Report NEP-FOR-2011-04-23This 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:
- Bessonovs, Andrejs, 2011. "GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy," MPRA Paper 30211, University Library of Munich, Germany.
- Falch, Nina Skrove & Nymoen, Ragnar, 2011. "The accuracy of a forecast targeting central bank," Economics Discussion Papers 2011-6, Kiel Institute for the World Economy.
- Francisco J. Eransus & Alfonso Novales Cinca, 2011. "A statistical test for forecast evaluation under a discrete loss function," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Modugno, Michele, 2011. "Nowcasting inflation using high frequency data," Working Paper Series 1324, European Central Bank.
- Pablo Pincheira, 2011. "A Bunch of Models, a Bunch of Nulls and Inference About Predictive Ability," Working Papers Central Bank of Chile 607, Central Bank of Chile.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Luis Ceballos, 2010. "Implied Probability Distribution in Financial Options," Working Papers Central Bank of Chile 596, Central Bank of Chile.
- Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
- Yong Song, 2011. "Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model," Working Papers tecipa-427, University of Toronto, Department of Economics.
- Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "Classical time-varying FAVAR models - estimation, forecasting and structural analysis," Discussion Paper Series 1: Economic Studies 2011,04, Deutsche Bundesbank, Research Centre.
- Yan Carrière-Swallow & Felipe Labbé, 2010. "Nowcasting With Google Trends in an Emerging Market," Working Papers Central Bank of Chile 588, Central Bank of Chile.