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Report NEP-ECM-2016-03-17
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:
- Yang Zhenlin, 2015, "Unified M-Estimation of Fixed-Effects Spatial Dynamic Models with Short Panels," Working Papers, Singapore Management University, School of Economics, number 14-2015, Dec.
- Deschamps, P., 2015, "Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015020, May.
- Liu, Chu-An & Tao, Jing, 2016, "Model selection and model averaging in nonparametric instrumental variables models," MPRA Paper, University Library of Munich, Germany, number 69492, Feb.
- Paola Cerchiello & Paolo Giudici & Giancarlo Nicola, 2016, "Big data models of bank risk contagion," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 117, Feb.
- Taku Yamamoto, 2016, "On the Treatment of a Measurement Error Regression Model," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3305807, Mar.
- BRAIONE, Manuela, 2016, "A time-varying long run HEAVY model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016002, Feb.
- Kaplan, Uma & Marmer, Vadim & Shneyerov, Artyom, 2016, "Identifying Collusion in English Auctions," Microeconomics.ca working papers, Vancouver School of Economics, number vadim_marmer-2016-3, Feb, revised 08 Jul 2017.
- Mouchart, M. & Wunsch, G. & Russo, F., 2015, "The issue of control in multivariate systems A contribution of structural modelling," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015029, Jun.
- Jozef Barun'ik & Tobias Kley, 2015, "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers, arXiv.org, number 1510.06946, Oct, revised Dec 2018.
- van den Berg, Gerard J. & Bonev, Petyo & Mammen, Enno, 2016, "Nonparametric Instrumental Variable Methods for Dynamic Treatment Evaluation," IZA Discussion Papers, Institute of Labor Economics (IZA), number 9782, Feb.
- Item repec:spo:wpmain:info:hdl:2441/5l8aj0dpmg9pbahnt8a4k2fcrh is not listed on IDEAS anymore
- Zura Kakushadze & Willie Yu, 2016, "Statistical Risk Models," Papers, arXiv.org, number 1602.08070, Feb, revised Jan 2017.
- Item repec:emo:wp2003:1603 is not listed on IDEAS anymore
- Dirk Paulsen & Jakob Sohl, 2016, "Noise Fit, Estimation Error and a Sharpe Information Criterion," Papers, arXiv.org, number 1602.06186, Feb, revised Dec 2019.
- Joseph P. Romano & Michael Wolf, 2016, "Efficient computation of adjusted p-values for resampling-based stepdown multiple testing," ECON - Working Papers, Department of Economics - University of Zurich, number 219, Feb.
- Dilip Kumar, 2016, "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205528, Mar.
- Sauer, Stephan & Coppens, François & Mayer, Manuel & Millischer, Laurent & Resch, Florian & Schulze, Klaas, 2016, "Advances in multivariate back-testing for credit risk underestimation," Working Paper Series, European Central Bank, number 1885, Feb.
- Andr'es Riquelme & Marcela Parada, 2016, "The Value of A Statistical Life in Absence of Panel Data: What can we do?," Papers, arXiv.org, number 1603.00568, Mar.
- Heni Boubaker & Nadia Sghaier, 2014, "Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach," Working Papers, Department of Research, Ipag Business School, number 2014-66, Jan.
- Hecq, A.W. & Jacobs, J.P.A.M. & Stamatogiannis, M., 2016, "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 004, Jan, DOI: 10.26481/umagsb.2016004.
- Santiago Gamba Santamar�a & Oscar Fernando Jaul�n M�ndez & Luis Fernando Melo Velandia & Carlos Andr�s Quicaz�n Moreno, 2016, "Comparison of Methods for Estimating the Uncertainty of Value at Risk," Borradores de Economia, Banco de la Republica, number 14263, Feb.