Printed from https://ideas.repec.org/n/nep-ecm/2009-09-26.html
Report NEP-ECM-2009-09-26
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:
- Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009, "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche, CIRPEE, number 0927.
- Han Lin Shang & Rob J Hyndman, 2009, "Nonparametric time series forecasting with dynamic updating," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/09, Aug.
- Item repec:sda:workpa:22009 is not listed on IDEAS anymore
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009, "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-669, Sep.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009, "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers, European University Institute, number ECO2009/31.
- Tetsuya Takaishi, 2009, "Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme," Papers, arXiv.org, number 0909.1478, Sep.
- Jan J. J. Groen & George Kapetanios, 2009, "Parsimonious estimation with many instruments," Staff Reports, Federal Reserve Bank of New York, number 386.
- Alain Guay & Emmanuel Guerre & Stepana Lazarova, 2009, "Adaptive Rate-Optimal Detection of Small Autocorrelation Coefficients," Cahiers de recherche, CIRPEE, number 0925.
- Alexander Kriwoluzky, 2009, "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers, European University Institute, number ECO2009/29.
- Shiqing Ling & Michael McAleer, 2009, "A General Asymptotic Theory for Time Series Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-670, Sep.
- Tetsuya Takaishi, 2009, "Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme," Papers, arXiv.org, number 0907.5276, Jul.
- Gilles Zumbach, 2009, "Inference on multivariate ARCH processes with large sizes," Papers, arXiv.org, number 0903.1531, Mar.
- Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-03, Mar.
- Tetsuya Takaishi, 2009, "An Adaptive Markov Chain Monte Carlo Method for GARCH Model," Papers, arXiv.org, number 0901.0992, Jan.
- Westerlund, Joakim & Narayan, Paresh, 2009, "Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH," Working Papers in Economics, University of Gothenburg, Department of Economics, number 379, Sep.
- William T. Shaw & Jonathan McCabe, 2009, "Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space," Papers, arXiv.org, number 0903.1592, Mar.
- Tommaso Proietti, 2009, "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_24, 09.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche, CIRPEE, number 0926.
- Pavel V. Shevchenko & Grigory Temnov, 2009, "Modeling operational risk data reported above a time-varying threshold," Papers, arXiv.org, number 0904.4075, Apr, revised Jul 2009.
- Item repec:hal:journl:hal-00416449_v1 is not listed on IDEAS anymore
- Hlouskova, Jaroslava & Wagner, Martin, 2009, "Finite Sample Correction Factors for Panel Cointegration Tests," Economics Series, Institute for Advanced Studies, number 244, Sep.
- Kiefer, Nicholas M., 2009, "The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals," Working Papers, Cornell University, Center for Analytic Economics, number 09-01, Jan.
- Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009, "Model uncertainty in claims reserving within Tweedie's compound Poisson models," Papers, arXiv.org, number 0904.1483, Apr.
- Adam Clements & Annastiina Silvennoinen, 2009, "On the economic benefit of utility based estimation of a volatility model," NCER Working Paper Series, National Centre for Econometric Research, number 44, Jul.
- Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-06, Jun.
- Romuald Elie, 2009, "Double Kernel estimation of sensitivities," Papers, arXiv.org, number 0909.2624, Sep.
- Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009, "Bootstrap Unit Root Tests for Nonlinear Threshold Models," Economics Discussion Paper Series, Economics, The University of Manchester, number 0915.
- Item repec:dgr:eureir:1765016709 is not listed on IDEAS anymore
- Pavel V. Shevchenko, 2009, "Implementing Loss Distribution Approach for Operational Risk," Papers, arXiv.org, number 0904.1805, Apr, revised Jul 2009.
- Item repec:arx:papers:0909.1490 is not listed on IDEAS anymore
- Choi, Hwan-sik & Kiefer, Nicholas M., 2009, "Geometry of the Log-Likelihood Ratio Statistic in Misspecified Models," Working Papers, Cornell University, Center for Analytic Economics, number 09-08, May.
- Dirk Tasche, 2009, "Estimating discriminatory power and PD curves when the number of defaults is small," Papers, arXiv.org, number 0905.3928, May, revised Mar 2010.
- L. Lin & Ren R. E & D. Sornette, 2009, "A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals," Papers, arXiv.org, number 0905.0128, May.
- Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2009, "New procedures for testing whether stock price processes are martingales," Papers, arXiv.org, number 0907.3273, Jul, revised Feb 2010.
- Westerlund, Joakim & Costantini, Mauro & Narayan, Paresh & Popp, Stephan, 2009, "Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production," Working Papers in Economics, University of Gothenburg, Department of Economics, number 377, Sep.
- Stanley, T. D. & Jarrell, Stephen B. & Doucouliagos, Hristos, 2009, "Could it be better to discard 90% of the data? A statistical paradox," Working Papers, Deakin University, Department of Economics, number eco_2009_13, Jan, DOI: 10.1198/tast.2009.08205.
- Suarez, Ronny, 2009, "Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances," MPRA Paper, University Library of Munich, Germany, number 17482, Sep.
- Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly, 2009, "Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates," Papers, arXiv.org, number 0904.2910, Apr.
- Fulvio Baldovin & Dario Bovina & Francesco Camana & Attilio L. Stella, 2009, "Modeling the non-Markovian, non-stationary scaling dynamics of financial markets," Papers, arXiv.org, number 0909.3244, Sep, revised Sep 2010.
- Jiří Witzany, 2009, "Estimating LGD Correlation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/21, Sep, revised Sep 2009.
- Debdulal Mallick, 2009, "Marginal and Interaction Effects in Ordered Response Models," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_22, 09.
- Item repec:cfs:cfswop:wp200918 is not listed on IDEAS anymore
- Westerlund, Joakim & Breitung, Jörg, 2009, "Myths and Facts about Panel Unit Root Tests," Working Papers in Economics, University of Gothenburg, Department of Economics, number 380, Sep.