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Citations for "Tests of Conditional Predictive Ability"

by Raffaella Giacomini & Halbert White

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  1. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
  2. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?," Working Paper Series 0700, European Central Bank.
  3. Raúl Ibarra-Ramírez, 2010. "Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?," Working Papers 2010-01, Banco de México.
  4. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics.
  5. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
  6. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
  7. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  8. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
  9. Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
  10. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  11. Jian Wang & Jason J. Wu, 2009. "The Taylor rule and forecast intervals for exchange rates," International Finance Discussion Papers 963, Board of Governors of the Federal Reserve System (U.S.).
  12. : Roman Kozhan & Mark Salmon, 2010. "The information Content of a Limit Order Book:the Case of an FX Market," Working Papers wpn10-05, Warwick Business School, Finance Group.
  13. Juan Díaz Maureira & Gustavo Leyva Jiménez, 2009. "Proyección de la inflación chilena en tiempos difíciles," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 491-522, octubre-d.
  14. Rossi, Barbara & Sekhposyan, Tatevik, 2010. "Have economic models' forecasting performance for US output growth and inflation changed over time, and when?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 808-835, October.
  15. Marco Lombardi & Raphael A. Espinoza & Fabio Fornari, 2009. "The Role of Financial Variables in Predicting Economic Activity in the Euro Area," IMF Working Papers 09/241, International Monetary Fund.
  16. Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 368-385.
  17. Hofmann, Boris, 2008. "Do monetary indicators lead euro area inflation?," Working Paper Series 0867, European Central Bank.
  18. In Choi, 2013. "Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons," Working Papers 1209, Research Institute for Market Economy, Sogang University.
  19. Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis.
  20. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers 11468, National Bureau of Economic Research, Inc.
  21. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Measuring output gap nowcast uncertainty," International Journal of Forecasting, Elsevier, vol. 30(2), pages 268-279.
  22. Andrea Carriero & Raffaella Giacomini, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Post-Print peer-00844809, HAL.
  23. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
  24. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  25. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  26. Roberto Golinelli & Giuseppe Parigi, 2013. "Tracking world trade and GDP in real time," Temi di discussione (Economic working papers) 920, Bank of Italy, Economic Research and International Relations Area.
  27. Roxana Halbleib & Valerie Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES ECARES 2010-002, ULB -- Universite Libre de Bruxelles.
  28. Ndahiriwe Kasaï & Ruthira Naraidoo, 2012. "Financial assets, linear and nonlinear policy rules: An in-sample assessment of the reaction function of the South African Reserve Bank," Journal of Economic Studies, Emerald Group Publishing, vol. 39(2), pages 161-177, May.
  29. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
  30. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney.
  31. Cecilia Frale, . "Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?," Working Papers wp2008-2, Department of the Treasury, Ministry of the Economy and of Finance.
  32. Lucio Sarno & Paul Schneider & Christian Wagner, 2012. "Properties of Foreign Exchange Risk Premiums," Working Paper Series 10_12, The Rimini Centre for Economic Analysis.
  33. �scar Jord� & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  34. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
  35. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: El caso colombiano," Borradores de Economia 821, Banco de la Republica de Colombia.
  36. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
  37. Guillén, Osmani Teixeira de Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 742, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  38. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CARF F-Series CARF-F-045, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  39. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2008. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 668, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  40. Travis J. Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Working Papers 16491, National Bureau of Economic Research, Inc.
  41. Chu, Ba, 2011. "Recovering copulas from limited information and an application to asset allocation," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1824-1842, July.
  42. Francesco Ravazzolo & Philip Rothman, 2010. "Oil and US GDP: A real-time out-of-sample examination," Working Paper 2010/18, Norges Bank.
  43. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  44. Manzan, Sebastiano & Zerom, Dawit, 2009. "Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?," MPRA Paper 14387, University Library of Munich, Germany.
  45. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
  46. Elena Andreou & Constantinos Kourouyiannis & Andros Kourtellos, 2012. "Volatility Forecast Combinations using Asymmetric Loss Functions," University of Cyprus Working Papers in Economics 07-2012, University of Cyprus Department of Economics.
  47. Pablo Pincheira, 2012. "A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 04-39, December.
  48. Gadea Rivas, Maria Dolores & Pérez-Quirós, Gabriel, 2012. "The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit," CEPR Discussion Papers 9269, C.E.P.R. Discussion Papers.
  49. Piergiorgio Alessandri & Haroon Mumtaz, 2013. "Financial conditions and density forecasts for US Output and inflation," Joint Research Papers 4, Centre for Central Banking Studies, Bank of England.
  50. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014. "Causality and predictability in distribution: The ethanol–food price relation revisited," Energy Economics, Elsevier, vol. 42(C), pages 152-160.
  51. Ibarra, Raul, 2012. "Do disaggregated CPI data improve the accuracy of inflation forecasts?," Economic Modelling, Elsevier, vol. 29(4), pages 1305-1313.
