Report NEP-FOR-2012-04-17This 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:
- Gersbach, Hans & Hahn, Volker, 2012. "Inflation Forecast Contracts," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8933, C.E.P.R. Discussion Papers.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper, Norges Bank 2012/04, Norges Bank.
- Laurent Ferrara & ClÃ©ment Marsilli, 2012. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," EconomiX Working Papers 2012-19, University of Paris West - Nanterre la DÃ©fense, EconomiX.
- Jozef Barunik & Lukas Vacha, 2012. "Modeling and forecasting exchange rate volatility in time-frequency domain," Papers 1204.1452, arXiv.org, revised Aug 2013.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 12/06, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers 812, Kyoto University, Institute of Economic Research.
- Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper Series, The Rimini Centre for Economic Analysis 11_12, The Rimini Centre for Economic Analysis.
- Carlo A. Favero, 2012. "Modelling and Forecasting Yield Differentials in the euro area. A non-linear Global VAR model," Working Papers 431, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Gunnar Grass, 2012. "Model Implied Credit Spreads," Cahiers de recherche, CIRPEE 1219, CIRPEE.
- Anufriev, M. & Hommes, C.H., 2011. "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments (revised version of WP 09-09)," CeNDEF Working Papers 11-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Ban Zheng & Eric Moulines & Fr\'ed\'eric Abergel, 2012. "Price Jump Prediction in Limit Order Book," Papers 1204.1381, arXiv.org.