Printed from https://ideas.repec.org/n/nep-ecm/2014-09-29.html
Report NEP-ECM-2014-09-29
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:
- Joseph P. Romano & Michael Wolf, 2014, "Resurrecting weighted least squares," ECON - Working Papers, Department of Economics - University of Zurich, number 172, Sep, revised Oct 2016.
- Minxian Yang, 2014, "Binary Choice Model with Endogeneity: Identification via Heteroskedasticity," Discussion Papers, School of Economics, The University of New South Wales, number 2014-34, Aug.
- Javier Gómez Biscarri & Javier Hualde, 2014, "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1439, Sep.
- Aman Ullah & Yong Bao & Ru Zhang, 2014, "Moment Approximation for Unit Root Models with Nonnormal Errors," Working Papers, University of California at Riverside, Department of Economics, number 201401, Sep.
- Søren Johansen & Bent Nielsen, 2014, "Outlier detection algorithms for least squares time series regression," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2014-W04, Sep.
- Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014, "Bayesian Assessment of Dynamic Quantile Forecasts," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2014-04, Sep.
- Roberto Leon-Gonzalez, 2014, "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 14-12, Sep.
- Bloechl, Andreas, 2014, "Penalized Splines, Mixed Models and the Wiener-Kolmogorov Filter," Discussion Papers in Economics, University of Munich, Department of Economics, number 21406.
- Bertrand Hassani & Alexis Renaudin, 2013, "The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios," Post-Print, HAL, number halshs-00795046, Feb.
- Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014, "Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints," Working Papers, University of California at Riverside, Department of Economics, number 201405, Sep.
- Tae-Hwy Lee & Huiyu Huang, 2014, "Forecasting Realized Volatility Using Subsample Averaging," Working Papers, University of California at Riverside, Department of Economics, number 201410, Sep.
- Raffaella Giacomini & Barbara Rossi, 2014, "Model comparisons in unstable environments," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1437, Aug, revised Jan 2015.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-29, Aug.
- Andrew J. Buck & George M. Lady, 2014, "A New Approach to Model Verification, Falsification and Selection," DETU Working Papers, Department of Economics, Temple University, number 1403, Aug.
- Rohini Grover & Ajay Shah, 2014, "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2014-031, Aug.
- Frédéric Jouneau-Sion & Olivier Torrès, 2014, "In Fisher's net : exact F-tests in semi-parametric models with exchangeable errors," Working Papers, HAL, number halshs-01062623.
- Takeshi Kimura & Jouchi Nakajima, 2013, "Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach," Bank of Japan Working Paper Series, Bank of Japan, number 13-E-7, May.
- Takashi Isogai, 2014, "Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution," Bank of Japan Working Paper Series, Bank of Japan, number 14-E-1, Jan.
- Nien-Lin Liu & Hoang-Long Ngo, 2014, "Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis," Papers, arXiv.org, number 1409.2214, Sep.