Report NEP-ECM-2011-05-30

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:

• Xiaohong Chen, 2011, "Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1804, May.
• Item repec:dgr:kubcen:2011054 is not listed on IDEAS anymore

• Item repec:wrk:warwec:961 is not listed on IDEAS anymore

• Hellström, Jörgen & Lönnbark, Carl, 2011, "Identification of jumps in financial price series," Umeå Economic Studies, Umeå University, Department of Economics, number 827, May.
• Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011, "Regression-based estimation of dynamic asset pricing models," Staff Reports, Federal Reserve Bank of New York, number 493.
• J. Isaac Miller, 2011, "Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series," Working Papers, Department of Economics, University of Missouri, number 1103, May, revised 30 May 2012.
• Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011, "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/22, May.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2011, "Bayesian VARs: specification choices and forecast accuracy," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1112.
• Stanley, T. D. & Doucouliagos, Hristos, 2011, "Meta-regression approximations to reduce publication selection bias," Working Papers, Deakin University, Department of Economics, number eco_2011_4, Jan, DOI: 10.1002/jrsm.1095.
• Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp, 2011, "Two competitive models and their identification problem: The ESTAR and TSTAR model," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-474, May.
• Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011, "Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1803, May.
• Item repec:dnb:dnbwpp:296 is not listed on IDEAS anymore

• Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011, "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers, Kyoto University, Institute of Economic Research, number 775, May.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011, "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 29, DOI: 10.5445/IR/1000023240.
• Heinen, Florian, 2011, "A note on testing for purchasing power parity," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-471, May.
• Gaurab Aryal & Isabelle Perrigne & Quang Vuong, 2011, "Identification of Insurance Models with Multidimensional Screening," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2011-538, Feb.
• Laurent E. Calvet & Veronika Czellar, 2011, "State-Observation Sampling and the Econometrics of Learning Models," Papers, arXiv.org, number 1105.4519, May.
• Bivand, Roger, 2010, "Computing the Jacobian in spatial models: an applied survey," Discussion Paper Series in Economics, Norwegian School of Economics, Department of Economics, number 20/2010, Aug.
• Faggini, Marisa, 2010, "Chaos detection in economics. Metric versus topological tools," MPRA Paper, University Library of Munich, Germany, number 30928, Oct.
• Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2011, "Tempered infinitely divisible distributions and processes," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 26, DOI: 10.5445/IR/1000023237.
• Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011, "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 28, DOI: 10.5445/IR/1000023239.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011, "Fat-tailed models for risk estimation," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 30, DOI: 10.5445/IR/1000023244.
• Cheng, Gang & Zervopoulos, Panagiotis & Qian, Zhenhua, 2011, "A variant of radial measure capable of dealing with negative inputs and outputs in data envelopment analysis," MPRA Paper, University Library of Munich, Germany, number 30951, May.

Report NEP-ECM-2011-05-30

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: