Report NEP-FOR-2010-09-18

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:

• Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Cholesky-MIDAS model for predicting stock portfolio volatility," Centre for Growth and Business Cycle Research Discussion Paper Series 149, Economics, The University of Manchester.
• Ritter, Matthias & Mußhoff, Oliver & Odening, Martin, 2010. "Meteorological forecasts and the pricing of weather derivatives," SFB 649 Discussion Papers 2010-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Abdul Hakim & Michael McAleer, 2009. "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CARF F-Series CARF-F-178, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
• Ege, Yazgan & Huseyin, Kaya, 2010. "Has inflation targeting increased predictive power of term structure about future inflation: evidence from an emerging market ?," MPRA Paper 24810, University Library of Munich, Germany.