Pierre Guérin
(Pierre Guerin)
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Laurent Ferrara & Pierre Guérin, 2015.
"What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?,"
EconomiX Working Papers
2015-12, University of Paris Nanterre, EconomiX.
- Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high‐frequency uncertainty shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 662-679, August.
- Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," Working Papers hal-04141416, HAL.
- Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high-frequency uncertainty shocks?," Post-Print hal-02334586, HAL.
- Laurent Ferrara & Pierre Guérin, 2016. "What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks," Staff Working Papers 16-25, Bank of Canada.
Mentioned in:
- Guest Contribution: “Macroeconomic Effects of High-Frequency Uncertainty Shocks”
by Menzie Chinn in Econbrowser on 2015-06-30 12:30:51
- Author Profile
- Guest Contribution: “Macroeconomic Effects of High-Frequency Uncertainty Shocks”
by Menzie Chinn in Econbrowser on 2015-06-30 12:30:51
- Guest Contribution: “Macroeconomic Effects of High-Frequency Uncertainty Shocks”
Working papers
- Mr. Adolfo Barajas & Woon Gyu Choi & Ken Zhi Gan & Pierre Guérin & Samuel Mann & Manchun Wang & Yizhi Xu, 2021.
"Loose Financial Conditions, Rising Leverage, and Risks to Macro-Financial Stability,"
IMF Working Papers
2021/222, International Monetary Fund.
Cited by:
- Simone Arrigoni & Alina Bobasu & Fabrizio Venditti, 2022. "Measuring Financial Conditions using Equal Weights Combination," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(4), pages 668-697, December.
- Christiane Baumeister & Pierre Guérin, 2020.
"A Comparison of Monthly Global Indicators for Forecasting Growth,"
CESifo Working Paper Series
8656, CESifo.
- Baumeister, Christiane & Guérin, Pierre, 2021. "A comparison of monthly global indicators for forecasting growth," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1276-1295.
- Christiane Baumeister & Pierre Guérin, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," NBER Working Papers 28014, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Pierre Guérin, 2020. "A comparison of monthly global indicators for forecasting growth," CAMA Working Papers 2020-93, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Baumeister, Christiane & Guerin, Pierre, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," CEPR Discussion Papers 15403, C.E.P.R. Discussion Papers.
Cited by:
- Zouhaier Dhifaoui & Sami Ben Jabeur & Rabeh Khalfaoui & Muhammad Ali Nasir, 2023.
"Time‐varying partial‐directed coherence approach to forecast global energy prices with stochastic volatility model,"
Post-Print
hal-04296385, HAL.
- Zouhaier Dhifaoui & Sami Ben Jabeur & Rabeh Khalfaoui & Muhammad Ali Nasir, 2023. "Time‐varying partial‐directed coherence approach to forecast global energy prices with stochastic volatility model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2292-2306, December.
- Wen, Xiaoqian & Xie, Yuxin & Pantelous, Athanasios A., 2022. "Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation," Energy Economics, Elsevier, vol. 108(C).
- Guo, Yangli & Ma, Feng & Li, Haibo & Lai, Xiaodong, 2022. "Oil price volatility predictability based on global economic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Nonejad, Nima, 2021. "The price of crude oil and (conditional) out-of-sample predictability of world industrial production," Journal of Commodity Markets, Elsevier, vol. 23(C).
- Bahadir, Berrak & Gumus, Inci, 2022. "House prices, collateral effects and sectoral output dynamics in emerging market economies," Journal of International Money and Finance, Elsevier, vol. 129(C).
- Arabinda Basistha & Richard Startz, 2023. "Measuring Persistent Global Economic Factors with Output, Commodity Price, and Commodity Currency Data," Working Papers 23-05, Department of Economics, West Virginia University.
- Stolbov, Mikhail & Shchepeleva, Maria, 2022. "Modeling global real economic activity: Evidence from variable selection across quantiles," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
- Wang, Jiqian & Ma, Feng & Bouri, Elie & Zhong, Juandan, 2022. "Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions," Energy Economics, Elsevier, vol. 108(C).
- Zhang, Lixia & Bai, Jiancheng & Zhang, Yueyan & Cui, Can, 2023. "Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators," Research in International Business and Finance, Elsevier, vol. 65(C).
- Mikhail I. Stolbov & Maria A. Shchepeleva & Alexander M. Karminsky, 2021. "A global perspective on macroprudential policy interaction with systemic risk, real economic activity, and monetary intervention," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
- Boriss Siliverstovs, 2021. "Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth," Working Papers 2021/01, Latvijas Banka.
- Byron Botha & Tim Olds & Geordie Reid & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Nowcasting South African gross domestic product using a suite of statistical models," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 526-554, December.
- Ha, Jongrim & Kose, M. Ayhan & Ohnsorge, Franziska & Yilmazkuday, Hakan, 2023. "Understanding the global drivers of inflation: How important are oil prices?11We would like to thank Xuguang Simon Sheng, Guest Editor, and two anonymous reviewers for their detailed feedback. We also," Energy Economics, Elsevier, vol. 127(PA).
- Christian Friedrich & Pierre Guérin & Danilo Leiva-Leon, 2020.
"Monetary Policy Independence and the Strength of the Global Financial Cycle,"
Staff Working Papers
20-25, Bank of Canada.
- Friedrich, Christian & Guerin, Pierre & Leiva-León, Danilo, 2021. "Monetary Policy Independence and the Strength of the Global Financial Cycle," CEPR Discussion Papers 16203, C.E.P.R. Discussion Papers.
Cited by:
- Forbes, Kristin, 2020.
"The International Aspects of Macroprudential Policy,"
CEPR Discussion Papers
15198, C.E.P.R. Discussion Papers.
- Kristin J. Forbes, 2020. "The International Aspects of Macroprudential Policy," NBER Working Papers 27698, National Bureau of Economic Research, Inc.
- Pierre Guérin, 2019.
"Améliorer l’efficience de l’investissement public en France,"
OECD Economics Department Working Papers
1560, OECD Publishing.
Cited by:
- Sarah Guillou & Basheer Kalash & Lionel Nesta & Michele Pezzoni & Evens Salies & Marc-Antoine Faure, 2023.
"Impact de la nature du financement de la recherche sur ses résultats,"
Working Papers
hal-04026916, HAL.
- Sarah Guillou & Basheer Kalash & Lionel Nesta & Michele Pezzoni & Evens Salies & Marc-Antoine Faure, 2023. "Impact de la nature du financement de la recherche sur ses résultats," SciencePo Working papers Main hal-04026916, HAL.
