Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2020

• Sant’Anna, Leonardo Riegel & Caldeira, João Frois & Filomena, Tiago Pascoal, 2020, "Lasso-based index tracking and statistical arbitrage long-short strategies," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2019.101055.
• Chiu, Hsin-Yu & Chen, Ting-Fu, 2020, "Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2019.101112.
• Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020, "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101163.
• Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020, "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101165.
• Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020, "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2019.01.004.
• Sharma, Abhijit & Woodward, Richard & Grillini, Stefano, 2020, "Unconditional quantile regression analysis of UK inbound tourist expenditures," Economics Letters, Elsevier, volume 186, issue C, DOI: 10.1016/j.econlet.2019.108857.
• Karlsson, Sune & Österholm, Pär, 2020, "The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?," Economics Letters, Elsevier, volume 186, issue C, DOI: 10.1016/j.econlet.2019.108883.
• Feng, Yang & Liu, Qingfeng & Okui, Ryo, 2020, "On the sparsity of Mallows model averaging estimator," Economics Letters, Elsevier, volume 187, issue C, DOI: 10.1016/j.econlet.2019.108916.
• Wei, Jie & Chen, Hui, 2020, "Determining the number of factors in approximate factor models by twice K-fold cross validation," Economics Letters, Elsevier, volume 191, issue C, DOI: 10.1016/j.econlet.2020.109149.
• Kurita, Takamitsu, 2020, "Normalising cointegrating relationships subject to long-run exclusion," Economics Letters, Elsevier, volume 192, issue C, DOI: 10.1016/j.econlet.2020.109161.
• Tu, Yundong & Wang, Siwei, 2020, "Jackknife model averaging for expectile regressions in increasing dimension," Economics Letters, Elsevier, volume 197, issue C, DOI: 10.1016/j.econlet.2020.109607.
• Karlsson, Sune & Österholm, Pär, 2020, "A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States," Economics Letters, Elsevier, volume 197, issue C, DOI: 10.1016/j.econlet.2020.109622.
• Holt, Matthew T. & Teräsvirta, Timo, 2020, "Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 198-215, DOI: 10.1016/j.jeconom.2019.05.011.
• Lu, Xun & Su, Liangjun, 2020, "Determining individual or time effects in panel data models," Journal of Econometrics, Elsevier, volume 215, issue 1, pages 60-83, DOI: 10.1016/j.jeconom.2019.07.008.
• Inoue, Atsushi & Kilian, Lutz, 2020, "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 450-472, DOI: 10.1016/j.jeconom.2019.10.001.
• Martin, Gael M. & Nadarajah, K. & Poskitt, D.S., 2020, "Issues in the estimation of mis-specified models of fractionally integrated processes," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 559-573, DOI: 10.1016/j.jeconom.2019.09.007.
• Hansen, Lars Peter & Szőke, Bálint & Han, Lloyd S. & Sargent, Thomas J., 2020, "Twisted probabilities, uncertainty, and prices," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 151-174, DOI: 10.1016/j.jeconom.2020.01.011.
• Fan, Jianqing & Ke, Yuan & Wang, Kaizheng, 2020, "Factor-adjusted regularized model selection," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 71-85, DOI: 10.1016/j.jeconom.2020.01.006.
• Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020, "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 207-229, DOI: 10.1016/j.jeconom.2019.12.002.
• Lettau, Martin & Pelger, Markus, 2020, "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, volume 218, issue 1, pages 1-31, DOI: 10.1016/j.jeconom.2019.08.012.
• Bertanha, Marinho, 2020, "Regression discontinuity design with many thresholds," Journal of Econometrics, Elsevier, volume 218, issue 1, pages 216-241, DOI: 10.1016/j.jeconom.2019.09.010.
• Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2020, "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 390-418, DOI: 10.1016/j.jeconom.2020.04.022.
• Amengual, Dante & Carrasco, Marine & Sentana, Enrique, 2020, "Testing distributional assumptions using a continuum of moments," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 655-689, DOI: 10.1016/j.jeconom.2020.04.033.
