Report NEP-FOR-2006-06-10This 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:
- Gael M. Martin & Andrew Reidy & Jill Wright, 2006. "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers 10/06, Monash University, Department of Econometrics and Business Statistics.
- Luc, BAUWENS & Genaro, SUCARRAT, 2006. "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques) 2006013, Université catholique de Louvain, Département des Sciences Economiques.
- Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank, Research Department.
- David M. Kemme & Saktinil Roy, 2005. "Real Exchange Rate Misalignment: Prelude to Crisis?," William Davidson Institute Working Papers Series wp797, William Davidson Institute at the University of Michigan.
- Ivan Baboucek & Martin Jancar, 2005. "Effects of Macroeconomic Shocks to the Quality of the Aggregate Loan Portfolio," Working Papers 2005/01, Czech National Bank, Research Department.
- Kevin Clinton, 2006. "Core inflation at the Bank of Canada: A critique," Working Papers 1077, Queen's University, Department of Economics.
- Marek Hlavacek & Michael Konak & Josef Cada, 2005. "The Application of Structured Feedforward Neural Networks to the Modelling of Daily Series of Currency in Circulation," Working Papers 2005/11, Czech National Bank, Research Department.
- J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
- Jaromir Benes & Tibor Hledik & Michael Kumhof & David Vavra, 2005. "An Economy in Transition and DSGE: What the Czech National Bankâ€™s New Projection Model Needs," Working Papers 2005/12, Czech National Bank, Research Department.
- Jan Strasky, 2005. "Optimal Forward-Looking Policy Rules in the Quarterly Projection Model of the Czech National Bank," Research and Policy Notes 2005/05, Czech National Bank, Research Department.
- Vladimir Benacek & Jiri Podpiera & Ladislav Prokop, 2005. "Determining Factors of Czech Foreign Trade: A Cross-Section Time Series Perspective," Working Papers 2005/03, Czech National Bank, Research Department.