- Sarah Guillou & Basheer Kalash & Lionel Nesta & Michele Pezzoni & Evens Salies & Marc-Antoine Faure, 2023.
"Impact de la nature du financement de la recherche sur ses résultats,"
Working Papers
hal-04026916, HAL.
- Antoine Goujard & Pierre Guérin, 2018.
"Financing innovative business investment in Poland,"
OECD Economics Department Working Papers
1480, OECD Publishing.
Cited by:
- Joanna Błach & Monika Wieczorek-Kosmala & Joanna Trzęsiok, 2020. "Innovation in SMEs and Financing Mix," JRFM, MDPI, vol. 13(9), pages 1-19, September.
- Narayan Bulusu & Pierre Guérin, 2018.
"What Drives Interbank Loans? Evidence from Canada,"
Staff Working Papers
18-5, Bank of Canada.
- Bulusu, Narayan & Guérin, Pierre, 2019. "What drives interbank loans? Evidence from Canada," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 427-444.
Cited by:
- Narayan Bulusu, 2020. "Why Do Central Banks Make Public Announcements of Open Market Operations?," Staff Working Papers 20-35, Bank of Canada.
- Pablo S. Castro & Ajit Desai & Han Du & Rodney Garratt & Francisco Rivadeneyra, 2021. "Estimating Policy Functions in Payments Systems Using Reinforcement Learning," Staff Working Papers 21-7, Bank of Canada.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017.
"Markov-Switching Three-Pass Regression Filter,"
Staff Working Papers
17-13, Bank of Canada.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2020. "Markov-Switching Three-Pass Regression Filter," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 285-302, April.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-switching three-pass regression filter," Working Papers 1748, Banco de España.
Cited by:
- Elie Bouri & Christina Christou & Rangan Gupta, 2022.
"Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models,"
Working Papers
202213, University of Pretoria, Department of Economics.
- Bouri, Elie & Christou, Christina & Gupta, Rangan, 2022. "Forecasting returns of major cryptocurrencies: Evidence from regime-switching factor models," Finance Research Letters, Elsevier, vol. 49(C).
- Claudia Foroni & Pierre Guérin & Massimiliano Marcellino, 2017.
"Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns,"
Working Papers
597, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2017. "Explaining the time-varying effects of oil market shocks on US stock returns," Economics Letters, Elsevier, vol. 155(C), pages 84-88.
Cited by:
- Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2021.
"Stock market volatility and jumps in times of uncertainty,"
Journal of International Money and Finance, Elsevier, vol. 113(C).
- Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2020. "Stock market volatility and jumps in times of uncertainty," Essex Finance Centre Working Papers 29200, University of Essex, Essex Business School.
- Sa Xu & Ziqing Du & Hai Zhang, 2020. "Can Crude Oil Serve as a Hedging Asset for Underlying Securities?—Research on the Heterogenous Correlation between Crude Oil and Stock Index," Energies, MDPI, vol. 13(12), pages 1-19, June.
- Alexey Mikhaylov & Ishaq M. Bhatti & Hasan Dinçer & Serhat Yüksel, 2024. "Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 305-338, January.
- Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
- Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
- Arampatzidis, Ioannis & Panagiotidis, Theodore, 2023.
"On the identification of the oil-stock market relationship,"
Economic Modelling, Elsevier, vol. 120(C).
- Ioannis Arampatzidis & Theodore Panagiotidis, 2022. "On the identification of the oil-stock market relationship," Working Paper series 22-15, Rimini Centre for Economic Analysis.
- Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal, 2020.
"Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars,"
PIDE-Working Papers
2020:22, Pakistan Institute of Development Economics.
- Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal & Imtiaz Hussain Khan, 2023. "Oil price volatility and stock returns: Evidence from three oil‐price wars," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3162-3182, July.
- Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
- Martínez-Cañete, Ana R. & Márquez-de-la-Cruz, Elena & Pérez-Soba, Inés, 2022. "Non-linear cointegration between oil and stock prices: The role of interest rates," Research in International Business and Finance, Elsevier, vol. 59(C).
- Arampatzidis, Ioannis & Dergiades, Theologos & Kaufmann, Robert K. & Panagiotidis, Theodore, 2021.
"Oil and the U.S. stock market: Implications for low carbon policies,"
Energy Economics, Elsevier, vol. 103(C).
- Ioannis Arampatzidis & Theologos Dergiades & Robert. K. Kaufmann & Theodore Panagiotidis, 2021. "Oil and the U.S. Stock Market: Implications for Low Carbon Policies," Working Paper series 21-19, Rimini Centre for Economic Analysis.
- Diakonova, Marina & Ghirelli, Corinna & Molina, Luis & Pérez, Javier J., 2023.
"The economic impact of conflict-related and policy uncertainty shocks: The case of Russia,"
International Economics, Elsevier, vol. 174(C), pages 69-90.
- Marina Diakonova & Corinna Ghirelli & Javier J. Pérez & Luis Molina, 2022. "The economic impact of conflict-related and policy uncertainty shocks: the case of Russia," Working Papers 2242, Banco de España.
- Ron Alquist & Reinhard Ellwanger & Jianjian Jin, 2020.
"The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News,"
Staff Working Papers
2020-8, Bank of Canada.
- Ron Alquist & Reinhard Ellwanger & Jianjian Jin, 2020. "The effect of oil price shocks on asset markets: Evidence from oil inventory news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1212-1230, August.
- Eraslan, Sercan & Menla Ali, Faek, 2018. "Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis," Economics Letters, Elsevier, vol. 172(C), pages 59-62.
- Chen, Shiu-Sheng & Huang, Shiangtsz & Lin, Tzu-Yu, 2022. "How do oil prices affect emerging market sovereign bond spreads?," Journal of International Money and Finance, Elsevier, vol. 128(C).
- Zhenhua Liu & Zhihua Ding & Tao Lv & Jy S. Wu & Wei Qiang, 2019. "Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 95(1), pages 207-225, January.
- Bhaskar Bagchi & Biswajit Paul, 2023. "Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries," JRFM, MDPI, vol. 16(2), pages 1-18, January.
- Mohammad Sharik Essa & Evangelos Giouvris, 2020. "Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors," JRFM, MDPI, vol. 13(4), pages 1-40, April.
- Huang, Wanling & Mollick, Andre Varella, 2020. "Tight oil, real WTI prices and U.S. stock returns," Energy Economics, Elsevier, vol. 85(C).
- Le, Thai-Ha & Le, Anh Tu & Le, Ha-Chi, 2021. "The historic oil price fluctuation during the Covid-19 pandemic: What are the causes?," Research in International Business and Finance, Elsevier, vol. 58(C).
