Report NEP-ECM-2007-04-28This 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:
- Ardia, David, 2007. "Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations," DQE Working Papers 6, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 08 Jul 2008.
- Valeri Voev, 2007. "Dynamic Modeling of Large Dimensional Covariance Matrices," CoFE Discussion Paper 07-01, Center of Finance and Econometrics, University of Konstanz.
- Karl H. Schlag, 2007. "How to Attain Minimax Risk with Applications to Distribution-Free Nonparametric Estimation and Testing," Economics Working Papers ECO2007/04, European University Institute.
- Taro Kanatani & Roberto Reno', 2007. "Unbiased covariance estimation with interpolated data," Department of Economics University of Siena 502, Department of Economics, University of Siena.
- Wen-Jen Tsay & Wolfgang Härdle, 2007. "A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter," SFB 649 Discussion Papers SFB649DP2007-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2007. "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics," CoFE Discussion Paper 07-04, Center of Finance and Econometrics, University of Konstanz.
- Arie ten Cate, 2007. "Modelling the reporting discrepancies in bilateral data," CPB Memorandum 179, CPB Netherlands Bureau for Economic Policy Analysis.
- Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
- W.J. Willemse & R. Kaas, 2007. "Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality," DNB Working Papers 135, Netherlands Central Bank, Research Department.
- Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2007. "Markov switching GARCH models of currency turmoil in southeast Asia," International Finance Discussion Papers 889, Board of Governors of the Federal Reserve System (U.S.), revised 2007.
- Ingmar Nolte & Valeri Voev, 2007. "Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market¤," CoFE Discussion Paper 07-02, Center of Finance and Econometrics, University of Konstanz.
- Johansson-Stenman, Olof & Svedsäter, Henrik, 2007. "Hypothetical bias in choice experiments: Within versus between subject tests," Working Papers in Economics 252, University of Gothenburg, Department of Economics.
- Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Working Papers 0709, Banco de España;Working Papers Homepage.
- Anna Conte & John D Hey & Peter G Moffatt, 2007. "Mixture Models of Choice Under Risk," Discussion Papers 07/06, Department of Economics, University of York.
- Irène Andreou & Gilles Dufrénot & Alain Sand-Zantman & Aleksandra Zdzienicka-Durand, 2007. "A forewarning indicator system for financial crises: the case of six Central and Eastern European countries," Post-Print halshs-00142433, HAL.
- Fabrice Murtin & Federica Marzo, 2007. "HIV/AIDS and Poverty in South Africa: a Bayesian Estimation," Cahiers de recherche 07-08, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.