Report NEP-ECM-2008-09-05

This 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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Christian M. Dahl & Henrik Hansen & John Smidt, 2008. "The cyclical component factor model," CREATES Research Papers 2008-44, Department of Economics and Business Economics, Aarhus University.
• Christian M. Dahl & Yu Qin, 2008. "The limiting behavior of the estimated parameters in a misspecified random field regression model," CREATES Research Papers 2008-45, Department of Economics and Business Economics, Aarhus University.
• Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers 2008-39, Department of Economics and Business Economics, Aarhus University.
• Han Hong & Bruce Preston, 2008. "Bayesian Averaging, Prediction and Nonnested Model Selection," NBER Working Papers 14284, National Bureau of Economic Research, Inc.
• Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, Department of Economics and Business Economics, Aarhus University.
• Joseph P. Romano & Michael Wolf, 2008. "Balanced Control of Generalized Error Rates," IEW - Working Papers 379, Institute for Empirical Research in Economics - University of Zurich.
• Markus Haas & Stefan Mittnik & Mark S. Paolella, 2008. "Asymmetric Multivariate Normal Mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies.
• Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, Department of Economics and Business Economics, Aarhus University.
• Todd E. Clark & Michael W. McCracken, 2008. "Averaging forecasts from VARs with uncertain instabilities," Working Papers 2008-030, Federal Reserve Bank of St. Louis.
• Zaman, Asad, 2008. "Causal Relations via Econometrics," MPRA Paper 10128, University Library of Munich, Germany.