- Zeina Alsalman, 2021. "Does the source of oil supply shock matter in explaining the behavior of U.S. consumer spending and sentiment?," Empirical Economics, Springer, vol. 61(3), pages 1491-1518, September.
- Brice V. Dupoyet & Corey A. Shank, 2018. "Oil prices implied volatility or direction: Which matters more to financial markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 275-295, August.
- Jiang, Yong & Wang, Gang-Jin & Ma, Chaoqun & Yang, Xiaoguang, 2021. "Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 1-15.
- Eraslan, Sercan & Ali, Faek Menla, 2018. "Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis," Discussion Papers 38/2018, Deutsche Bundesbank.
- Laurent Ferrara & Pierre Guérin, 2016.
"What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks,"
Staff Working Papers
16-25, Bank of Canada.
- Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high‐frequency uncertainty shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 662-679, August.
- Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," Working Papers hal-04141416, HAL.
- Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," EconomiX Working Papers 2015-12, University of Paris Nanterre, EconomiX.
- Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high-frequency uncertainty shocks?," Post-Print hal-02334586, HAL.
Cited by:
- Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
- Martin Enilov & Yuan Wang, 2022. "Tourism and economic growth: Multi-country evidence from mixed-frequency Granger causality tests," Tourism Economics, , vol. 28(5), pages 1216-1239, August.
- Kyosuke Chikamatsu, Naohisa Hirakata, Yosuke Kido, Kazuki Otaka, 2018. "Nowcasting Japanese GDPs," Bank of Japan Working Paper Series 18-E-18, Bank of Japan.
- M. Bussière & L. Ferrara & J. Milovich, 2015.
"Explaining the Recent Slump in Investment: the Role of Expected Demand and Uncertainty,"
Working papers
571, Banque de France.
- Matthieu Bussière & Laurent Ferrara & Juliana Milovich, 2017. "Explaining the recent slump in investment: the role of expected demand and uncertainty," Rue de la Banque, Banque de France, issue 44, may..
- Stéphane Lhuissier & Fabien Tripier, 2016. "Do Uncertainty Shocks Always Matter for Business Cycles?," Working Papers 2016-19, CEPII research center.
- Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2020.
"Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession,"
Papers
2007.15419, arXiv.org.
- Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2021. "Measuring the effectiveness of US monetary policy during the COVID‐19 recession," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 287-297, July.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018.
"Economic Policy Uncertainty Spillovers in Booms and Busts,"
CESifo Working Paper Series
7086, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2020. "Economic Policy Uncertainty Spillovers in Booms and Busts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(1), pages 125-155, February.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," Working Paper series 18-28, Rimini Centre for Economic Analysis.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2017. "Economic Policy Uncertainty Spillovers in Booms and Busts," Melbourne Institute Working Paper Series wp2017n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic policy uncertainty spillovers in booms and busts," CAMA Working Papers 2018-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
- Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
- Ömer YALÇINKAYA & Ali Kemal ÇELİK, 2021. "The Impact of Global Uncertainties on Economic Growth: Evidence from the US Economy (1996: Q1-2018: Q4)," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 35-54, June.
- Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2016.
"Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows,"
Working Papers
2016-04, Joint Research Centre, European Commission.
- Emanuele BACCHIOCCHI & Andrea BASTIANIN & Alessandro MISSALE & Eduardo ROSSI, 2016. "Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows," Departmental Working Papers 2016-11, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi, 2018. "Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows," Papers 1802.00793, arXiv.org.
- Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
- Maria Elena Bontempi & Michele Frigeri & Roberto Golinelli & Matteo Squadrani, 2021. "EURQ: A New Web Search‐based Uncertainty Index," Economica, London School of Economics and Political Science, vol. 88(352), pages 969-1015, October.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017.
"Uncertainty and Monetary Policy in Good and Bad Times,"
Melbourne Institute Working Paper Series
wp2017n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2014. "Uncertainty and Monetary Policy in Good and Bad Times," "Marco Fanno" Working Papers 0188, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," CESifo Working Paper Series 6630, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," RBA Research Discussion Papers rdp2017-06, Reserve Bank of Australia.
- Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2017. "Uncertainty and monetary policy in good and bad times," Bank of Finland Research Discussion Papers 8/2017, Bank of Finland.
- Calmès, Christian & Théoret, Raymond, 2020. "Bank fee-based shocks and the U.S. business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Reif Magnus, 2021.
"Macroeconomic uncertainty and forecasting macroeconomic aggregates,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
- Magnus Reif, 2018. "Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates," ifo Working Paper Series 265, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2018.
"Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges,"
Financial and Monetary Policy Studies, in: Laurent Ferrara & Ignacio Hernando & Daniela Marconi (ed.), International Macroeconomics in the Wake of the Global Financial Crisis, pages 159-181,
Springer.
- Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2017. "Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges," CEPII Policy Brief 2017-20, CEPII research center.
- Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2021.
"The Real Effects of Financial Uncertainty Shocks: A Daily Identification Approach,"
Documentos de Trabajo
559, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2021. "The real effects of financial uncertainty shocks: A daily identification approach," Working Papers 61, Red Nacional de Investigadores en Economía (RedNIE).
- Rodrigo Cerda & Álvaro Silva & José Tomás Valente, 2018. "Impact of economic uncertainty in a small open economy: the case of Chile," Applied Economics, Taylor & Francis Journals, vol. 50(26), pages 2894-2908, June.
- Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
- Ferrara, L. & Istrefi, K., 2016. "Impact des chocs d’incertitude sur l’économie mondiale – Synthèse de conférence," Bulletin de la Banque de France, Banque de France, issue 206, pages 61-68.
- Christian Grimme, 2023. "Uncertainty and the Cost of Bank versus Bond Finance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 143-169, February.
- Andrea Cipollini & Ieva Mikaliunaite, 2021. "Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR," Empirical Economics, Springer, vol. 61(2), pages 855-881, August.
- Chikamatsu, Kyosuke & Hirakata, Naohisa & Kido, Yosuke & Otaka, Kazuki, 2021. "Mixed-frequency approaches to nowcasting GDP: An application to Japan," Japan and the World Economy, Elsevier, vol. 57(C).
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2022. "Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 210-217, January.
- Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2023.
"Are the Effects of Uncertainty Shocks Big or Small?,"
Working Papers
244, Red Nacional de Investigadores en Economía (RedNIE).
- Alessandri, Piergiorgio & Gazzani, Andrea & Vicondoa, Alejandro, 2023. "Are the effects of uncertainty shocks big or small?," European Economic Review, Elsevier, vol. 158(C).
