Report NEP-ECM-2010-05-15

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:

• Yebin Cheng & Jan G. De Gooijer & Dawit Zerom, 2009. "Efficient Estimation of an Additive Quantile Regression," Tinbergen Institute Discussion Papers 09-104/4, Tinbergen Institute.
• Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
• Marco Bee, 2010. "Simulating copula-based distributions and estimating tail probabilities by means of Adaptive Importance Sampling," Department of Economics Working Papers 1003, Department of Economics, University of Trento, Italia.
• Item repec:clu:wpaper:0910-15 is not listed on IDEAS anymore

• Matteo PICCHIO & Chiara MUSSIDA, 2010. "Gender Wage Gap : A Semi-parametric Approach with Sample Selection Correction," LIDAM Discussion Papers IRES 2010005, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Dinghai Xu, 2010. "A Threshold Stochastic Volatility Model with Realized Volatility," Working Papers 1003, University of Waterloo, Department of Economics, revised May 2010.
• Stefan Hlawatsch & Sebastian Ostrowski, 2010. "Simulation and Estimation of Loss Given Default," FEMM Working Papers 100010, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
• Krzysztof Kontek, 2010. "Maximum likelihood estimator for the uneven power distribution: application to DJI returns," Working Papers 43, Department of Applied Econometrics, Warsaw School of Economics.
• Item repec:dgr:uvatin:20090110 is not listed on IDEAS anymore

• Yin Liao & Heather Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics 2010-520, Australian National University, College of Business and Economics, School of Economics.
• David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
• Edward Hoyle & Lane P. Hughston & Andrea Macrina, 2010. "Stable-1/2 Bridges and Insurance," Papers 1005.0496, arXiv.org, revised Apr 2014.
• Marta O Soares & L Canto e Castro, 2010. "Simulation or cohort models? Continuous time simulation and discretized Markov models to estimate cost-effectiveness," Working Papers 056cherp, Centre for Health Economics, University of York.
• Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
• V. Abramov & F. Klebaner & R. Liptser, 2010. "The Euler-Maruyama approximations for the CEV model," Papers 1005.0728, arXiv.org.
• Cathy Ning & Dinghai Xu & Tony Wirjanto, 2010. "Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data," Working Papers 1001, University of Waterloo, Department of Economics, revised Jan 2010.
• emmanuel, mamatzakis & george, christodoulakis, 2010. "Return Attribution Analysis of the UK Insurance Portfolios," MPRA Paper 22516, University Library of Munich, Germany.
• Antonello D’Agostino & Kieran McQuinn & Karl Whelan, 2010. "Are Some Forecasters Really Better Than Others?," Working Papers 201012, School of Economics, University College Dublin.
• Teresa Bago d'Uva & Maarten Lindeboom & Owen O'Donnell & Eddy van Doorslaer, 2009. "Slipping Anchor? Testing the Vignettes Approach to Identification and Correction of Reporting Heterogeneity," Tinbergen Institute Discussion Papers 09-091/3, Tinbergen Institute.
• Hafedh Bouakez & Foued Chihi & Michel Normandin, 2010. "Measuring the Effects of Fiscal Policy," Cahiers de recherche 1016, CIRPEE.
• Charles Bellemare & Luc Bissonnette & Sabine Kröger, 2010. "Bounding Preference Parameters under Different Assumptions about Beliefs: a Partial Identification Approach," Cahiers de recherche 1017, CIRPEE.
• Gao-Feng Gu & Wei-Xing Zhou, 2010. "Detrending moving average algorithm for multifractals," Papers 1005.0877, arXiv.org, revised Jun 2010.