Printed from https://ideas.repec.org/n/nep-ecm/2003-10-20.html
Report NEP-ECM-2003-10-20
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:
- Andrés Bujosa & Marcos Bujosa & Antonio García Ferrer, 2002, "A Note on the Pseudo-Spectra and the Pseudo-Covariance Generating Functions of ARMA Processes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0203.
- Guido W. Imbens, 2003, "Nonparametric Estimation of Average Treatment Effects under Exogeneity: A Review," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0294, Oct.
- Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003, "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_58, Oct.
- Item repec:dgr:uvatin:20030081 is not listed on IDEAS anymore
- Burkhard Raunig, 2003, "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 86, Sep.
- Marcos Bujosa & Antonio García Ferrer & Peter Young, 2002, "An ARMA Representation of Unobserved Component Models under Generalized Random Walk Specifications: New Algorithms and Examples," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0204.
- Item repec:mtl:montde:07-2003 is not listed on IDEAS anymore
- Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003, "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/03, Oct.
- van den Berg, Gerard J. & van Lomwel, Gijsbert & van Ours, Jan C., 2003, "Nonparametric Estimation of a Dependent Competing Risks Model for Unemployment Durations," IZA Discussion Papers, Institute of Labor Economics (IZA), number 898, Oct.
- Charemza W.W. & M. Lifshits & S. Makarova, 2002, "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002, Society for Computational Economics, number 251, Jul.
- massimo franchi, 2002, "A Non-Causal Identification Scheme for Vector Autoregressions," Computing in Economics and Finance 2002, Society for Computational Economics, number 290, Jul.
- Item repec:mtl:montde:06-2003 is not listed on IDEAS anymore
- J. Huston McCulloch & E. Richard Percy, Jr., 2002, "A Spline LR Test for Goodness-of-Fit," Computing in Economics and Finance 2002, Society for Computational Economics, number 123, Jul.
- Noah Williams, 2003, "Small Noise Asymptotics for a Stochastic Growth Model," Computing in Economics and Finance 2003, Society for Computational Economics, number 262, Aug.
- Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003, "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_55, Oct.
- Item repec:mtl:montde:14-2003 is not listed on IDEAS anymore
- M. A. Kaboudan, 2003, "Genetic Programming Software to Forecast Time Series," Computing in Economics and Finance 2003, Society for Computational Economics, number 97, Aug.
- H. Vincent Poor & Li Chen, 2003, "Parametric Estimation of Quadratic Term Structure Models of Interest Rates," Computing in Economics and Finance 2003, Society for Computational Economics, number 22, Aug.
- Asger Lunde & Esben Hoeg, 2003, "Wavelet Estimation of Integrated Volatility," Computing in Economics and Finance 2003, Society for Computational Economics, number 274, Aug.
- Thomas Lubik & Frank Schorfheide, 2002, "Testing for Indeterminacy in Linear Rational Expectations Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 214, Jul.
- Item repec:dgr:uvatin:20030071 is not listed on IDEAS anymore
- Aaron D. Smallwood & Paul M. Beaumont, 2002, "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 285, Jul.
- Item repec:mtl:montde:09-2003 is not listed on IDEAS anymore
- Item repec:mtl:montde:10-2003 is not listed on IDEAS anymore
- Item repec:mtl:montde:08-2003 is not listed on IDEAS anymore