Report NEP-ECM-2009-03-14

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:

• Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
• 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

• Contini, Bruno, 2009. "Forecasting Errors: Yet More Problems for Identification?," IZA Discussion Papers 4035, Institute of Labor Economics (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

• Benavides Guillermo & Capistrán Carlos, 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.
• Item repec:ver:wpaper:53 is not listed on IDEAS anymore

• Rangel José Gonzalo & Engle Robert F., 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.