- Dario Bonciani & Andrea Tafuro, 2018. "The Effects of Uncertainty Shocks on Daily Prices," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 89-104, April.
- Ömer YALÇINKAYA & Muhammet DAŞTAN, 2020. "Effects of Global Economic, Political and Geopolitical Uncertainties on the Turkish Economy: A SVAR Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 97-116, March.
- Christian Friedrich & Pierre Guérin, 2016.
"The Dynamics of Capital Flow Episodes,"
Staff Working Papers
16-9, Bank of Canada.
- Christian Friedrich & Pierre Guérin, 2020. "The Dynamics of Capital Flow Episodes," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(5), pages 969-1003, August.
Cited by:
- Tae Soo Kang & Kyunghun Kim, 2019. "Push vs.  Pull Factors of Capital Flows Revisited: A Cross-country Analysis," Asian Economic Papers, MIT Press, vol. 18(1), pages 39-60, Winter/Sp.
- Kristin J. Forbes & Francis E. Warnock, 2020.
"Capital Flow Waves—or Ripples? Extreme Capital Flow Movements Since the Crisis,"
NBER Working Papers
26851, National Bureau of Economic Research, Inc.
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"U.S. Monetary Policy and Fluctuations of International Bank Lending,"
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"Portfolio rebalancing in times of stress,"
CEPR Discussion Papers
15777, C.E.P.R. Discussion Papers.
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"Predictive Ability of Commodity Prices for the Canadian Dollar,"
Staff Analytical Notes
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Cited by:
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"Commodity Currencies and Monetary Policy,"
NBER Working Papers
25076, National Bureau of Economic Research, Inc.
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"Using low frequency information for predicting high frequency variables,"
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2015/13, Norges Bank.
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Cited by:
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"The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis,"
Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 132-147.
- Sonali Das & Riza Demirer & Rangan Gupta & Siphumlile Mangisa, 2019. "The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis," Working Papers 201908, University of Pretoria, Department of Economics.
- Layna Mosley & Victoria Paniagua & Erik Wibbels, 2020. "Moving markets? Government bond investors and microeconomic policy changes," Economics and Politics, Wiley Blackwell, vol. 32(2), pages 197-249, July.
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"Testing for Deterministic Seasonality in Mixed-Frequency VARs,"
DEA Working Papers
76, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
- Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2019. "Forecasting daily electricity prices with monthly macroeconomic variables," Working Paper Series 2250, European Central Bank.
- Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021.
"Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model,"
Working Papers
202121, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan & Demirer, Riza, 2022. "Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model," Energy Economics, Elsevier, vol. 108(C).
- Claudia Foroni & Francesco Ravazzolo & Luca Rossini, 2020.
"Are low frequency macroeconomic variables important for high frequency electricity prices?,"
Papers
2007.13566, arXiv.org, revised Dec 2022.
- Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2023. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Economic Modelling, Elsevier, vol. 120(C).
- Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
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"Markov-Switching Three-Pass Regression Filter,"
Staff Working Papers
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- Alexander, Carol & Rauch, Johannes, 2021. "A general property for time aggregation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 536-548.
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"Evaluation of exchange rate point and density forecasts: An application to Brazil,"
International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
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- Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022.
"Common Drivers of Commodity Futures?,"
QBS Working Paper Series
2022/05, Queen's University Belfast, Queen's Business School.
- Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
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- Elie Bouri & Rangan Gupta & Luca Rossini, 2022. "The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index," Working Papers 202229, University of Pretoria, Department of Economics.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021.
"El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach,"
Working Papers
202179, University of Pretoria, Department of Economics.
- Matteo Bonato & Oğuzhan Çepni & Rangan Gupta & Christian Pierdzioch, 2023. "El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 785-801, July.
- Xu, Qifa & Zhuo, Xingxuan & Jiang, Cuixia & Liu, Xi & Liu, Yezheng, 2018. "Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth," Economic Modelling, Elsevier, vol. 75(C), pages 221-236.
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"Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?,"
Energy Economics, Elsevier, vol. 114(C).
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- Rangan Gupta & Sarah Nandnaba & Wei Jiang, 2024. "Climate Change and Growth Dynamics," Working Papers 202404, University of Pretoria, Department of Economics.
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- Selma Toker & Nimet Özbay & Kristofer Månsson, 2022. "Mixed data sampling regression: Parameter selection of smoothed least squares estimator," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 718-751, July.
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"Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data,"
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Cited by:
- Arabinda Basistha, 2023. "Estimation of short‐run predictive factor for US growth using state employment data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 34-50, January.
- Irfan Nurfalah & Aam Slamet Rusydiana & Nisful Laila & Eko Fajar Cahyono, 2018. "Early Warning to Banking Crises in the Dual Financial System in Indonesia: The Markov Switching Approach التحذير المبكر من الأزمات المصرفية في النظام المالي المزدوج في إندونيسيا: مقاربة ماركوف للتحويل," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 31(2), pages 133-156, July.
- María Dolores Gadea-Rivas & Ana Gómez-Loscos & Danilo Leiva-Leon, 2017. "The evolution of regional economic interlinkages in Europe," Working Papers 1705, Banco de España.
- Baumann, Ursel & Gomez-Salvador, Ramon & Seitz, Franz, 2019. "Detecting turning points in global economic activity," Working Paper Series 2310, European Central Bank.
- Gadea-Rivas, María Dolores & Gómez-Loscos, Ana & Leiva-Leon, Danilo, 2019. "Increasing linkages among European regions. The role of sectoral composition," Economic Modelling, Elsevier, vol. 80(C), pages 222-243.
- Christiane Baumeister & Pierre Guérin & Lutz Kilian, 2014.
"Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work,"
Staff Working Papers
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- Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2015. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," International Journal of Forecasting, Elsevier, vol. 31(2), pages 238-252.
- Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2013. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," CFS Working Paper Series 2013/22, Center for Financial Studies (CFS).
- Kilian, Lutz & Baumeister, Christiane, 2013. "Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work," CEPR Discussion Papers 9768, C.E.P.R. Discussion Papers.
Cited by:
- Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
- Etienne, Xiaoli, 2015.
"Financialization of Agricultural Commodity Markets: Do Financial Data Help to Forecast Agricultural Prices,"
2015 Conference, August 9-14, 2015, Milan, Italy
211626, International Association of Agricultural Economists.
- Etienne, Xiaoli L., 2015. "Financialization of Agricultural Commodity Markets: Do Financial Data Help to Forecast Agricultural Prices?," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205124, Agricultural and Applied Economics Association.
