Report NEP-ECM-2012-11-03This 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.
The following items were announced in this report:
- Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
- Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Department of Economics Working Paper Series Ec-04/12, European University at St. Petersburg, Department of Economics.
- Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & van Dijk, D.J.C., 2012. "Realized mixed-frequency factor models for vast dimensional covariance estimation," ERIM Report Series Research in Management ERS-2012-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Christian Aßmann & Jens Boysen-Hogrefe & Markus Pape, 2012. "The Directional Identification Problem in Bayesian Factor Analysis: An Ex-Post Approach," Kiel Working Papers 1799, Kiel Institute for the World Economy.
- Sugawara, Shinya, 2012. "A nonparametric Bayesian approach for counterfactual prediction with an application to the Japanese private nursing home market," MPRA Paper 42154, University Library of Munich, Germany.
- Edgar C. Merkle & Jinyan Fan & Achim Zeileis, 2012. "Testing for Measurement Invariance with Respect to an Ordinal Variable," Working Papers 2012-24, Faculty of Economics and Statistics, University of Innsbruck.
- Item repec:ner:carlos:info:hdl:10016/15744 is not listed on IDEAS anymore
- Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2012. "Signal Detection in High Dmension: The Multispiked Case," Working Papers ECARES ECARES 2012-036, ULB -- Universite Libre de Bruxelles.
- Omay, Tolga, 2012. "The comparison of optimization algorithms on unit root testing with smooth transition," MPRA Paper 42129, University Library of Munich, Germany.
- Joshua C C Chan, 2012. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," ANU Working Papers in Economics and Econometrics 2012-591, Australian National University, College of Business and Economics, School of Economics.
- D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions," Documentos de Trabajo del ICAE 2012-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
- Geert Mesters & Siem Jan Koopman, 2012. "A Forty Year Assessment of Forecasting the Boat Race," Tinbergen Institute Discussion Papers 12-110/III, Tinbergen Institute.
- Sarah Brown & Mark N. Harris & Jennifer Roberts & Karl Taylor, 2012. "Modelling Primary Health Care Use: A Panel Zero Inflated Interval Regression Approach," Working Papers 2012026, The University of Sheffield, Department of Economics.
- Dupuy, Arnaud & Galichon, Alfred, 2012. "Canonical Correlation and Assortative Matching: A Remark," IZA Discussion Papers 6942, Institute for the Study of Labor (IZA).
- Zhi Zheng & Richard B. Sowers, 2012. "A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization," Papers 1210.7230, arXiv.org.
- Joshua C C Chan & Gary Koop & Simon M Potter, 2012. "A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve," ANU Working Papers in Economics and Econometrics 2012-590, Australian National University, College of Business and Economics, School of Economics.