Report NEP-FOR-2015-12-28

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:

• Rangan Gupta & Eric Olson & Mark E. Wohar, 2015. "Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR," Working Papers 201585, University of Pretoria, Department of Economics.
• Chong, Terence Tai Leung & Lin, Shiyu, 2015. "Predictive Models for Disaggregate Stock Market Volatility," MPRA Paper 68460, University Library of Munich, Germany.
• Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.
• Yongchen Zhao, 2015. "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers 2015-04, Towson University, Department of Economics, revised Mar 2020.
• Stelios D. Bekiros & Alessia Paccagnini, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Open Access publications 10197/7322, School of Economics, University College Dublin.
• Misund, Bård, 2015. "Accounting for Oil and Gas Exploration Activities: A Triumph of Economics over Politics," UiS Working Papers in Economics and Finance 2015/15, University of Stavanger.
• Matthieu Garcin & Clément Goulet, 2017. "Non-parametric news impact curve: a variational approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01244292, HAL.
• Bianca De Paoli & Hande Küçük, 2015. "News shocks, monetary policy, and foreign currency positions," Staff Reports 750, Federal Reserve Bank of New York.
• Nuno Silva, 2015. "Industry based equity premium forecasts," GEMF Working Papers 2015-19, GEMF, Faculty of Economics, University of Coimbra.
• Mehmet Balcilar & Rangan Gupta & Mampho P. Modise & John W. Muteba Mwamba, 2015. "Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model," Working Papers 201596, University of Pretoria, Department of Economics.
• Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Time Varying DSGE Model with Financial Frictions," Working Papers 769, Queen Mary University of London, School of Economics and Finance.
• Mehmet Balcilar & Rangan Gupta & Won Joong Kim & Clement Kyei, 2015. "The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quant," Working Papers 201586, University of Pretoria, Department of Economics.
• Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba, 2015. "The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach," Working Papers 201582, University of Pretoria, Department of Economics.