- Carl Bonham & Peter Fuleky & James Jones & Ashley Hirashima, 2015.
"Nowcasting Tourism Industry Performance Using High Frequency Covariates,"
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- Ashley Hirashima & James Jones & Carl S. Bonham & Peter Fuleky, 2016. "Nowcasting Tourism Industry Performance Using High Frequency Covariates," Working Papers 201611, University of Hawaii at Manoa, Department of Economics.
- Carl Bonham & Peter Fuleky & James Jones & Ashley Hirashima, 2015. "Nowcasting Tourism Industry Performance Using High Frequency Covariates," Working Papers 2015-3, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2014.
"Are there Gains from Pooling Real-Time Oil Price Forecasts?,"
CEPR Discussion Papers
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- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2014. "Are There Gains from Pooling Real-Time Oil Price Forecasts?," Staff Working Papers 14-46, Bank of Canada.
- Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2014. "Are there gains from pooling real-time oil price forecasts?," Energy Economics, Elsevier, vol. 46(S1), pages 33-43.
- Ding, Yishan, 2018. "A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting," Energy, Elsevier, vol. 154(C), pages 328-336.
- Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.
- Qifa Xu & Lu Chen & Cuixia Jiang & Yezheng Liu, 2022. "Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 407-421, April.
- Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2016.
"Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump,"
CESifo Working Paper Series
5759, CESifo.
- Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2015. "Inside the crystal ball: New approaches to predicting the gasoline price at the pump," CFS Working Paper Series 500, Center for Financial Studies (CFS).
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2017. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 275-295, March.
- Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2015. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," CEPR Discussion Papers 10362, C.E.P.R. Discussion Papers.
- Chu, Pyung Kun & Hoff, Kristian & Molnár, Peter & Olsvik, Magnus, 2022. "Crude oil: Does the futures price predict the spot price?," Research in International Business and Finance, Elsevier, vol. 60(C).
- Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
- Valadkhani, Abbas & Smyth, Russell, 2017. "How do daily changes in oil prices affect US monthly industrial output?," Energy Economics, Elsevier, vol. 67(C), pages 83-90.
- Zhang, Yaojie & Wang, Yudong, 2023. "Forecasting crude oil futures market returns: A principal component analysis combination approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 659-673.
- Li, Jingjing & Tang, Ling & Wang, Shouyang, 2020. "Forecasting crude oil price with multilingual search engine data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
- Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
- Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
- Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018.
"Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence,"
MPRA Paper
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- Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil prices and stock markets: A review of the theory and empirical evidence," BAFES Working Papers BAFES22, Department of Accounting, Finance & Economic, Bournemouth University.
- Stavros Degiannakis, George Filis, and Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Ghassan, Hassan Belkacem & AlHajhoj, Hassan Rafdan, 2016.
"Long run dynamic volatilities between OPEC and non-OPEC crude oil prices,"
Applied Energy, Elsevier, vol. 169(C), pages 384-394.
- Ghassan, Hassan B. & Alhajhoj, Hassan R., 2015. "Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices," MPRA Paper 69962, University Library of Munich, Germany, revised 15 Jan 2016.
- Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014. "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers 14-42, Bank of Canada.
- Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018.
"Oil returns and volatility: The role of mergers and acquisitions,"
Energy Economics, Elsevier, vol. 71(C), pages 62-69.
- Martijn Bos & Riza Demirer & Rangan Gupta & Aviral Kumar Tiwari, 2017. "Oil Returns and Volatility: The Role of Mergers and Acquisitions," Working Papers 201775, University of Pretoria, Department of Economics.
- Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
- Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
- Morita, Hiroshi & 森田, 裕史, 2019. "Forecasting Public Investment Using Daily Stock Returns," Discussion paper series HIAS-E-88, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & Yelou, Clement, 2018.
"Oil Price Forecasts For The Long Term: Expert Outlooks, Models, Or Both?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 581-599, April.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Clement Yelou, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Cahiers de recherche CREATE 2015-3, CREATE.
- Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & Yelou, Clement, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Working Papers 208082, University of Laval, Center for Research on the Economics of the Environment, Agri-food, Transports and Energy (CREATE).
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Clement Yelou, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Working Papers 1508E, University of Ottawa, Department of Economics.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Clement Yelou, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Working Papers 1510E, University of Ottawa, Department of Economics.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Reinhard Ellwanger, Stephen Snudden, 2021. "Predictability of Aggregated Time Series," LCERPA Working Papers bm0127, Laurier Centre for Economic Research and Policy Analysis.
- Funk, Christoph, 2018. "Forecasting the real price of oil - Time-variation and forecast combination," Energy Economics, Elsevier, vol. 76(C), pages 288-302.
- Kertlly de Medeiros, Rennan & da Nóbrega Besarria, Cássio & Pitta de Jesus, Diego & Phillipe de Albuquerquemello, Vinicius, 2022. "Forecasting oil prices: New approaches," Energy, Elsevier, vol. 238(PC).
- Valadkhani, Abbas & Smyth, Russell, 2018. "Asymmetric responses in the timing, and magnitude, of changes in Australian monthly petrol prices to daily oil price changes," Energy Economics, Elsevier, vol. 69(C), pages 89-100.
- Duc Khuong Nguyen & Thomas Walther, 2020.
"Modeling and forecasting commodity market volatility with long‐term economic and financial variables,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
- Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
- Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
- Hirashima, Ashley & Jones, James & Bonham, Carl S. & Fuleky, Peter, 2017. "Forecasting in a Mixed Up World: Nowcasting Hawaii Tourism," Annals of Tourism Research, Elsevier, vol. 63(C), pages 191-202.
- Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
- Baruník, Jozef & Malinská, Barbora, 2016.
"Forecasting the term structure of crude oil futures prices with neural networks,"
Applied Energy, Elsevier, vol. 164(C), pages 366-379.
- Jozef Barunik & Barbora Malinska, 2015. "Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks," Working Papers IES 2015/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
- Jozef Barunik & Barbora Malinska, 2015. "Forecasting the term structure of crude oil futures prices with neural networks," Papers 1504.04819, arXiv.org.
- Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
- Gupta, Rangan & Yoon, Seong-Min, 2018.
"OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach,"
The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 206-214.
- Rangan Gupta & Seong-Min Yoon, 2017. "OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers 201726, University of Pretoria, Department of Economics.
- Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
- Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil prices," MPRA Paper 77531, University Library of Munich, Germany.
- Hao, Xianfeng & Zhao, Yuyang & Wang, Yudong, 2020. "Forecasting the real prices of crude oil using robust regression models with regularization constraints," Energy Economics, Elsevier, vol. 86(C).
