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 13-27, Duke University, Department of Economics.
• 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) halshs-00917797, HAL.
• 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 346, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• 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 2013-100, Scottish Institute for Research in Economics (SIRE).
• Miguel, Belmonte & Gary, Koop, 2013. "Model Switching and Model Averaging in Time- Varying Parameter Regression Models," SIRE Discussion Papers 2013-34, Scottish Institute for Research in Economics (SIRE).
• Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers 13-28, Duke University, Department of Economics.
• Gary, Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," SIRE Discussion Papers 2013-35, Scottish Institute for Research in Economics (SIRE).
• Tim Bollerslev & Andrew J. Patton & Wang Wenjing, 2013. "Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions," Working Papers 13-29, Duke University, Department of Economics.
• Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013. "The Impact of Hedge Funds on Asset Markets," Working Papers 13-27, Duke University, Department of Economics.
• Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
• Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.
• Alexander Porshnev & Ilya Redkin & Alexey Shevchenko, 2013. "Improving prediction of stock market indices by analyzing the psychological states of twitter users," HSE Working papers WP BRP 22/FE/2013, National Research University Higher School of Economics.
• Matthew Bell & Paul Rodway, 2013. "Tales of three budgets: Changes in long-term fiscal projections through the GFC and beyond," Treasury Working Paper Series 13/23, New Zealand Treasury.
• Andreasen, Martin & Meldrum, Andrew, 2013. "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers 481, Bank of England.
• Pablo Pincheira, 2013. "Interventions and inflation expectations in an inflation targeting economy," BIS Working Papers 427, Bank for International Settlements.
• Adama BAH, 2013. "Finding the Best Indicators to Identify the Poor," Working Papers 201324, CERDI.
• Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPIN Dispute," CREATES Research Papers 2013-42, Department of Economics and Business Economics, Aarhus University.
• 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 993, African Development Bank.
• Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013. "Modeling and predicting the CBOE market volatility index," Textos para discussão 342, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
• 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 2013-49, Department of Economics and Business Economics, Aarhus University.