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Report NEP-ECM-2016-02-23
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:
- Aknouche, Abdelhakim, 2013, "Periodic autoregressive stochastic volatility," MPRA Paper, University Library of Munich, Germany, number 69571, Jun, revised 2015.
- James G. MacKinnon & Matthew D. Webb, 2019, "Randomization Inference For Difference-in-differences With Few Treated Clusters," Working Paper, Economics Department, Queen's University, number 1355, Jan.
- Sarracino, Francesco & Mikucka, Malgorzata, 2016, "Estimation bias due to duplicated observations: a Monte Carlo simulation," MPRA Paper, University Library of Munich, Germany, number 69064, Jan.
- Andrea Pierini, 2016, "Blue Chip Italian Bank Stocks: Chain Graph models for VAR And MARCH parameters shrinking," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0205, Feb.
- Michael Ho & Jack Xin, 2016, "Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps," Papers, arXiv.org, number 1602.02185, Feb, revised Apr 2016.
- Abdi, Farshid & Ranaldo, Angelo, 2016, "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency e," Working Papers on Finance, University of St. Gallen, School of Finance, number 1604, Jan, revised Apr 2017.
- Sokbae Lee & Ryo Okui & Yoon-Jae Whang, 2016, "Doubly Robust Uniform Confidence Band For The Conditional Average Treatment Effect Function," KIER Working Papers, Kyoto University, Institute of Economic Research, number 931, Jan.
- Koziol, Philipp & Schell, Carmen & Eckhardt, Meik, 2015, "Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?," Discussion Papers, Deutsche Bundesbank, number 46/2015.
- Marín Díazaraque, Juan Miguel & Rodríguez-Bernal, M. T. & Romero, E., 2016, "ABC and Hamiltonian Monte-Carlo methods in COGARCH models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws1601, Jan.
- Serafin J. Grundl & Yu Zhu, 2015, "Identification and Estimation of Risk Aversion in First Price Auctions With Unobserved Auction Heterogeneity," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-89, Sep, DOI: 10.17016/FEDS.2015.089.
- Item repec:rcr:wpaper:05_15 is not listed on IDEAS anymore
- Mickelsson, Glenn, 2015, "Estimation of DSGE models: Maximum Likelihood vs. Bayesian methods," Working Paper Series, Uppsala University, Department of Economics, number 2015:6, Dec.
- van den Burg, G.J.J. & Groenen, P.J.F., 2014, "GenSVM: A Generalized Multiclass Support Vector Machine," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2014-33, Dec.
- Vikram Krishnamurthy & Elisabeth Leoff & Jorn Sass, 2016, "Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models," Papers, arXiv.org, number 1602.05323, Feb.
- Stavros Stavroyiannis, 2016, "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers, arXiv.org, number 1602.05749, Feb.