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Report NEP-ECM-2009-11-21
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:
- Michael Creel & Dennis Kristensen, 2009, "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 792.09, Nov.
- Zhijie Xiao & Roger Koenker, 2009, "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 725, Mar.
- Dennis Kristensen, 2009, "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-41, Sep.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2009, "Structural Threshold Regression," Working Papers, University of Guelph, Department of Economics and Finance, number 0907.
- Sokbae Lee & Yoon-Jae Whang, 2009, "Nonparametric Tests of Conditional Treatment Effects," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1740, Nov.
- Heinen, Florian & Sibbertsen, Philipp & Kruse, Robinson, 2009, "Forecasting long memory time series under a break in persistence," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-433, Nov.
- Álvaro Cartea & Dimitrios Karyampas, 2009, "Volatility and Covariation of Financial Assets: A High-Frequency Analysis," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0913, Oct.
- Christopher J. Gust & Robert J. Vigfusson, 2009, "The power of long-run structural VARs," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 978.
- Ramírez Cobo, Josefa & Lillo Rodríguez, Rosa Elvira & Wiper, Michael Peter, 2009, "Non-identifiability of the two state Markovian Arrival process," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws097121, Nov.
- Ladislav Kristoufek, 2009, "Classical and modified rescaled range analysis: Sampling properties under heavy tails," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/26, Nov, revised Nov 2009.
- Pawel J. Szerszen, 2009, "Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2009-40.
- Dimitrios Vortelinos & Dimitrios Thomakos, 2009, "Realized Volatility and Jumps in the Athens Stock Exchange," Working Papers, University of Peloponnese, Department of Economics, number 00044.
- Matthew Denes & Gauti B. Eggertsson, 2009, "A Bayesian approach to estimating tax and spending multipliers," Staff Reports, Federal Reserve Bank of New York, number 403.
- Maxim S. Finkelstein, 2009, "Understanding the shape of the mixture failure rate (with engineering and demographic applications)," MPIDR Working Papers, Max Planck Institute for Demographic Research, Rostock, Germany, number WP-2009-031, DOI: 10.4054/MPIDR-WP-2009-031.