NEP-ETS-2009-03-14

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Report NEP-ETS-2009-03-14

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.

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Other reports in NEP-ETS

The following items were anounced 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. [Downloadable!]
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. [Downloadable!]
Noriega Antonio E. & Ramos Francia Manuel, 2008. "A Note on the Dynamics of Persistence in US Inflation," Working Papers 2008-12, Banco de México. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Konstantinos Nikolopoulos & Dimitrios Thomakos & Fotios Petropoulos & Vassilis Assimakopoulos, 2009. "Theta Model Forecasts for Financial Time Series: A Case Study in the S&P500," Working Papers 0033, University of Peloponnese, Department of Economics. [Downloadable!]
David Peel & Ivan Paya & Ioannis A. Venetis, 2009. "ESTAR model with multiple fixed points. Testing and Estimation," Working Papers 005916, Lancaster University Management School, Economics Department. [Downloadable!]
Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors," ECARES Working Papers 2009_005, Université Libre de Bruxelles, Ecares. [Downloadable!]
Eo, Yunjong & Morley, James C., 2008. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," MPRA Paper 13913, University Library of Munich, Germany. [Downloadable!]
Eo, Yunjong, 2008. "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper 13910, University Library of Munich, Germany, revised 11 Feb 2009. [Downloadable!]

This page was last updated on 2009-11-15.

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