Report NEP-FOR-2020-08-17

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:

• Vica Tendenan & Richard Gerlach & Chao Wang, 2020. "Tail risk forecasting using Bayesian realized EGARCH models," Papers 2008.05147, arXiv.org, revised Aug 2020.
• Piotr Dybka, 2020. "One model or many? Exchange rates determinants and their predictive capabilities," KAE Working Papers 2020-053, Warsaw School of Economics, Collegium of Economic Analysis.
• Jonathan Benchimol & Makram El-Shagi, 2020. "Forecast Performance in Times of Terrorism," Globalization Institute Working Papers 390, Federal Reserve Bank of Dallas.
• Quast, Josefine & Wolters, Maik H., 2020. "Reliable real-time output gap estimates based on a modified Hamilton filter," Kiel Working Papers 2158, Kiel Institute for the World Economy (IfW Kiel).
• Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
• Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020. "Too similar to combine? On negative weights in forecast combination," Working Papers BAWP-2020-02, University of Sydney Business School, Discipline of Business Analytics.
• Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2020. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2020-01, University of Sydney Business School, Discipline of Business Analytics.
• Moahmed Hassan, Hisham & Haleeb, Amin, 2020. "Modelling GDP for Sudan using ARIMA," MPRA Paper 101207, University Library of Munich, Germany.
• Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020. "The time-varying risk of Italian GDP," Temi di discussione (Economic working papers) 1288, Bank of Italy, Economic Research and International Relations Area.
• Hannes Mueller & Christopher Rauh, 2019. "The hard problem of prediction for conflict prevention," Cahiers de recherche 2019-02, Universite de Montreal, Departement de sciences economiques.
• Sucarrat, Genaro, 2020. "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper 101953, University Library of Munich, Germany.
• Svatopluk Kapounek & Zuzana Kucerova & Evzen Kocenda, 2020. "Selective Attention in Exchange Rate Forecasting," KIER Working Papers 1035, Kyoto University, Institute of Economic Research.