Report NEP-FOR-2014-06-28

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:

• Barbara Rossi & Tatevik Sekhposyan, 2014. "Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts," Economics Working Papers 1426, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2014.
• Maxime Leboeuf & Louis Morel, 2014. "Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions," Discussion Papers 14-3, Bank of Canada.
• Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series 101, National Centre for Econometric Research.
• Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," Studies in Economics 1405, School of Economics, University of Kent.
• Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
• Karapanagiotidis, Paul, 2014. "Dynamic State-Space Models," MPRA Paper 56807, University Library of Munich, Germany.
• Egil Ferkingstad & Anders L{o}land, 2014. "Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market," Papers 1406.6862, arXiv.org.
• Dirk Tasche, 2014. "Exact fit of simple finite mixture models," Papers 1406.6038, arXiv.org, revised Jul 2014.
• Markku Lanne & Henri Nyberg, 2014. "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models," CREATES Research Papers 2014-17, Department of Economics and Business Economics, Aarhus University.
• Alessandro Flamini & Costas Milas, 2014. "Open-economy Distribution Forecast Targeting, Macroeconomic Volatility and Financial Implication," DEM Working Papers Series 080, University of Pavia, Department of Economics and Management.
• Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.