Printed from https://ideas.repec.org/n/nep-ecm/2012-09-03.html
Report NEP-ECM-2012-09-03
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:
- Min Seong Kim & Yixiao Sun, 2012, "Asymptotic F Test in a GMM Framework with Cross Sectional Dependence," Working Papers, Toronto Metropolitan University, Department of Economics, number 032, Jun.
- Dinghai Xu, 2012, "Continuous Empirical Characteristic Function Estimation of GARCH Models," Working Papers, University of Waterloo, Department of Economics, number 1204, May, revised May 2012.
- Pierre Chausse & Dinghai Xu, 2012, "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers, University of Waterloo, Department of Economics, number 1203, May, revised May 2012.
- Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012, "A simple specification procedure for the transition function in persistent nonlinear time series models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-500, Jul.
- Harvey, A. & Sucarrat, G., 2012, "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1236, Aug.
- Bontempi, Maria Elena & Mammi, Irene, 2012, "A strategy to reduce the count of moment conditions in panel data GMM," MPRA Paper, University Library of Munich, Germany, number 40720, Aug.
- Helmut Lütkepohl, 2012, "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1235.
- John Knight & Stephen Satchell & Jessica Zhang, 2012, "Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1213, Aug.
- Dagsvik, John K., 2012, "Behavioral Multistate Duration Models: What should they look like ?," Memorandum, Oslo University, Department of Economics, number 17/2012, May.
- Andrew Chesher & Adam Rosen, 2012, "Simultaneous equations for discrete outcomes: coherence, completeness, and identification," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP21/12, Aug.
- Joel L. Horowitz, 2012, "Nonparametric additive models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP20/12, Aug.
- Tziogkidis, Panagiotis, 2012, "Bootstrap DEA and Hypothesis Testing," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2012/18, Aug.
- Maican, Florin G. & Sweeney, Richard J., 2012, "Cost of Misspecification in Break-Model Unit-Root Tests," Working Papers in Economics, University of Gothenburg, Department of Economics, number 536, Aug.
- Jozef Barunik & Michaela Barunikova, 2012, "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers, arXiv.org, number 1208.4831, Aug, revised Feb 2013.
- Dirk G Baur, 2012, "The Structure and Degree of Dependence - A Quantile Regression Approach," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 170, Aug.
- Mehmke, Fabian & Cremers, Heinz & Packham, Natalie, 2012, "Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 192.
- Ying-Hui Shao & Gao Feng Gu & Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette, 2012, "Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series," Papers, arXiv.org, number 1208.4158, Aug.
- Carlos León & Karen Leiton & Alejandro Reveiz, 2012, "Investment horizon dependent CAPM: Adjusting beta for long-term dependence," Borradores de Economia, Banco de la Republica de Colombia, number 730, Aug, DOI: 10.32468/be.730.
- Peter Huber & Harald Oberhofer & Michael Pfaffermayr, 2012, "Who Creates Jobs? Estimating Job Creation Rates at the Firm Level," WIFO Working Papers, WIFO, number 435, Aug.
- Item repec:dgr:kubcen:2012066 is not listed on IDEAS anymore
- Stefan Gerhold & Max Kleinert & Piet Porkert & Mykhaylo Shkolnikov, 2012, "Small time central limit theorems for semimartingales with applications," Papers, arXiv.org, number 1208.4282, Aug.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012, "Now-Casting and the Real-Time Data Flow," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-026, Aug.