Report NEP-ECM-2015-04-25

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:

• István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014, "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-118/III, Sep, revised 31 Mar 2016.
• Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014, "Maximum Likelihood Estimation for Score-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-029/III, Mar, revised 23 Oct 2017.
• Chaohua Dong & Jiti Gao & Bin Peng, 2015, "Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/15.
• Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014, "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-073/IV, Jun, revised 19 Aug 2015.
• Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013, "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-060/III, Apr, revised 06 Mar 2014.
• Charles S. Bos & Pawel Janus, 2013, "A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-155/III, Oct.
• Francisco Blasques & Artem Duplinskiy, 2015, "Penalized Indirect Inference," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-009/III, Jan.
• Siem Jan Koopman & Geert Mesters, 2014, "Empirical Bayes Methods for Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-061/III, May.
• Francisco Blasques & Siem Jan Koopman & André Lucas, 2014, "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-103/III, Aug.
• Francisco Blasques & Siem Jan Koopman & André Lucas, 2014, "Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-074/III, Jun.
• Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014, "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-072/III, Jun.
• Francisco Blasques & Siem Jan Koopman & Max Mallee, 2014, "Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-105/III, Aug.
• Matthias Weber & Martin Schumacher & Harald Binder, 2014, "Regularized Regression Incorporating Network Information: Simultaneous Estimation of Covariate Coefficients and Connection Signs," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-089/I, Jul.
• Francisco Blasques & Siem Jan Koopman & André Lucas, 2014, "Information Theoretic Optimality of Observation Driven Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-046/III, Apr.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2014, "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-032/IV/DSF73, Mar, revised 06 Jul 2015.
• Item repec:rnp:ppaper:skr001 is not listed on IDEAS anymore

• Kazim Azam & Andre Lucas, 2015, "Mixed Density based Copula Likelihood," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-003/IV/DSF084, Jan.
• Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014, "A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-024/III, Feb, revised 23 Jun 2014.
• G. Forchini & Bin Jiang & Bin Peng, 2015, "Common Shocks in panels with Endogenous Regressors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/15.
• Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015, "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-027/III, Feb, revised 07 Sep 2015.
• Zdravko Botev & Ad Ridder & Leonardo Rojas-Nandayapa, 2013, "Semiparametric Cross Entropy for Rare-Event Simulation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-127/III, Sep.
• Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014, "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-010/IV/DSF71, Jan.
• Sungyong Park & Wendun Wang & Naijing Huang, 2015, "Testing for Stock Market Contagion: A Quantile Regression Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-040/III, Mar.
• Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014, "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-039/III, Mar.
• Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015, "Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-019/III, Feb.
• Maxwell L. King & Sivagowry Sriananthakumar, 2015, "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/15.
• Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2014, "The Forecast Combination Puzzle: A Simple Theoretical Explanation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-127/III, Sep.
• Nalan Basturk & Pinar Ceyhan & Herman K. van Dijk, 2014, "Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-119/III, Sep, revised 14 Sep 2014.
• Saikat Saha, 2015, "Noise Robust Online Inference for Linear Dynamic Systems," Papers, arXiv.org, number 1504.05723, Apr.
• André Lucas & Xin Zhang, 2014, "Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-092/IV/DSF77, Jul, revised 09 Sep 2015.
• Item repec:rnp:ppaper:kur001 is not listed on IDEAS anymore

• Norbert Christopeit & Michael Massmann, 2013, "Estimating Structural Parameters in Regression Models with Adaptive Learning," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-111/III, Aug.
• Xiaodong Gong & Jiti Gao, 2015, "Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/15.
• Otter, Pieter W. & Jacobs, Jan P.A.M. & Reijer, Ard H.J. de, 2014, "A criterion for the number of factors in a data-rich environment," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management), number 14008-EEF.
• Laurent Callot & Anders B. Kock & Marcelo C. Medeiros, 2014, "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-147/III, Nov.
• Aiste Ruseckaite & Peter Goos & Dennis Fok, 2014, "Bayesian D-Optimal Choice Designs for Mixtures," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-057/III, May.
• Cecilia Mancini, 2015, "Truncated Realized Covariance when prices have infinite variation jumps," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2015-02, Apr.
• Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2015, "Estimation of Tail Risk based on Extreme Expectiles," TSE Working Papers, Toulouse School of Economics (TSE), number 15-566, Apr, revised Jul 2017.
• Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014, "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-067/III, Jun.
• Jørgen Modalsli, 2015, "Estimating occupational mobility with covariates," Discussion Papers, Statistics Norway, Research Department, number 804, Mar.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014, "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-090/III, Jul.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2015, "Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-037/III/DSF90, Mar.
• Andre Lucas & Bernd Schwaab & Xin Zhang, 2013, "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-063/IV/DSF56, May, revised 13 Oct 2014.
• Yasuo Hirose & Atsushi Inoue, 2014, "The zero lower bound and parameter bias in an estimated DSGE model," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 14-00009, Sep.
• Hans-Peter Hafner & Felix Ritchie & Rainer Lenz, 2015, "User-focused threat identification for anonymised microdata," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 20151503, Jan.
• Guillaume Gaetan Martinet & Michael McAleer, 2015, "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-022/III, Feb.
• Manabu Asai & Michael McAleer, 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-018/III, Feb.
• Tino Berger & Gerdie Everaert & Hauke Vierke, 2015, "Testing for time variation in an unobserved components model for the U.S. economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 15/903, Apr.
• Michael McAleer, 2014, "Asymmetry and Leverage in Conditional Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-125/III, Sep.

Report NEP-ECM-2015-04-25

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: