Report NEP-ECM-2009-03-14This 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.
The following items were announced in this report:
- Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, School of Economics and Management, University of Aarhus.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors," Working Papers ECARES 2009_005, ULB -- Universite Libre de Bruxelles.
- Eo, Yunjong & Morley, James C., 2008. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," MPRA Paper 13913, University Library of Munich, Germany.
- Contini, Bruno, 2009. "Forecasting Errors: Yet More Problems for Identification?," IZA Discussion Papers 4035, Institute for the Study of Labor (IZA).
- Catalina Bolance (Universitat de Barcelona) & Montserrat Guillen (Universitat de Barcelona) & Jens Perch Nielsen (City University London), 2009. "Transformation kernel density estimation of actuarial loss functions," Working Papers in Economics 219, Universitat de Barcelona. Espai de Recerca en Economia.
- Item repec:lan:wpaper:005916 is not listed on IDEAS anymore
- Guillermo Benavides & Carlos Capistrán, 2009. "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers 2009-01, Banco de México.
- Dimitrios Thomakos & Konstantinos Nikolopoulos, 2009. "The Theta Model in the Presence of a Unit Root Some new results on “optimal” theta forecasts," Working Papers 0034, University of Peloponnese, Department of Economics.
- Giorgio Calzolari & Laura Magazzini, 2009. "Poor identification and estimation problems in panel data models with random effects and autocorrelated errors," Working Papers 53, University of Verona, Department of Economics.
- Jose Gonzalo Rangel & Robert F. Engle, 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers 2009-03, Banco de México.
- Leonardo Melosi, 2009. "A Likelihood Analysis of Models with Information Frictions," PIER Working Paper Archive 09-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Shiko Maruyama, 2009. "Estimating Sequential-move Games by a Recursive Conditioning Simulator," Discussion Papers 2009-01, School of Economics, The University of New South Wales.