Report NEP-FOR-2011-10-01This 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:
- Mattéo Luciani, 2011. "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES ECARES 2011-022, ULB -- Universite Libre de Bruxelles.
- Carles Bretó & Helena Veiga, 2011. "Forecasting volatility: does continuous time do better than discrete time?," Statistics and Econometrics Working Papers ws112518, Universidad Carlos III, Departamento de Estadística y Econometría.
- Sarlin, Peter & Peltonen, Tuomas A., 2011. "Mapping the state of financial stability," Working Paper Series 1382, European Central Bank.
- Elena-Ivona Dumitrescu & Christophe Hurlin & Jaouad Madkour, 2011. "Testing interval forecasts: a GMM-based approach," Working Papers halshs-00618467, HAL.
- Lennart F. Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann," Tinbergen Institute Discussion Papers 11-131/4, Tinbergen Institute.
- Item repec:eca:wpaper:2013/97304 is not listed on IDEAS anymore
- Adrian Pagan & Don Harding, 2011. "Econometric Analysis and Prediction of Recurrent Events," CREATES Research Papers 2011-33, School of Economics and Management, University of Aarhus.
- Siem Jan Koopman & Marcel Scharth, 2011. "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers 11-132/4, Tinbergen Institute.
- Di Cosmo, Valeria & Hyland, Marie, 2011. "Carbon Tax Scenarios and their Effects on the Irish Energy Sector," Papers WP407, Economic and Social Research Institute (ESRI).