- Ellwanger, Reinhard & Snudden, Stephen, 2023. "Forecasts of the real price of oil revisited: Do they beat the random walk?," Journal of Banking & Finance, Elsevier, vol. 154(C).
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International Journal of Forecasting, Elsevier, vol. 34(4), pages 774-787.
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CREATES Research Papers
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Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
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"Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan,"
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Working Paper Series
1384, European Central Bank.
- Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015. "Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 363-393, March.
Cited by:
- Mendieta-Muñoz, Ivan, 2017.
"On The Interaction Between Economic Growth And Business Cycles,"
Macroeconomic Dynamics, Cambridge University Press, vol. 21(4), pages 982-1022, June.
- Ivan Mendieta-Muñoz, 2014. "On the Interaction Between Economic Growth and Business Cycles," Studies in Economics 1417, School of Economics, University of Kent.
- Hahn, Elke & Zekaite, Zivile & de Bondt, Gabe, 2018.
"ALICE: A new inflation monitoring tool,"
Working Paper Series
2175, European Central Bank.
- Zivile Zekaite & Gabe de Bondt & Elke Hahn, 2017. "Alice: A New Inflation Monitoring Tool," EcoMod2017 10414, EcoMod.
- González-Astudillo, Manuel, 2019.
"An output gap measure for the euro area: Exploiting country-level and cross-sectional data heterogeneity,"
European Economic Review, Elsevier, vol. 120(C).
- Manuel Gonzalez-Astudillo, 2018. "An Output Gap Measure for the Euro Area : Exploiting Country-Level and Cross-Sectional Data Heterogeneity," Finance and Economics Discussion Series 2018-040, Board of Governors of the Federal Reserve System (U.S.).
- Lise Pichette & Marie-Noëlle Robitaille & Mohanad Salameh & Pierre St-Amant, 2018. "Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation," Staff Working Papers 18-10, Bank of Canada.
- Morley, James & Wong, Benjamin, 2018.
"Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions,"
Working Papers
2018-04, University of Sydney, School of Economics, revised Feb 2019.
- James Morley & Benjamin Wong, 2020. "Estimating and accounting for the output gap with large Bayesian vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 1-18, January.
- James Morley & Benjamin Wong, 2017. "Estimating and accounting for the output gap with large Bayesian vector autoregressions," CAMA Working Papers 2017-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Pichette, Lise & Robitaille, Marie-Noëlle & Salameh, Mohanad & St-Amant, Pierre, 2019. "Dismiss the output gaps? To use with caution given their limitations," Economic Modelling, Elsevier, vol. 76(C), pages 199-215.
- Daniel Gros & Alessandro Liscai & Farzaneh Shamsfakhr, 2022. "Planned Fiscal Consolidation and Under-Estimated Multipliers: Revisiting the Evidence and Relevance for the Euro Area," EconPol Policy Reports 35, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Susanne Maidorn, 2018. "Is there a trade-off between procyclicality and revisions in EC trend TFP estimations?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 59-82, February.
- Marcellino, Massimiliano, 2011.
"Markov-switching MIDAS models,"
CEPR Discussion Papers
8234, C.E.P.R. Discussion Papers.
- Pierre Guérin & Massimiliano Marcellino, 2013. "Markov-Switching MIDAS Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 45-56, January.
Cited by:
- Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
- Poon, Aubrey & Zhu, Dan, 2022. "Do Recessions Occur Concurrently Across Countries? A Multinomial Logistic Approach," Working Papers 2022:11, Örebro University, School of Business.
- Lixiong Yang, 2022. "Threshold mixed data sampling (TMIDAS) regression models with an application to GDP forecast errors," Empirical Economics, Springer, vol. 62(2), pages 533-551, February.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012.
"Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility,"
Working Papers (Old Series)
1227, Federal Reserve Bank of Cleveland.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2013. "Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility," CEPR Discussion Papers 9312, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
- Fady Barsoum, 2015. "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz 2015-19, Department of Economics, University of Konstanz.
- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012.
"Now-casting and the real-time data flow,"
CEPR Discussion Papers
9112, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
- Claudia Foroni & Massimiliano Marcellino, 2013.
"A survey of econometric methods for mixed-frequency data,"
Working Paper
2013/06, Norges Bank.
- Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Economics Working Papers ECO2013/02, European University Institute.
- Xinyu Wang & Cathy Ning, 2022. "A new Markov regime‐switching count time series approach for forecasting initial public offering volumes and detecting issue cycles," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 118-133, January.
- Marie Bessec & Othman Bouabdallah, 2015.
"Forecasting GDP over the Business Cycle in a Multi-Frequency and Data-Rich Environment,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(3), pages 360-384, June.
- Marie Bessec & Othman Bouabdallah, 2015. "Forecasting GDP over the business cycle in a multi-frequency and data-rich environment," Post-Print hal-01275760, HAL.
- Bessec, M. & Bouabdallah, O., 2012. "Forecasting GDP over the business cycle in a multi-frequency and data-rich environment," Working papers 384, Banque de France.
- Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2014.
"Regime switches in the risk–return trade-off,"
Journal of Empirical Finance, Elsevier, vol. 28(C), pages 118-138.
- Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013. "Regime Switches in the Risk-Return Trade-Off," Staff Working Papers 13-51, Bank of Canada.
- Ghysels, Eric & Marcellino, Massimiliano, 2013. "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers 9698, C.E.P.R. Discussion Papers.
- Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
- Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014.
"Combined Density Nowcasting in an uncertain economic environment,"
Working Paper
2014/17, Norges Bank.
- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an Uncertain Economic Environment," Tinbergen Institute Discussion Papers 14-152/III, Tinbergen Institute.
- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2018. "Combined Density Nowcasting in an Uncertain Economic Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 131-145, January.
- Qiu, Yue, 2020. "Forecasting the Consumer Confidence Index with tree-based MIDAS regressions," Economic Modelling, Elsevier, vol. 91(C), pages 247-256.
- Pierre Guérin & Danilo Leiva-Leon, 2015.
"Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data,"
Staff Working Papers
15-24, Bank of Canada.
- Pierre Guérin & Danilo Leiva-Leon, 2017. "Model averaging in markov-switching models: predicting national recessions with regional data," Working Papers 1727, Banco de España.
- Guérin, Pierre & Leiva-Leon, Danilo, 2017. "Model averaging in Markov-switching models: Predicting national recessions with regional data," Economics Letters, Elsevier, vol. 157(C), pages 45-49.
- Guérin, Pierre & Leiva-Leon, Danilo, 2014. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data," MPRA Paper 59361, University Library of Munich, Germany.
- Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," QBS Working Paper Series 2018/03, Queen's University Belfast, Queen's Business School.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Fady Barsoum & Sandra Stankiewicz, 2013.
"Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes,"
Working Paper Series of the Department of Economics, University of Konstanz
2013-10, Department of Economics, University of Konstanz.
- Barsoum, Fady & Stankiewicz, Sandra, 2015. "Forecasting GDP growth using mixed-frequency models with switching regimes," International Journal of Forecasting, Elsevier, vol. 31(1), pages 33-50.
- Feng Ma & Chao Liang & Yuanhui Ma & M.I.M. Wahab, 2020. "Cryptocurrency volatility forecasting: A Markov regime‐switching MIDAS approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(8), pages 1277-1290, December.
- Boriss Siliverstovs, 2019.
"Assessing Nowcast Accuracy of US GDP Growth in Real Time: The Role of Booms and Busts,"
Working Papers
2019/01, Latvijas Banka.
- Boriss Siliverstovs, 2020. "Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts," Empirical Economics, Springer, vol. 58(1), pages 7-27, January.
- Lynda Khalaf & Maral Kichian & Charles Saunders & Marcel Voia, 2021.
"Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit,"
Post-Print
hal-03528880, HAL.
- Khalaf, Lynda & Kichian, Maral & Saunders, Charles J. & Voia, Marcel, 2021. "Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit," Journal of Econometrics, Elsevier, vol. 220(2), pages 589-605.
- Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Pan, Zhiyuan & Wang, Qing & Wang, Yudong & Yang, Li, 2018. "Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model," Energy Economics, Elsevier, vol. 72(C), pages 177-187.
- Liu, Xiaochun, 2017.
"An integrated macro-financial risk-based approach to the stressed capital requirement,"
Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
- Xiaochun Liu, 2017. "An integrated macro‐financial risk‐based approach to the stressed capital requirement," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 86-98, September.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017.
"Markov-Switching Three-Pass Regression Filter,"
Staff Working Papers
17-13, Bank of Canada.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2020. "Markov-Switching Three-Pass Regression Filter," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 285-302, April.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-switching three-pass regression filter," Working Papers 1748, Banco de España.
- Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling, 2022. "Financial-market volatility prediction with multiplicative Markov-switching MIDAS components," CQE Working Papers 9922, Center for Quantitative Economics (CQE), University of Muenster.
- Michael Funke & Hao Yu & Aaron Mehrota, 2011.
"Tracking Chinese CPI inflation in real time,"
Quantitative Macroeconomics Working Papers
21112, Hamburg University, Department of Economics.
- Funke, Michael & Mehrotra, Aaron & Yu, Hao, 2011. "Tracking Chinese CPI inflation in real time," BOFIT Discussion Papers 35/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
- Michael Funke & Aaron Mehrotra & Hao Yu, 2015. "Tracking Chinese CPI inflation in real time," Empirical Economics, Springer, vol. 48(4), pages 1619-1641, June.
- Thomas B Götz & Klemens Hauzenberger, 2021. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 442-461.
- Kenichiro McAlinn, 2021. "Mixed‐frequency Bayesian predictive synthesis for economic nowcasting," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(5), pages 1143-1163, November.
- Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.
- Stankevich, Ivan, 2023. "Application of Markov-Switching MIDAS models to nowcasting of GDP and its components," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 70, pages 122-143.
- Foroni, Claudia & Marcellino, Massimiliano, 2014. "A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates," International Journal of Forecasting, Elsevier, vol. 30(3), pages 554-568.
- Cláudia Duarte, 2014. "Autoregressive augmentation of MIDAS regressions," Working Papers w201401, Banco de Portugal, Economics and Research Department.
- Freitag L., 2014. "Default probabilities, CDS premiums and downgrades : A probit-MIDAS analysis," Research Memorandum 038, Maastricht University, Graduate School of Business and Economics (GSBE).
- Xiaochun Liu, 2016.
"Markov switching quantile autoregression,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
- Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
- Di Caro, Paolo, 2014. "Regional recessions and recoveries in theory and practice: a resilience-based overview," MPRA Paper 60300, University Library of Munich, Germany.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
- Schumacher, Christian, 2014. "MIDAS regressions with time-varying parameters: An application to corporate bond spreads and GDP in the Euro area," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100289, Verein für Socialpolitik / German Economic Association.
- de Bruijn, L.P. & Franses, Ph.H.B.F., 2015. "Stochastic levels and duration dependence in US unemployment," Econometric Institute Research Papers EI2015-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
- Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
- Götz, Thomas B. & Hauzenberger, Klemens, 2018. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers 40/2018, Deutsche Bundesbank.
- Marcellino, Massimiliano & Foroni, Claudia, 2014.
"Markov-Switching Mixed-Frequency VAR Models,"
CEPR Discussion Papers
9815, C.E.P.R. Discussion Papers.
- Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2015. "Markov-switching mixed-frequency VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 692-711.
- Stefan Neuwirth, 2017. "Time-varying mixed frequency forecasting: A real-time experiment," KOF Working papers 17-430, KOF Swiss Economic Institute, ETH Zurich.
- Xu, Qifa & Zhuo, Xingxuan & Jiang, Cuixia & Liu, Xi & Liu, Yezheng, 2018. "Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth," Economic Modelling, Elsevier, vol. 75(C), pages 221-236.
- Denisa BANULESCU-RADU & Laurent FERRARA & Clément MARSILLI, 2019.
"Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences,"
LEO Working Papers / DR LEO
2710, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Denisa Georgiana Banulescu & Ferrara Laurent & Marsilli Clément, 2019. "Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences," Working Papers hal-03563168, HAL.
- Paul Viefers, 2011. "Bayesian Inference for the Mixed-Frequency VAR Model," Discussion Papers of DIW Berlin 1172, DIW Berlin, German Institute for Economic Research.
- Ghysels, Eric & Qian, Hang, 2019. "Estimating MIDAS regressions via OLS with polynomial parameter profiling," Econometrics and Statistics, Elsevier, vol. 9(C), pages 1-16.
- Thomas Walther & Lanouar Charfeddine & Tony Klein, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," Working Papers on Finance 1816, University of St. Gallen, School of Finance.
- Kohns, David & Potjagailo, Galina, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
- You, Yu & Liu, Xiaochun, 2020. "Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach," Journal of Banking & Finance, Elsevier, vol. 116(C).
