27 documents matched the search for the 2015-11-21 issue of the NEP report on Econometrics (nep-ecm), currently edited by Sune Karlsson.
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An invitation to coupling and copulas: with applications to multisensory modeling,
Hans Colonius,
from arXiv.org
(2015)
Least squares estimation for the subcritical Heston model based on continuous time observations,
Matyas Barczy, Balazs Nyul and Gyula Pap,
from arXiv.org
(2018)
Calibration of a stock's beta using options prices,
Sofiene El Aoud and Frédéric Abergel,
from HAL
(2014)
On parameter identification in stochastic differential equations by penalized maximum likelihood,
Fabian Dunker and Thorsten Hohage,
from arXiv.org
(2014)
Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures,
Richard Gerlach and Chao Wang,
from University of Sydney Business School, Discipline of Business Analytics
(2015)
Keywords: Expected Shortfall; Value-at-Risk; Target Search; Markov Chain Monte Carlo; Subsampling Realized Range; Realized Range; Realized Variance; Realiz ed-CARE
Exact ABC using Importance Sampling,
Robert Kohn and Minh-Ngoc Tran,
from University of Sydney Business School, Discipline of Business Analytics
(2015)
Keywords: Unbiased likelihood; Ising model; Debiasing
A data-cleaning augmented Kalman filter for robust estimation of state space models,
Martyna Marczak, Tommaso Proietti and Stefano Grassi,
from University of Hohenheim, Faculty of Business, Economics and Social Sciences
(2015)
Keywords: robust filtering, augmented Kalman filter, structural time series model, additive outlier, innovation outlier
Endogeneity in Stochastic Frontier Models,
Christine Amsler, Artem Prokhorov and Schmidt Peter,
from University of Sydney Business School, Discipline of Business Analytics
(2015)
Keywords: efficiency measurement; stochastic frontier; endogeneity
GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference,
Jonathan B. Hill and Artem Prokhorov,
from University of Sydney Business School, Discipline of Business Analytics
(2015)
Keywords: Russian Ruble; expected shortfall; efficient moment estimation; robust inference; heavy tails; tail trimming; GARCH; GEL
Generalized Information Matrix Tests for Copulas,
Artem Prokhorov, Ulf Schepsmeier and Yajing Zhu,
from University of Sydney Business School, Discipline of Business Analytics
(2015)
Keywords: R-vines; goodness-of- fit; vine copulas; copula; information matrix eq uality
The Employment Effects of the Minimum Wage: A Selection Ratio Approach to Measuring Treatment Effects,
David Slichter,
from Job Market Papers
(2015)
Higher-order statistics for DSGE models,
Willi Mutschler,
from Center for Quantitative Economics (CQE), University of Muenster
(2015)
Keywords: higher-order moments, cumulants, polyspectra, nonlinear SDGE, pruning
Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound,
Valerio Scalone,
from Sapienza University of Rome, DISS
(2015)
Keywords: Monte-Carlo analysis, Method of moments, Bayesian, Zero Lower Bound, DSGE estimation.
Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach,
Shin Kanaya,
from Department of Economics and Business Economics, Aarhus University
(2015)
Keywords: Diffusion process, uniform convergence, kernel estimation, nonparametric.
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from Ipek University, Department of Economics
Generalized Variance: A Robust Estimator of Stock Price Volatility,
R Gerlach, Maxwell Sutton and Andrey Vasnev,
from University of Sydney Business School, Discipline of Business Analytics
(2015)
Keywords: Robust estimator; Volatility
Regression analysis with compositional data containing zero values,
Michail Tsagris,
from University Library of Munich, Germany
(2015)
Keywords: Compositional data, regression, prediction, α-transformation, principal component regression
A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models,
Naoya Sueishi,
from Graduate School of Economics, Kobe University
(2015)
Keywords: Conditional moment restrictions; Empirical likelihood; Fisher information; Least favorable submodel.
Dissecting Models' Forecasting Performance,
Boriss Siliverstovs,
from KOF Swiss Economic Institute, ETH Zurich
(2015)
Keywords: Forecasting, Forecast Evaluation, Change Point Detection, Bayesian Estimation
Backtesting Value-at-Risk: A Generalized Markov Framework,
Thor Pajhede,
from University of Copenhagen. Department of Economics
(2015)
Keywords: Value-at-Risk, Backtesting, Risk Management, Markov Chain, Duration-based test, quantile, likelihood ratio, maximum likelihood.
A Nonparametric Method for Predicting Survival Probabilities,
Bas van der Klaauw and Sandra Vriend,
from Tinbergen Institute
(2015)
Keywords: profiling, Kaplan-Meier estimator, Cox proportional hazard model, distance metrics, weights, matching, unemployment duration
Panel Time Series. Review of the Methodological Evolution,
Tamara Burdisso and Máximo Sangiácomo,
from Central Bank of Argentina, Economic Research Department
(2015)
Keywords: panel time series, nostationarity, panel unit root, mean group estimator, cross-section dependence, common correlated effect
A joint model for longitudinal and survival data based on an AR(1) latent process,
Silvia Bacci, Francesco Bartolucci and Silvia Pandolfi,
from Università di Perugia, Dipartimento Economia
(2015)
Keywords: generalized linear models; informative dropout; nonignorable missing mechanism; sequential quadrature; shared-parameter models
Bounding average treatment effects: a linear programming approach,
Thomas Demuynck,
from Maastricht University, Graduate School of Business and Economics (GSBE)
(2015)
Numerical Distribution Functions for Seasonal Unit Root Tests with OLS and GLS Detrending,
Tomás del Barrio Castro, Andrii Bodnar and Andreu Sansó,
from Universitat de les Illes Balears, Departament d'Economía Aplicada
(2015)
Keywords: HEGY test, GLS detrending, response surfaces
Semi-Parametric Seasonal Unit Root Tests,
Tomás del Barrio Castro, Paulo Rodrigues and Robert Taylor,
from Universitat de les Illes Balears, Departament d'Economía Aplicada
(2015)
Keywords: Seasonal unit roots, weak dependence, lag augmentation, long run variance estimator, demodulated process.
Bayesian and frequentist tests of sign equality and other nonlinear inequalities,
David Kaplan,
from Department of Economics, University of Missouri
(2015)
Keywords: convexity, likelihood ratio, limit experiment, nonstandard inference, unbiased test, Wald
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