Report NEP-ECM-2008-09-29

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
• Bent Jesper Christensen & Michael Sørensen, 2008. "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers 2008-51, Department of Economics and Business Economics, Aarhus University.
• Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, Department of Economics and Business Economics, Aarhus University.
• Zhongfang He & John M Maheu, 2008. "Real Time Detection of Structural Breaks in GARCH Models," Working Papers tecipa-336, University of Toronto, Department of Economics.
• Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
• Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
• Item repec:hum:wpaper:sfb649dp2008-060 is not listed on IDEAS anymore

• Hrishikesh D. Vinod, 2008. "Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series," Fordham Economics Discussion Paper Series dp2008-15, Fordham University, Department of Economics.
• Carlos Capistrán & Allan Timmermann, 2008. "Forecast Combination With Entry and Exit of Experts," CREATES Research Papers 2008-55, Department of Economics and Business Economics, Aarhus University.
• Paul J. Devereux & Gautam Tripathi, 2008. "Optimally combining censored and uncensored datasets," Working Papers 200820, School of Economics, University College Dublin.
• Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
• Eberhardt, Markus & Teal, Francis, 2008. "Modeling technology and technological change in manufacturing: how do countries differ?," MPRA Paper 10690, University Library of Munich, Germany.
• Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
• Olmo, José, 2008. "Testing downside risk efficiency under market distress," UC3M Working papers. Economics we084321, Universidad Carlos III de Madrid. Departamento de Economía.
• Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, Department of Economics and Business Economics, Aarhus University.
• Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2008/13, Reserve Bank of New Zealand.
• Item repec:cte:wsrepe:ws084513 is not listed on IDEAS anymore

• Buscha, Franz & Maurel, Arnaud & Page, Lionel & Speckesser, Stefan, 2008. "The Effect of High School Employment on Educational Attainment: A Conditional Difference-in-Differences Approach," IZA Discussion Papers 3696, Institute of Labor Economics (IZA).
• Miroslav Misina & David Tessier, 2008. "Non-Linearities, Model Uncertainty, and Macro Stress Testing," Staff Working Papers 08-30, Bank of Canada.
• S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-Time Measurement of Business Conditions," NBER Working Papers 14349, National Bureau of Economic Research, Inc.