  52. : Arie E. Gozluklu, 2012. "Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics," Working Papers wpn12-06, Warwick Business School, Finance Group.
  53. Siem Jan Koopman & Rutger Lit, 2012. "A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League," Tinbergen Institute Discussion Papers 12-099/III, Tinbergen Institute.
  54. Mariano, Roberto S. & Preve, Daniel, 2012. "Statistical tests for multiple forecast comparison," Journal of Econometrics, Elsevier, vol. 169(1), pages 123-130.
  55. Seiler, Christian & Heumann, Christian, 2012. "Microdata imputations and macrodata implications: evidence from the Ifo Business Survey," MPRA Paper 37045, University Library of Munich, Germany.
  56. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  57. Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.
  58. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
  59. N. Fawcett & G. Kapetanios & J. Mitchell & S. Price, 2014. "Generalised Density Forecast Combinations," CAMA Working Papers 2014-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  60. Giacomini, Raffaella & Rossi, Barbara, 2008. "Forecast Comparisons in Unstable Environments," Working Papers 08-04, Duke University, Department of Economics.
  61. Ando, Tomohiro & Tsay, Ruey, 2010. "Predictive likelihood for Bayesian model selection and averaging," International Journal of Forecasting, Elsevier, vol. 26(4), pages 744-763, October.
  62. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  63. Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, EconWPA.
  64. Paul D. McNelis & Salih N. Neftci, 2006. "Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?," Working Papers 012006, Hong Kong Institute for Monetary Research.
  65. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
  66. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
  67. Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge.
  68. Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008. "Forecasting stock market volatility with macroeconomic variables in real time," Journal of Economics and Business, Elsevier, vol. 60(3), pages 256-276.
  69. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
  70. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014. "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
  71. Todd E. Clark & Michael W. McCracken, 2011. "Tests of equal forecast accuracy for overlapping models," Working Papers 2011-024, Federal Reserve Bank of St. Louis.
  72. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
  73. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute.
  74. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
  75. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
  76. Blaskowitz, Oliver & Herwartz, Helmut, 2014. "Testing the value of directional forecasts in the presence of serial correlation," International Journal of Forecasting, Elsevier, vol. 30(1), pages 30-42.
  77. Kyungchul Song, 2009. "Testing Predictive Ability and Power Robustification," PIER Working Paper Archive 09-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  78. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
  79. Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
  80. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
  81. Gary Koop & Simon Potter, 2003. "Forecasting in large macroeconomic panels using Bayesian Model Averaging," Staff Reports 163, Federal Reserve Bank of New York.
  82. Niels S. Hansen & Asger Lunde, 2013. "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers 2013-36, School of Economics and Management, University of Aarhus.
  83. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CESifo Working Paper Series 2543, CESifo Group Munich.
  84. Pablo Pincheira Brown & Álvaro García Marín, 2009. "Forecasting Inflation in Chile With an Accurate Benchmark," Working Papers Central Bank of Chile 514, Central Bank of Chile.
  85. Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers 7656, C.E.P.R. Discussion Papers.
  86. Bouwman, Kees E. & Jacobs, Jan P.A.M., 2011. "Forecasting with real-time macroeconomic data: The ragged-edge problem and revisions," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 784-792.
  87. Daniel Fernández, 2011. "Suficiencia del capital y previsiones de la banca uruguaya por su exposición al sector industrial," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 517-589, octubre-d.
  88. Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013. "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
  89. Todd E. Clark & Michael W. McCracken, 2009. "Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(2), pages 363-395, 05.
  90. Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers 08-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  91. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
  92. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.
  93. Pesaran, M. Hashem & Timmermann, Allan, 2005. "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 183-217.
  94. Xiuping Mao & Esther Ruiz & Helena Veiga, 2013. "One for all : nesting asymmetric stochastic volatility models," Statistics and Econometrics Working Papers ws131110, Universidad Carlos III, Departamento de Estadística y Econometría.
  95. Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers 2011-27, School of Economics and Management, University of Aarhus.
  96. Barbara Rossi & Tatevik Sekhposyan, 2010. "Understanding Models' Forecasting Performance," Working Papers 10-56, Duke University, Department of Economics.
  97. D’Agostino, Antonello & Giannone, Domenico & Surico, Paolo, 2006. "(Un)Predictability and macroeconomic stability," Working Paper Series 0605, European Central Bank.
  98. Benavides, Guillermo & Capistrán, Carlos, 2012. "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 627-639.
  99. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
  100. Raffaella Giacomini, 2012. "Incorporating theoretical restrictions into forecasting by projection methods," 2012 Meeting Papers 548, Society for Economic Dynamics.
  101. Barbara Rossi & Atsushi Inoue, 2012. "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers 1404, Department of Economics and Business, Universitat Pompeu Fabra.
  102. Clements, Michael P. & Galvão, Ana Beatriz, 2013. "Forecasting with vector autoregressive models of data vintages: US output growth and inflation," International Journal of Forecasting, Elsevier, vol. 29(4), pages 698-714.
