Report NEP-FOR-2011-11-14This 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:
- Jasper de Winter, 2011. "Forecasting GDP growth in times of crisis: private sector forecasts versus statistical models," DNB Working Papers 320, Netherlands Central Bank, Research Department.
- Chris McDonald & Leif Anders Thorsrud, 2011. "Evaluating density forecasts: model combination strategies versus the RBNZ," Reserve Bank of New Zealand Discussion Paper Series DP2011/03, Reserve Bank of New Zealand.
- Geoffrey Hewings & Jae Hong Kim, 2011. "An Application of the Disequilibrium Adjustment Framework to Small Area Forecasting and Impact Analysis," ERSA conference papers ersa11p1839, European Regional Science Association.
- Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong & Jing Wang, 2011. "SAFE: An early warning system for systemic banking risk," Working Paper 1129, Federal Reserve Bank of Cleveland.
- Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
- Badi H. Baltagi & Bernard Fingleton & Alain Pirotte, 2011. "Estimating and Forecasting with a Dynamic Spatial Panel Data Model," SERC Discussion Papers 0095, Spatial Economics Research Centre, LSE.
- Espasa, Antoni & Pellegrini, Santiago & Ruiz, Esther, 2011. "Prediction intervals in conditionally heteroscedastic time series with stochastic components," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12257, Universidad Carlos III de Madrid.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
- Christopher J. Neely & Brett W. Fawley, 2011. "Capital flows and Japanese asset volatility," Working Papers 2011-034, Federal Reserve Bank of St. Louis.
- Deschamps, Philippe J., 2011. "Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models," DQE Working Papers 16, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 09 Jun 2012.
- Gabriel Desgranges & Stéphane Gauthier, 2011. "Privileged information exacerbates market volatility," Documents de travail du Centre d'Economie de la Sorbonne 11061, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Tatom, John, 2011. "Predicting failure in the commercial banking industry," MPRA Paper 34608, University Library of Munich, Germany.