Report NEP-ECM-2015-08-25

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:

• Nina Munkholt Jakobsen & Michael Sørensen, 2015. "Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval," CREATES Research Papers 2015-33, Department of Economics and Business Economics, Aarhus University.
• Arthur Charpentier & Emmanuel Flachaire, 2014. "Log-Transform Kernel Density Estimation of Income Distribution," Working Papers halshs-01115988, HAL.
• Jaroslava Hlouskova & Leopold Sogner, 2015. "GMM Estimation of Affine Term Structure Models," Papers 1508.01661, arXiv.org.
• Fedotenkov, Igor, 2015. "A note on the bootstrap method for testing the existence of finite moments," MPRA Paper 66033, University Library of Munich, Germany.
• Nicolas Debarsy & Fei Jin & Lung-Fei Lee, 2015. "Large sample properties of the matrix exponential spatial specification with an application to FDI," Post-Print hal-00858174, HAL.
• Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de Estadística.
• Sumanta Adhya & Banerjee, Tathagata & Chattopadhyay, Gouranga, 2015. "A Note on Estimating Variance of Finite Population Distribution Function," IIMA Working Papers WP2015-08-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
• Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Working Papers hal-01147778, HAL.
• Hacène Djellout & Hui Jiang, 2015. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Working Papers hal-01147189, HAL.
• Jean-Guy Simonato & Lars Stentoft, 2015. "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers 2015-32, Department of Economics and Business Economics, Aarhus University.
• Smith, Leonard A. & Suckling, Emma B. & Thompson, Erica L. & Maynard, Trevor & Du, Hailiang, 2015. "Towards improving the framework for probabilistic forecast evaluation," LSE Research Online Documents on Economics 62949, London School of Economics and Political Science, LSE Library.
• S. Roux, 2015. "Structural and atheoretic approaches to micro-econometrics of public policy evaluation.(in french)," Working papers 565, Banque de France.