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Report NEP-FOR-2019-10-07
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FOR
The following items were announced in this report:
- Laura Garcia-Jorcano & Alfonso Novales, 2019, "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-23, Sep.
- Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019, "Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests," Working Papers, University of Pretoria, Department of Economics, number 201972, Sep.
- Oguzhan Cepni & I. Ethem Guney & Rangan Gupta & Mark E. Wohar, 2019, "The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States," Working Papers, University of Pretoria, Department of Economics, number 201973, Sep.
- Robert Lehmann, 2019, "Forecasting Exports across Europe: What Are the Superior Survey Indicators?," CESifo Working Paper Series, CESifo, number 7846.
- Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019, "Implied volatility surface predictability: the case of commodity markets," Papers, arXiv.org, number 1909.11009, Sep.
- Alfonso Novales & Laura Garcia-Jorcano, 2019, "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-24, Sep.
- Laura Coroneo & Fabrizio Iacone & Fabio Profumo, 2019, "A Real-time Density Forecast Evaluation of the ECB Survey of Professional Forecasters," Discussion Papers, Department of Economics, University of York, number 19/14, Sep.
- Patrick McAllister & Ilir Nase, 2019, "The Accuracy of Consensus Real Estate Forecasts Revisited," ERES, European Real Estate Society (ERES), number eres2019_374, Jan.
- Laura Garcia-Jorcano & Alfonso Novales, 2019, "Volatility specifications versus probability distributions in VaR forecasting," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-26, Sep.
- Norbert Pfeifer, 2019, "Text-Based Rental Rate Predictions of Airbnb Listings," ERES, European Real Estate Society (ERES), number eres2019_329, Jan.
- Marcelo Cajias, 2019, "Can a machine understand real estate pricing? – Evaluating machine learning approaches with big data," ERES, European Real Estate Society (ERES), number eres2019_232, Jan.
- Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2019, "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-52, Sep.
- Marcelo Cajias & Jonas Willwersch & Felix Lorenz, 2019, "I know where you will invest in the next year – Forecasting real estate investments with machine learning methods," ERES, European Real Estate Society (ERES), number eres2019_171, Jan.
- Daiki Matsunaga & Toyotaro Suzumura & Toshihiro Takahashi, 2019, "Exploring Graph Neural Networks for Stock Market Predictions with Rolling Window Analysis," Papers, arXiv.org, number 1909.10660, Sep, revised Nov 2019.