Report NEP-FOR-2011-01-30This is the archive for NEP-FOR, a report on new working papers in the area of Forecasting. Rob J Hyndman issued this report. It is usually issued weekly.
The following items were announced in this report:
- Leonardo Morales-Arias & Alexander Dross, 2010. "Adaptive Forecasting of Exchange Rates with Panel Data," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 285, Quantitative Finance Research Centre, University of Technology, Sydney.
- Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, School of Economics and Management, University of Aarhus.
- Roxana Halbleib & Valerie Voev, 2010. "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2010-041, ULB -- Universite Libre de Bruxelles.
- Xin Jin & John M. Maheu, 2011. "Modelling Realized Covariances and Returns," Working Paper Series, The Rimini Centre for Economic Analysis 08_11, The Rimini Centre for Economic Analysis.
- Ardia, David & Lennart, Hoogerheide & Nienke, CorrÃ©, 2011. "Stock index returnsâ€™ density prediction using GARCH models: Frequentist or Bayesian estimation?," MPRA Paper 28259, University Library of Munich, Germany.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Ulrich K. MÃ¼ller & James H. Stock, 2011. "Forecasts in a Slightly Misspecified Finite Order VAR," NBER Working Papers 16714, National Bureau of Economic Research, Inc.
- Bera, Soumitra Kumar, 2010. "Forecasting model of small scale industrial sector of West Bengal," MPRA Paper 28144, University Library of Munich, Germany.
- Junko Koeda, 2011. "How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-784, CIRJE, Faculty of Economics, University of Tokyo.
- Abbas, Qaiser & Rashid, Abdul, 2011. "Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan," MPRA Paper 28161, University Library of Munich, Germany.
- Graziani, Rebecca & Keilman, Nico, 2010. "The sensitivity of the Scaled Model of Error with respect to the choice of the correlation parameters: A Simulation Study," Memorandum, Oslo University, Department of Economics 22/2010, Oslo University, Department of Economics.