Report NEP-ECM-2010-09-03

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:

• Morten Ørregaard Nielsen & Per Frederiksen, 2010, "Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-31, May.
• Dennis Kristensen, 2010, "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-43, Aug.
• Mogens Bladt & Michael Sørensen, 2010, "Simple simulation of diffusion bridges with application to likelihood inference for diffusions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-32, Aug.
• Naoto Kunitomo & Seisho Sato, 2010, "On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-758, Aug.
• Fernando Baltazar-Larios & Michael Sørensen, 2010, "Maximum likelihood estimation for integrated diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-33, Aug.
• Rasmus Tangsgaard Varneskov & Valeri Voev, 2010, "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-45, Aug.
• Robinson Kruse & Rickard Sandberg, 2010, "Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-36, Jul.
• Stefano Grassi & Tommaso Proietti, 2010, "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2010_25, Aug.
• Robinson Kruse & Philipp Sibbertsen, 2010, "Long memory and changing persistence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-42, Aug.
• Item repec:dgr:eureri:1765019669 is not listed on IDEAS anymore

• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010, "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports, Federal Reserve Bank of New York, number 465.
• Andrle, Michal, 2010, "A note on identification patterns in DSGE models," Working Paper Series, European Central Bank, number 1235, Aug.
• Rasmus Tangsgaard Varneskov, 2010, "The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-39, Aug.
• Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-44, Aug.
• Christian M. Dahl & Emma M. Iglesias, 2010, "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-48, Aug.
• Thomas Q. Pedersen, 2010, "Predictable return distributions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-38, Jul.
• Judith A. Clarke & Nilanjana Roy, 2010, "On Statistical Inference for Inequality Measures Calculated from Complex Survey Data," Econometrics Working Papers, Department of Economics, University of Victoria, number 1002, Aug.
• Ivan Savin, 2010, "A comparative study of the Lasso-type and heuristic model selection methods," Working Papers, COMISEF, number 042, Aug.
• Item repec:acb:camaaa:2010-22 is not listed on IDEAS anymore

• Shuangzhe Liu & Wolfgang Polasek & Richard Sellner, 2010, "Sensitivity Analysis of SAR Estimators: A Simulation Study," Working Paper series, Rimini Centre for Economic Analysis, number 22_10, Jan, revised Nov 2011.
• Jarociński, Marek, 2010, "Imposing parsimony in cross-country growth regressions," Working Paper Series, European Central Bank, number 1234, Aug.
• Item repec:dgr:uvatin:20100040 is not listed on IDEAS anymore

Report NEP-ECM-2010-09-03

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: