Report NEP-ECM-2011-05-30

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:

• Xiaohong Chen, 2011. "Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review," Cowles Foundation Discussion Papers 1804, Cowles Foundation for Research in Economics, Yale University.
• Item repec:dgr:kubcen:2011054 is not listed on IDEAS anymore

• Item repec:wrk:warwec:961 is not listed on IDEAS anymore

• Hellström, Jörgen & Lönnbark, Carl, 2011. "Identification of jumps in financial price series," Umeå Economic Studies 827, Umeå University, Department of Economics.
• Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
• J. Isaac Miller, 2011. "Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series," Working Papers 1103, Department of Economics, University of Missouri, revised 30 May 2012.
• Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Working Papers in Economics 11/22, University of Canterbury, Department of Economics and Finance.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2011. "Bayesian VARs: specification choices and forecast accuracy," Working Papers (Old Series) 1112, Federal Reserve Bank of Cleveland.
• Stanley, T. D. & Doucouliagos, Hristos, 2011. "Meta-regression approximations to reduce publication selection bias," Working Papers eco_2011_4, Deakin University, Department of Economics.
• Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp, 2011. "Two competitive models and their identification problem: The ESTAR and TSTAR model," Hannover Economic Papers (HEP) dp-474, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Cowles Foundation Discussion Papers 1803, Cowles Foundation for Research in Economics, Yale University.
• Maarten R.C. van Oordt & Chen Zhou, 2011. "The simple econometrics of tail dependence," DNB Working Papers 296, Netherlands Central Bank, Research Department.
• Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Heinen, Florian, 2011. "A note on testing for purchasing power parity," Hannover Economic Papers (HEP) dp-471, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Gaurab Aryal & Isabelle Perrigne & Quang Vuong, 2011. "Identification of Insurance Models with Multidimensional Screening," ANU Working Papers in Economics and Econometrics 2011-538, Australian National University, College of Business and Economics, School of Economics.
• Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
• Bivand, Roger, 2010. "Computing the Jacobian in spatial models: an applied survey," Discussion Paper Series in Economics 20/2010, Norwegian School of Economics, Department of Economics.
• Faggini, Marisa, 2010. "Chaos detection in economics. Metric versus topological tools," MPRA Paper 30928, University Library of Munich, Germany.
• Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2011. "Tempered infinitely divisible distributions and processes," Working Paper Series in Economics 26, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011. "Fat-tailed models for risk estimation," Working Paper Series in Economics 30, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Cheng, Gang & Zervopoulos, Panagiotis & Qian, Zhenhua, 2011. "A variant of radial measure capable of dealing with negative inputs and outputs in data envelopment analysis," MPRA Paper 30951, University Library of Munich, Germany.