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Report NEP-ECM-2015-12-01
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:
- Yves Dominicy, 2014, "Quantile-based inference and estimation of heavy-tailed distributions," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/209311, Apr.
- Mark J. Jensen, 2015, "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2015-12, Nov.
- Deniz Dilan Karaman Örsal & Antonia Arsova, 2015, "Meta-analytic cointegrating rank tests for dependent panels," Working Paper Series in Economics, University of Lüneburg, Institute of Economics, number 349, Nov.
- Francq, Christian & Zakoian, Jean-Michel, 2015, "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper, University Library of Munich, Germany, number 68100, Nov.
- Item repec:hum:wpaper:sfb649dp2015-050 is not listed on IDEAS anymore
- Naoto Kunitomo & Daisuke Kurisu, 2015, "On Effects of Jump and Noise in High-Frequency Financial Econometrics," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-996, Nov.
- Paulo Rocha & Frank Raischel & Jo~ao P. Boto & Pedro G. Lind, 2015, "Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations," Papers, arXiv.org, number 1510.07280, Oct.
- Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015, "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers, Business School - Economics, University of Glasgow, number 2015_24, Oct.
- Giuseppe Cavaliere & Iliyan Georgiev & A.M. Robert Taylor, 2015, "Sieve-based inference for infinite-variance linear processes," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 4.
- Fedor Iskhakov & Thomas Høgholm Jørgensen & John Rust & Bertel Schjerning, 2015, "Estimating Discrete-Continuous Choice Models: The Endogenous Grid Method with Taste Shocks," Discussion Papers, University of Copenhagen. Department of Economics, number 15-19, Nov.
- Gary Koop & Dimitris Korobilis, 2015, "Forecasting With High Dimensional Panel VARs," Working Papers, Business School - Economics, University of Glasgow, number 2015_25, Nov.
- Jungwoo kim & Joocheol kim, 2015, "Regime shift model by three types of distribution considering a heavy tail and dependence," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2015rwp-86, Nov.
- George Kapetanious & Simon Price & Konstantinos Theodoridis, 2015, "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Bank of England working papers, Bank of England, number 567, Nov.
- Quang Vuong & Ayse Pehlivan, 2015, "Supply Function Competition and Exporters: Nonparametric Identification and Estimation of Productivity Distributions and Marginal Costs," 2015 Meeting Papers, Society for Economic Dynamics, number 1414.
- Marcin Faldzinski & Michal Bernard Pietrzak, , "The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations," Working Papers, Institute of Economic Research, number 164/2015, revised Nov 2015.
- Chen, Xuan & Flores, Carlos A. & Flores-Lagunes, Alfonso, 2015, "Going Beyond LATE: Bounding Average Treatment Effects of Job Corps Training," IZA Discussion Papers, IZA Network @ LISER, number 9511, Nov.