Printed from https://ideas.repec.org/n/nep-ecm/2013-01-26.html
Report NEP-ECM-2013-01-26
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:
- Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013, "Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 471.
- Timothy B. Armstrong & Hock Peng Chan, 2013, "Multiscale Adaptive Inference on Conditional Moment Inequalities," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1885, Jan.
- Olivier Ledoit & Michael Wolf, 2013, "Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions," ECON - Working Papers, Department of Economics - University of Zurich, number 105, Jan, revised Jul 2013.
- Marc Hallin & Marcelo Moreira J. & Alexei Onatski, 2013, "Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-04, Jan.
- Item repec:bot:quadip:118 is not listed on IDEAS anymore
- Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013, "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper, University Library of Munich, Germany, number 43862, Jan.
- Herrera Gómez, Marcos & Ruiz Marín, Manuel & Mur Lacambra, Jesús, 2013, "Detecting dependence between spatial processes," MPRA Paper, University Library of Munich, Germany, number 43861.
- J. F. Muzy & R. Baile & E. Bacry, 2013, "Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary $1/f$ noise. Application to volatility fluctuations in stock markets," Papers, arXiv.org, number 1301.4160, Jan.
- Item repec:eca:wpaper:2013/138256 is not listed on IDEAS anymore
- Laura Mørch Andersen, 2013, "Obtaining reliable Likelihood Ratio tests from simulated likelihood functions," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics, number 2013/1, Jan.
- Gürtler, Marc & Rauh, Ronald, 2013, "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF43V1.
- Nikolaos Zirogiannis & Yorghos Tripodis, 2013, "A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization Algorithm," Working Papers, University of Massachusetts Amherst, Department of Resource Economics, number 2013-1, Jan.
- Mora, Ricardo & Reggio, Iliana, 2012, "Treatment effect identification using alternative parallel assumptions," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number we1233, Dec.
- Item repec:dgr:uvatin:20130011 is not listed on IDEAS anymore
- Mikko S. Pakkanen, 2013, "Limit theorems for power variations of ambit fields driven by white noise," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-01, Oct.
- René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013, "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers, CIRANO, number 2013s-01, Jan.
- Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano, 2013, "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers, arXiv.org, number 1301.5129, Jan, revised Jan 2014.
- Item repec:dgr:uvatin:20130022 is not listed on IDEAS anymore