Report NEP-ECM-2010-03-28
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:
- Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
- BAUWENS, Luc & ROMBOUTS, Jeroen, 2009. "On marginal likelihood computation in change-point models," LIDAM Discussion Papers CORE 2009061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Joanne S. Ercolani, 2010. "On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter," Discussion Papers 10-09, Department of Economics, University of Birmingham.
- Davide Ferrari & Sandra Paterlini, 2010. "Efficient and robust estimation for financial returns: an approach based on q-entropy," Department of Economics 0623, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Delphine Cassart & Marc Hallin & Davy Paindaveine, 2010. "On the estimation of cross-information quantities in rank-based inference," Working Papers ECARES ECARES 2010-010, ULB -- Universite Libre de Bruxelles.
- S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers 694, Dipartimento Scienze Economiche, Universita' di Bologna.
- Item repec:eca:wpaper:2010_008 is not listed on IDEAS anymore
- BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim, 2009. "A nonparametric copula based test for conditional independence with applications to Granger causality," LIDAM Discussion Papers CORE 2009041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- HEINEN, Andréas & VALDESOGO, Alfonso, 2009. "Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model," LIDAM Discussion Papers CORE 2009069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Wang, Yafeng & Graham, Brett, 2009. "Generalized Maximum Entropy estimation of discrete sequential move games of perfect information," MPRA Paper 21331, University Library of Munich, Germany.
- Adam Clements & Annastiina Silvennoinen, 2010. "Portfolio allocation: Getting the most out of realised volatility," NCER Working Paper Series 54, National Centre for Econometric Research, revised 06 May 2010.
- Ivan Faiella, 2010. "The use of survey weights in regression analysis," Temi di discussione (Economic working papers) 739, Bank of Italy, Economic Research and International Relations Area.
- Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2010. "The Use of GARCH Models in VaR Estimation," Working Papers 0048, University of Peloponnese, Department of Economics.
- Antonio Merlo & Xun Tang, 2009. "Identification of Stochastic Sequential Bargaining Models, Second Version," PIER Working Paper Archive 10-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2010.
- Kevin Clinton & Marianne Johnson & Jaromir Benes & Douglas Laxton & Troy D Matheson, 2010. "Structural Models in Real Time," IMF Working Papers 10/56, International Monetary Fund.
- Item repec:hal:cesptp:halshs-00462454_v1 is not listed on IDEAS anymore
- Christian Belzil & J. Hansen, 2010. "The distinction between dictatorial and incentive policy interventions and its implication for IV estimation," Working Papers hal-00463877, HAL.
- Dong Heon Kim, 2010. "What is an oil shock? Panel data evidence," Discussion Paper Series 1007, Institute of Economic Research, Korea University.
- SBRANA, Giacomo & SILVESTRINI, Andrea, 2009. "What do we know about comparing aggregate and disaggregate forecasts?," LIDAM Discussion Papers CORE 2009020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Angrist, Joshua & Pischke, Jörn-Steffen, 2010. "The Credibility Revolution in Empirical Economics: How Better Research Design Is Taking the Con out of Econometrics," IZA Discussion Papers 4800, Institute of Labor Economics (IZA).