Estimates of Uncertainty around the RBA's Forecasts,
Peter Tulip and Stephanie Wallace,
from Reserve Bank of Australia
(2012)
Keywords: forecast errors; confidence intervals
Realized stochastic volatility with leverage and long memory,
Shinichiro Shirota, Takayuki Hizu and Yasuhiro Omori,
from CIRJE, Faculty of Economics, University of Tokyo
(2012)
Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies,
Alessandro Giovannelli,
from Tor Vergata University, CEIS
(2012)
Keywords: Kernel Principal Component Analysis; Large Dataset; Artificial Neural Networks; QuickNet; Forecasting
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices,
Jakub Nowotarski, Jakub Tomczyk and Rafał Weron,
from Hugo Steinhaus Center, Wroclaw University of Science and Technology
(2012)
Keywords: Electricity spot price; Long-term seasonal component; Robust modeling; Forecasting; Wavelets;
Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends,
Adam McCloskey,
from Brown University, Department of Economics
(2012)
Keywords: stochastic volatility, frequency domain estimation, robust estimation, spurious persistence, long-memory, level shifts, structural change, deterministic trends
Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends,
Adam McCloskey and Pierre Perron,
from Brown University, Department of Economics
(2012)
Keywords: long-memory processes, semiparametric estimators, level shifts, structural change, deterministic trends
Bayesian forecasting with highly correlated predictors,
Dimitris Korobilis,
from Business School - Economics, University of Glasgow
(2012)
Keywords: Bayesian semiparametric selection; Dirichlet process prior; correlated predictors; clustered coefficients
Long memory and Periodicity in Intraday Volatility,
Eduardo Rossi and Dean Fantazzini,
from University of Pavia, Department of Economics and Management
(2012)
Keywords: Intraday volatility, Long memory, FI-PEGARCH, SFI-PEGARCH, Periodicmodels.
Estimation of long memory in integrated variance,
Eduardo Rossi and Paolo Santucci de Magistris,
from University of Pavia, Department of Economics and Management
(2012)
Keywords: Realized variance, Long memory stochastic volatility, Measurement error, local Whittle estimator.