Report NEP-FOR-2011-04-30This 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:
- Lanne, Markku & Nyberg, Henri & Saarinen, Erkka, 2011. "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison," MPRA Paper 30254, University Library of Munich, Germany.
- Dimitris Korobilis, 2011. "Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors," Working Paper Series 21_11, The Rimini Centre for Economic Analysis.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
- Christophe Boucher & Bertrand Maillet, 2011. "Detrending Persistent Predictors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00587775, HAL.
- Francois-Éric Racicot & Raymond Théoret, 2011. "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series UQO-DSA-wp032011, Département des sciences administratives, UQO.
- Audrino, Francesco, 2011. "Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks," Economics Working Paper Series 1112, University of St. Gallen, School of Economics and Political Science.
- Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Matteo Kalchschmidt, 2011. "Best practices in demand forecasting: tests of Universalistic, contingency and configurational theories," Working Papers 1102, Department of Economics and Technology Management, University of Bergamo.
- Debernardi, Andrea & Grimaldi, Raffaele & Beria, Paolo, 2011. "Cost benefit analysis to assess modular investment: the case of the New Turin-Lyon Railway," MPRA Paper 30327, University Library of Munich, Germany.
- Grzegorz Grabek & Bohdan Klos & Grzegorz Koloch, 2011. "SOEPL 2009 – An Estimated Dynamic Stochastic General Equilibrium Model for Policy Analysis And Forecasting," National Bank of Poland Working Papers 83, National Bank of Poland, Economic Institute.