa, 2003, "Bayesian inference for Latent Class model via MCMC with application to capture-recapture data," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0303, Jan.
- Diego J. Pedregal, 2003, "Filter-Design and Model-Based Analysis of Economic Cycles," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/13.
- Nour Meddahi, 2002, "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers, CIRANO, number 2002s-93, Dec.
- Omtzigt Pieter, 2002, "Automatic identification of simultaneous equations models," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0201, Jan.
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO, number 2002s-90, Dec.
- Javier Perote Peña & Juan Perote Peña, 2003, "Strategy-Proof Estimators for Simple Regression," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/14.
- Mira Antonietta, 2002, "Ordering and improving Monte Carlo Markov chains performance," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0202, Jan.
- Peter Christoffersen & Denis Pelletier, 2003, "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers, CIRANO, number 2003s-05, Feb.
- Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2003, "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers, CIRANO, number 2003s-11, Apr.
- Benoit Perron, 2002, "Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off," CIRANO Working Papers, CIRANO, number 2002s-88, Nov.
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers, CIRANO, number 2002s-91, Dec.
- Omtzigt Pieter & Paruolo Paolo, 2002, "Impact factors," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0203, Oct.