Report NEP-FOR-2019-04-22

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:

• Hyeongwoo Kim & Kyunghwan Ko, 2019. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2019-03, Department of Economics, Auburn University.
• , 2019. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 1902, Federal Reserve Bank of Dallas, revised 17 Dec 2022.
• Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2019. "Exploiting ergodicity in forecasts of corporate profitability," BERG Working Paper Series 147, Bamberg University, Bamberg Economic Research Group.
• Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Working Papers hal-01754054, HAL.
• Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman, 2019. "Bayesian Risk Forecasting for Long Horizons," Tinbergen Institute Discussion Papers 19-018/III, Tinbergen Institute.
• Stephen Bazen & Jean-Marie Cardebat, 2018. "Forecasting Bordeaux wine prices using state-space methods," Post-Print hal-01867216, HAL.
• Hieu Quang Nguyen & Abdul Hasib Rahimyar & Xiaodi Wang, 2019. "Stock Forecasting using M-Band Wavelet-Based SVR and RNN-LSTMs Models," Papers 1904.08459, arXiv.org.
• Robin Niesert & Jochem Oorschot & Chris Veldhuisen & Kester Brons & Rutger-Jan Lange, "undated". "Can Google Search Data Help Predict Macroeconomic Series?," Tinbergen Institute Discussion Papers 19-021/III, Tinbergen Institute.
• Quast, Josefine & Wolters, Maik H., 2019. "Reliable real-time output gap estimates based on a modified Hamilton filter," IMFS Working Paper Series 133, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
• Th'eophile Griveau-Billion & Ben Calderhead, 2019. "A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour," Papers 1904.08153, arXiv.org, revised Jan 2020.