Report NEP-ETS-2009-03-14This 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.
The following items were announced in this report:
- Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
- 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.
- Noriega Antonio E. & Ramos Francia Manuel, 2008. "A Note on the Dynamics of Persistence in US Inflation," Working Papers 2008-12, Banco de México.
- 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.
- 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.
- Item repec:lan:wpaper:005916 is not listed on IDEAS anymore
- 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.
- Item repec:pra:mprapa:13913 is not listed on IDEAS anymore
- Eo, Yunjong, 2008. "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper 13910, University Library of Munich, Germany, revised 11 Feb 2009.