A Critical Note on the Forecast Error Variance Decomposition,
Atılım Seymen,
from ZEW - Leibniz Centre for European Economic Research
(2008)
Keywords: Business Cycles, Structural Vector Autoregression Models, Forecast Error Variance Decomposition, Historical Variance Decomposition
China's Regional Convergence in Panels with Multiple Structural Breaks,
Takashi Matsuki and Ryoichi Usami,
from University Library of Munich, Germany
(2008)
Keywords: panel unit root test;multiple breaks;combining p-values;nonstationary panels;China;convergence
Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes,
Jim Griffin and Mark Steel,
from University Library of Munich, Germany
(2008)
Keywords: Leverage effect; Levy process; Long memory; Markov chain Monte Carlo; Stock price
A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation,
Minqiang Li,
from University Library of Munich, Germany
(2008)
Keywords: Damped diffusion, asset price bubbles, martingale pricing, maximum likelihood estimation
Combining mixed logit models and random effects models to identify the determinants of willingness to pay for rural landscape improvements,
Danny Campbell,
from Agricultural Economics Society
(2007)
Keywords: Demand and Price Analysis, Environmental Economics and Policy
On identifiability of MAP processes,
Josefa Ramírez Cobo,
from Universidad Carlos III de Madrid. Departamento de EstadÃstica
(2008)
Keywords: Batch Markovian Arrival process
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets,
Bent Jesper Christensen, Morten Nielsen and Thomas Busch,
from Economics Department, Queen's University
(2008)
Keywords: Bipower variation, HAR, Heterogeneous Autoregressive Model, implied volatility, jumps, options, realized volatility, VecHAR, volatility forecasting
Income and Democracy: A Comment on Acemoglu, Johnson, Robinson, and Yared (2008),
Erich Gundlach and Martin Paldam,
from Department of Economics and Business Economics, Aarhus University
(2008)
Keywords: Democracy, Modernization hypothesis, fixed-effects estimation
Classical identification: A viable road for data to inform structural modeling,
Roger Hammersland,
from Statistics Norway, Research Department
(2008)
Keywords: Structural vector Error Correction modeling; Identification; Cointegration; Financial variables and the real economy.
The predictive ability of poverty models. Empirical Evidence from Uganda,
Astrid Mathiassen,
from Statistics Norway, Research Department
(2008)
Keywords: Poverty prediction; Poverty model; Money metric poverty; Uganda; Household Survey
Comparison of Misspecified Calibrated Models: The Minimum Distance Approach,
Viktoria Hnatkovska, Vadim Marmer and Yao Tang,
from Vancouver School of Economics
(2011)
Keywords: misspecified models; calibration; matching; minimum distance estimation
COULD WE HAVE PREDICTED THE RECENT DOWNTURN IN THE SOUTH AFRICAN HOUSING MARKET?,
Sonali Das, Rangan Gupta and Alain Kabundi,
from University of Pretoria, Department of Economics
(2008)
Keywords: Dynamic Factor Model, BVAR, Forecast Accuracy
Copula-Based Nonlinear Quantile Autoregression,
Xiaohong Chen, Roger Koenker and Zhijie Xiao,
from Cowles Foundation for Research in Economics, Yale University
(2008)
Keywords: Quantile autoregression, Copula, Ergodic nonlinear Markov models
Inflation Persistence: Is It Similar in the New EU Member States and the Euro Area Members?,
Michal Franta, Branislav Saxa and Katerina Smidkova,
from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
(2008)
Keywords: inflation persistence, new hybrid Phillips curve, new member states, time-varying mean
A New Hausmann Type Test to Detect the Presence of Influential Outliers,
Catherine Dehon, Marjorie Gassner and Vincenzo Verardi,
from ULB -- Universite Libre de Bruxelles
(2008)
Keywords: Effciency; Hausman Test; Linear Regression; Outliers; Robustness; S-estimator
Robustness versus Efficiency for Nonparametric Correlation Measures,
Christophe Croux and Catherine Dehon,
from ULB -- Universite Libre de Bruxelles
(2008)
Keywords: Asymptotic Variance; Correlation; Gross-Error Sensitivity; Infuence function; Kendall correlation; Robustness; Spearman correlation.
Dynamic Factors in the Presence of Block Structure,
Marc Hallin and Roman Liska,
from ULB -- Universite Libre de Bruxelles
(2008)
Keywords: Panel data; Time series; High dimensional data; Dynamic factor model; Business cycle; Block specific factors; Dynamic principal components; Information criterion