  103. Carriero, A. & Kapetanios, G. & Marcellino, M., 2009. "Forecasting exchange rates with a large Bayesian VAR," International Journal of Forecasting, Elsevier, vol. 25(2), pages 400-417.
  104. Pincheira, Pablo, 2013. "A Bunch of Models, a Bunch of Nulls and Inference about Predictive Ability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 26-43, October.
  105. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
  106. Travis Berge, 2013. "Predicting recessions with leading indicators: model averaging and selection over the business cycle," Research Working Paper RWP 13-05, Federal Reserve Bank of Kansas City.
  107. Patrizio Pagano & Massimiliano Pisani, 2006. "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers) 585, Bank of Italy, Economic Research and International Relations Area.
  108. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013. "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers 13-113/III, Tinbergen Institute.
  109. Guillaume Chevillon & Sophocles Mavroeidis, 2013. "Learning generates Long Memory," Post-Print hal-00661012, HAL.
  110. Hubrich, Kirstin & West, Kenneth D., 2009. "Forecast evaluation of small nested model sets," Working Paper Series 1030, European Central Bank.
  111. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
  112. Alain Hecq & Sébastien Laurent & Franz C. Palm, 2011. "Common Intraday Periodicity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(2), pages 325-353, 2012 20 1.
  113. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
  114. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 27-42, March.
  115. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH Models," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.
  116. Pablo Pincheira B. & Nicolás Fernández, 2011. "Jaque Mate a las Proyecciones de Consenso," Working Papers Central Bank of Chile 630, Central Bank of Chile.
  117. Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013. "Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," Working Papers Series 330, Central Bank of Brazil, Research Department.
  118. Kopoin, Alexandre & Moran, Kevin & Paré, Jean-Pierre, 2013. "Forecasting regional GDP with factor models: How useful are national and international data?," Economics Letters, Elsevier, vol. 121(2), pages 267-270.
  119. Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Papers 2009-W12, Economics Group, Nuffield College, University of Oxford.
  120. Michael ARTIS & Ana Beatriz C. GALVÃO & Massimiliano MARCELLINO, 2003. "The transmission mechanism in a changing world," Economics Working Papers ECO2003/18, European University Institute.
  121. Javier Contreras-Reyes & Wilfredo Palma, 2013. "Statistical analysis of autoregressive fractionally integrated moving average models in R," Computational Statistics, Springer, vol. 28(5), pages 2309-2331, October.
  122. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  123. Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
  124. Javier Contreras-Reyes & Byron Idrovo, 2011. "En busca de un modelo Benchmark univariado para predecir la tasa de desempleo," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID.
  125. Jordà, Òscar & Taylor, Alan M., 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
  126. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., 2011. "Scoring rules and survey density forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 379-393, April.
  127. Park, Timothy A. & Gubanova, Tatiana & Lohr, Luanne & Escalante, Cesar L., 2005. "Forecasting Organic Food Prices: Testing and Evaluating Conditional Predictive Ability," 2005 Annual meeting, July 24-27, Providence, RI 19412, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  128. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  129. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics.
  130. Gupta, Rangan & Steinbach, Rudi, 2013. "A DSGE-VAR model for forecasting key South African macroeconomic variables," Economic Modelling, Elsevier, vol. 33(C), pages 19-33.
  131. Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics.
  132. Carlos A. Medel Vera, 2011. "¿Akaike o Schwarz? ¿Cuál utilizar para predecir el PIB chileno?," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 591-615, octubre-d.
  133. Costas Milas & Philip Rothman, 2007. "Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts," Working Paper Series 49-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  134. Siem Jan Koopman & Rutger Lit, 2012. "A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League," Tinbergen Institute Discussion Papers 12-099/III, Tinbergen Institute.
  135. Hajo Holzmann & Matthias Eulert, 2014. "The role of the information set for forecasting - with applications to risk management," Papers 1404.7653, arXiv.org.
  136. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods and Applications, Springer, vol. 18(4), pages 555-583, November.
  137. Andrea Monticini & Francesco Ravazzolo, 2011. "Forecasting the intraday market price of money," Working Paper 2011/06, Norges Bank.
  138. Genre, Véronique & Kenny, Geoff & Meyler, Aidan & Timmermann, Allan, 2013. "Combining expert forecasts: Can anything beat the simple average?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 108-121.
  139. Kirstin Hubrich, 2004. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Computing in Economics and Finance 2004 230, Society for Computational Economics.
  140. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
  141. Ghent, Andra C., 2009. "Comparing DSGE-VAR forecasting models: How big are the differences?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 864-882, April.
  142. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers 32462, Iowa State University, Department of Economics.
  143. José Julián Sidaoui & Carlos Capistrán & Daniel Chiquiar & Manuel Ramos Francia, 2009. "A Note on the Predictive Content of PPI over CPI Inflation: The Case of Mexico," Working Papers 2009-14, Banco de México.
  144. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
  145. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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