Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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JEL Classification: C53
Mathematical and Quantitative Methods: Econometric Modeling: Forecasting and Other Model Applications

The following papers are assigned JEL Classification C53:

  A FORECAST COMPARISON OF VOLATILITY MODELS: DOES ANYTHING BEAT A GARCH(1,1)?
  Time & Location: FORECASTING I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Lunde, Asger

  A MODEL FOR INTRA-DAILY VOLATILITYWITH MULTIPLE INDICATORS
  Time & Location: VOLATILITY MODELS I
Wednesday 28th August 2002, 09:30 - 11:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Gallo, Giampiero M.

  AUTOREGRESSIVE CONDITIONAL ROOT MODEL
  Time & Location: NONLINEAR TIME SERIES I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Rahbek, Anders

  COMPARING DENSITY FORECASTS VIA WEIGHTED LIKELIHOOD RATIO TESTS. ASYMPTOTIC AND BOOTSTRAP METHODS
  Time & Location: BOOTSTRAP METHODS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.2
  Category: Econometrics
  Presenter(s): Giacomini, Raffaella

  DEGREE OF MISPRICING WITH THE BLACK-SCHOLES MODEL AND NONPARAMETRIC CURES
  Time & Location: FINANCIAL ECONOMETRICS I
Sunday 25th August 2002, 09:30 - 11:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Gencay, Ramo

  EVALUATING NONLINEAR MODELS ON POINT AND INTERVAL FORECASTS: AN APPLICATION WITH EXCHANGE RATE RETURNS
  Time & Location: FORECASTING II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Boero, Gianna

  EVALUATING PREDICTABILITY OF STOCK AND BOND RETURNS WITH DIFFERENT DENSITY FORECASTS
  Time & Location: FINANCIAL ECONOMETRICS III
Monday 26th August 2002, 09:30 - 11:00, Room: 1.6
  Category: Econometrics
  Presenter(s): Penaranda, Francisco

  EXTRACTING, USING AND ANALYZING CYCLICAL INFORMATION
  Time & Location: BUSINESS CYCLES: EMPIRICAL
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.5
  Category: Econometrics
  Presenter(s): Harding, Don

  FACTOR FORECASTS FOR THE UK
  Time & Location: TIME SERIES II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.8
  Category: Econometrics
  Presenter(s): Banerjee, Anindya

  FORECAST ACCURACY AFTER PRETESTING WITH AN APPLICATION TO THE STOCK MARKET
  Time & Location: FORECASTING II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Magnus, Jan

  FORECASTING EURO AREA INFLATION:DOES AGGREGATING PRICE COMPONENT FORECASTS IMPROVE FORECASTACCURACY?
  Time & Location: FORECASTING III
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Hubrich, Kirstin

  FORECASTING THE SPOT PRICES OF VARIOUS COFFEE TYPES USING LINEAR AND NON-LINEAR ERROR CORRECTION MODELS
  Time & Location: FORECASTING II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Otero, Jesus

  IMPACT FACTORS
  Time & Location: FORECASTING III
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Paruolo, Paolo

  MODEL SPECIFICATION AND INFLATION FORECAST UNCERTAINTY
  Time & Location: FORECASTING I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Bårdsen, Gunnar

  MODELING TIME SERIES COUNT DATA: AN AUTOREGRESSIVE CONDITIONAL POISSON MODEL
  Time & Location: COUNT DATA MODELS I
Sunday 25th August 2002, 09:30 - 11:00, Room: 5.2
  Category: Econometrics
  Presenter(s): Heinen, Andreas

  PRIORS FROM GENERAL EQUILIBRIUM MODELS FOR VARS: FORECASTING AND IDENTIFICATION
  Time & Location: VAR MODELS
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Schorfheide, Frank

  THE ASYMMETRIC EFFECTS OF MONETARY POLICY SHOCKS: A NONLINEAR STRUCTURAL VAR APPROACH
  Time & Location: MONETARY POLICY TRANSMISSION II
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.13
  Category: Econometrics
  Presenter(s): Olmedo, Alexandra

Total Papers Listed: 17


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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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