Report NEP-ECM-2012-03-28

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).
• Mantalos, Panagiotis & Karagrigoriou, Alex, 2012. "Testing For Skewness In Ar Conditional Volatility Models For Financial Return Series," Working Papers 2012:4, Örebro University, School of Business.
• Francesco Bravo & Federico Crudu, 2012. "Efficient bootstrap with weakly dependent processes," Discussion Papers 12/08, Department of Economics, University of York.
• Item repec:cdl:ucsdec:qt0dr145dt is not listed on IDEAS anymore

• Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
• Item repec:acb:camaaa:2012-13 is not listed on IDEAS anymore

• Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2012. "Common Drifting Volatility in Large Bayesian VARs," CEPR Discussion Papers 8894, C.E.P.R. Discussion Papers.
• Márcio Laurini, 2012. "Dynamic Functional Data Analysis with Nonparametric State Space Models," IBMEC RJ Economics Discussion Papers 2012-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Zhan Wang & Sandra Paterlini & Fuchang Gao & Yuhong Yang, 2012. "Adaptive Minimax Estimation over Sparse lq-Hulls," Center for Economic Research (RECent) 078, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
• Daziano, Ricardo A. & Achtnicht, Martin, 2012. "Forecasting adoption of ultra-low-emission vehicles using the GHK simulator and Bayes estimates of a multinomial probit model," ZEW Discussion Papers 12-017, ZEW - Leibniz Centre for European Economic Research.
• Juan Carlos Escanciano & Pei Pei, 2012. "Pitfalls in Backtesting Historical Simulation VaR Models," Caepr Working Papers 2012-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
• Katarina Juselius, 2012. "Haavelmo's Probability Approach and the Cointegrated VAR," Discussion Papers 12-01, University of Copenhagen. Department of Economics.
• Item repec:cdl:ucsbec:qt5rn986z6 is not listed on IDEAS anymore

• Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change," Working Papers 691, Queen Mary University of London, School of Economics and Finance.
• Kohonen, Anssi, 2012. "On detection of volatility spillovers in simultaneously open stock markets," MPRA Paper 37504, University Library of Munich, Germany.
• Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2012. "Extracting non-linear signals from several economic indicators," Working Papers 1202, Banco de España.
• Serguey Khovansky & Zhylyevskyy, Oleksandr, 2012. "Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns," Staff General Research Papers Archive 34990, Iowa State University, Department of Economics.
• Pérez-Quirós, Gabriel & Camacho, Máximo & Alvarez, Rocio, 2012. "Finite sample performance of small versus large scale dynamic factor models," CEPR Discussion Papers 8867, C.E.P.R. Discussion Papers.
• Pérez-Quirós, Gabriel & Poncela, Pilar & Camacho, Máximo, 2012. "Markov-switching dynamic factor models in real time," CEPR Discussion Papers 8866, C.E.P.R. Discussion Papers.