- Mahmut Gunay, 2020. "Nowcasting Turkish GDP with MIDAS: Role of Functional Form of the Lag Polynomial," Working Papers 2002, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Daniel Wochner, 2020. "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers 20-472, KOF Swiss Economic Institute, ETH Zurich.
Articles
- Baumeister, Christiane & Guérin, Pierre, 2021.
"A comparison of monthly global indicators for forecasting growth,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1276-1295.
See citations under working paper version above.
- Christiane Baumeister & Pierre Guérin, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," CESifo Working Paper Series 8656, CESifo.
- Christiane Baumeister & Pierre Guérin, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," NBER Working Papers 28014, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Pierre Guérin, 2020. "A comparison of monthly global indicators for forecasting growth," CAMA Working Papers 2020-93, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Baumeister, Christiane & Guerin, Pierre, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," CEPR Discussion Papers 15403, C.E.P.R. Discussion Papers.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2020.
"Markov-Switching Three-Pass Regression Filter,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 285-302, April.
See citations under working paper version above.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-Switching Three-Pass Regression Filter," Staff Working Papers 17-13, Bank of Canada.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-switching three-pass regression filter," Working Papers 1748, Banco de España.
- Christian Friedrich & Pierre Guérin, 2020.
"The Dynamics of Capital Flow Episodes,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(5), pages 969-1003, August.
See citations under working paper version above.
- Christian Friedrich & Pierre Guérin, 2016. "The Dynamics of Capital Flow Episodes," Staff Working Papers 16-9, Bank of Canada.
- Bulusu, Narayan & Guérin, Pierre, 2019.
"What drives interbank loans? Evidence from Canada,"
Journal of Banking & Finance, Elsevier, vol. 106(C), pages 427-444.
See citations under working paper version above.
- Narayan Bulusu & Pierre Guérin, 2018. "What Drives Interbank Loans? Evidence from Canada," Staff Working Papers 18-5, Bank of Canada.
- Laurent Ferrara & Pierre Guérin, 2018.
"What are the macroeconomic effects of high‐frequency uncertainty shocks?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 662-679, August.
See citations under working paper version above.
- Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," Working Papers hal-04141416, HAL.
- Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," EconomiX Working Papers 2015-12, University of Paris Nanterre, EconomiX.
- Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high-frequency uncertainty shocks?," Post-Print hal-02334586, HAL.
- Laurent Ferrara & Pierre Guérin, 2016. "What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks," Staff Working Papers 16-25, Bank of Canada.
- Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2018.
"Using low frequency information for predicting high frequency variables,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 774-787.
See citations under working paper version above.
- Claudia Foroni & Pierre Guérin & Massimiliano Marcellino, 2015. "Using low frequency information for predicting high frequency variables," Working Paper 2015/13, Norges Bank.
- Guérin, Pierre & Leiva-Leon, Danilo, 2017.
"Model averaging in Markov-switching models: Predicting national recessions with regional data,"
Economics Letters, Elsevier, vol. 157(C), pages 45-49.
See citations under working paper version above.
- Pierre Guérin & Danilo Leiva-Leon, 2015. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data," Staff Working Papers 15-24, Bank of Canada.
- Pierre Guérin & Danilo Leiva-Leon, 2017. "Model averaging in markov-switching models: predicting national recessions with regional data," Working Papers 1727, Banco de España.
- Guérin, Pierre & Leiva-Leon, Danilo, 2014. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data," MPRA Paper 59361, University Library of Munich, Germany.
- Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2017.
"Explaining the time-varying effects of oil market shocks on US stock returns,"
Economics Letters, Elsevier, vol. 155(C), pages 84-88.
See citations under working paper version above.
- Claudia Foroni & Pierre Guérin & Massimiliano Marcellino, 2017. "Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns," Working Papers 597, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015.
"Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination,"
Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 363-393, March.
See citations under working paper version above.
- Mohr, Matthias & Maurin, Laurent & Guérin, Pierre, 2011. "Trend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination," Working Paper Series 1384, European Central Bank.
- Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2015.
"Do high-frequency financial data help forecast oil prices? The MIDAS touch at work,"
International Journal of Forecasting, Elsevier, vol. 31(2), pages 238-252.
See citations under working paper version above.
- Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2013. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," CFS Working Paper Series 2013/22, Center for Financial Studies (CFS).
- Kilian, Lutz & Baumeister, Christiane, 2013. "Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work," CEPR Discussion Papers 9768, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Pierre Guérin & Lutz Kilian, 2014. "Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work," Staff Working Papers 14-11, Bank of Canada.
- Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2015.
"Markov-switching mixed-frequency VAR models,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 692-711.
See citations under working paper version above.
- Marcellino, Massimiliano & Foroni, Claudia, 2014. "Markov-Switching Mixed-Frequency VAR Models," CEPR Discussion Papers 9815, C.E.P.R. Discussion Papers.
- Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2014.
"Regime switches in the risk–return trade-off,"
Journal of Empirical Finance, Elsevier, vol. 28(C), pages 118-138.
See citations under working paper version above.
- Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013. "Regime Switches in the Risk-Return Trade-Off," Staff Working Papers 13-51, Bank of Canada.
- Ghysels, Eric & Marcellino, Massimiliano, 2013. "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers 9698, C.E.P.R. Discussion Papers.
- Russell Barnett & Pierre Guérin, 2013.
"Monitoring Short-Term Economic Developments in Foreign Economies,"
Bank of Canada Review, Bank of Canada, vol. 2013(Summer), pages 22-31.
Cited by:
- Tony Chernis & Calista Cheung & Gabriella Velasco, 2017.
"A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth,"
Discussion Papers
17-8, Bank of Canada.
- Chernis, Tony & Cheung, Calista & Velasco, Gabriella, 2020. "A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth," International Journal of Forecasting, Elsevier, vol. 36(3), pages 851-872.
- Tony Chernis & Rodrigo Sekkel, 2018. "Nowcasting Canadian Economic Activity in an Uncertain Environment," Discussion Papers 18-9, Bank of Canada.
- Tony Chernis & Calista Cheung & Gabriella Velasco, 2017.
"A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth,"
Discussion Papers
17-8, Bank of Canada.
- Pierre Guérin & Massimiliano Marcellino, 2013.
"Markov-Switching MIDAS Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 45-56, January.
See citations under working paper version above.
- Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
- Bijsterbosch, Martin & Guérin, Pierre, 2013.
"Characterizing very high uncertainty episodes,"
Economics Letters, Elsevier, vol. 121(2), pages 239-243.
See citations under working paper version above.
- Bijsterbosch, Martin & Guérin, Pierre, 2014. "Characterizing very high uncertainty episodes," Working Paper Series 1637, European Central Bank.
Chapters
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