Report NEP-FOR-2013-12-29

This 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.

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Other reports in NEP-FOR

The following items were announced in this report:

• Jia Li & Andrew J. Patton, 2013, "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-27.
• Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017, "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00917797, Oct.
• Carlos, Thiago Carlomagno & Marçal, Emerson Fernandes, 2013, "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 346, Dec.
• MacDonald, Ronald & Nagayasu, Jun, 2013, "Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-100.
• Miguel, Belmonte & Gary, Koop, 2013, "Model Switching and Model Averaging in Time- Varying Parameter Regression Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-34.
• Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013, "Dynamic Copula Models and High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-28.
• Gary, Koop, 2013, "Using VARs and TVP-VARs with Many Macroeconomic Variables," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-35.
• Tim Bollerslev & Andrew J. Patton & Wang Wenjing, 2013, "Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions," Working Papers, Duke University, Department of Economics, number 13-29.
• Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013, "The Impact of Hedge Funds on Asset Markets," Working Papers, Duke University, Department of Economics, number 13-27.
• Trojan, Sebastian, 2013, "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1341, Dec, revised Aug 2014.
• Torben G. Andersen & Oleg Bondarenko, 2013, "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-43, 11.
• Alexander Porshnev & Ilya Redkin & Alexey Shevchenko, 2013, "Improving prediction of stock market indices by analyzing the psychological states of twitter users," HSE Working papers, National Research University Higher School of Economics, number WP BRP 22/FE/2013.
• Matthew Bell & Paul Rodway, 2013, "Tales of three budgets: Changes in long-term fiscal projections through the GFC and beyond," Treasury Working Paper Series, New Zealand Treasury, number 13/23, Dec.
• Martin Andreasen & Andrew Meldrum, 2013, "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers, Bank of England, number 481, Dec.
• Pablo Pincheira, 2013, "Interventions and inflation expectations in an inflation targeting economy," BIS Working Papers, Bank for International Settlements, number 427, Sep.
• Adama BAH, 2013, "Finding the Best Indicators to Identify the Poor," Working Papers, CERDI, number 201324.
• Torben G. Andersen & Oleg Bondarenko, 2013, "Reflecting on the VPIN Dispute," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-42, Apr.
• Giovanni Caggiano & Pietro Calice & Leone Leonida, 2013, "Working Paper 190 - Early Warning Systems and Systemic Banking Crises in Low Income Countries: A Multinomial Logit Approach," Working Paper Series, African Development Bank, number 993, Dec.
• Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013, "Modeling and predicting the CBOE market volatility index," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 342, Dec.
• Schröder, Anna Louise & Fryzlewicz, Piotr, 2013, "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper, University Library of Munich, Germany, number 52379.
• Item repec:hhs:bofrdp:2013_035 is not listed on IDEAS anymore

• Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin, 2013, "Correlation Dynamics and International Diversification Benefits," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-49, Aug.