• Kiviet, Jan F., 2020, "Microeconometric dynamic panel data methods: Model specification and selection issues," Econometrics and Statistics, Elsevier, volume 13, issue C, pages 16-45, DOI: 10.1016/j.ecosta.2019.08.003.
• Huang, Bai & Lee, Tae-Hwy & Ullah, Aman, 2020, "Combined estimation of semiparametric panel data models," Econometrics and Statistics, Elsevier, volume 15, issue C, pages 30-45, DOI: 10.1016/j.ecosta.2019.05.001.
• Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2020, "DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation," Econometrics and Statistics, Elsevier, volume 16, issue C, pages 1-27, DOI: 10.1016/j.ecosta.2018.12.002.
• Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2020, "Economic indicators and stock market volatility in an emerging economy," Economic Systems, Elsevier, volume 44, issue 2, DOI: 10.1016/j.ecosys.2020.100788.
• Maciejowska, Katarzyna, 2020, "Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.104532.
• Gong, Binlei, 2020, "Multi-dimensional interactions in the oilfield market: A jackknife model averaging approach of spatial productivity analysis," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2017.08.032.
• Okorie, David Iheke & Lin, Boqiang, 2020, "Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy," Energy Economics, Elsevier, volume 87, issue C, DOI: 10.1016/j.eneco.2020.104703.
• Marchese, Malvina & Kyriakou, Ioannis & Tamvakis, Michael & Di Iorio, Francesca, 2020, "Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104757.
• Bernstein, David H., 2020, "An updated assessment of technical efficiency and returns to scale for U.S. electric power plants," Energy Policy, Elsevier, volume 147, issue C, DOI: 10.1016/j.enpol.2020.111896.
• de Oliveira, Erick Meira & Cunha, Felipe Arias Fogliano de Souza & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus & Maçaira, Paula Medina, 2020, "On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework," International Review of Financial Analysis, Elsevier, volume 70, issue C, DOI: 10.1016/j.irfa.2020.101505.
• Ji, Qiang & Zhang, Dayong & Zhao, Yuqian, 2020, "Searching for safe-haven assets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, volume 71, issue C, DOI: 10.1016/j.irfa.2020.101526.
• Sobreira, Nuno & Louro, Rui, 2020, "Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market," Finance Research Letters, Elsevier, volume 32, issue C, DOI: 10.1016/j.frl.2019.01.010.
• Ballinari, Daniele & Behrendt, Simon, 2020, "Structural breaks in online investor sentiment: A note on the nonstationarity of financial chatter," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2020.101479.
• Pincheira-Brown, Pablo & Neumann, Federico, 2020, "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101380.
• Tölö, Eero, 2020, "Predicting systemic financial crises with recurrent neural networks," Journal of Financial Stability, Elsevier, volume 49, issue C, DOI: 10.1016/j.jfs.2020.100746.
• Zhang, Bo & Chan, Joshua C.C. & Cross, Jamie L., 2020, "Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts," International Journal of Forecasting, Elsevier, volume 36, issue 4, pages 1318-1328, DOI: 10.1016/j.ijforecast.2020.01.004.
• Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020, "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, volume 111, issue C, DOI: 10.1016/j.jbankfin.2019.105727.
• Gordy, Michael B. & McNeil, Alexander J., 2020, "Spectral backtests of forecast distributions with application to risk management," Journal of Banking & Finance, Elsevier, volume 116, issue C, DOI: 10.1016/j.jbankfin.2020.105817.
• Austin, Josh & Harris, Jeremiah & O'Brien, William, 2020, "Do the most prominent firms really make the worst deals? How selection issues affect inferences from M&A studies," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105888.
• Karimova, Amira & Simsek, Esra & Orhan, Mehmet, 2020, "Policy implications of the Lucas Critique empirically tested along the global financial crisis," Journal of Policy Modeling, Elsevier, volume 42, issue 1, pages 153-172, DOI: 10.1016/j.jpolmod.2019.06.003.
• Tsai, Pei-Hsuan, 2020, "Strategic evaluation criteria to assess competitiveness of the service industry in Taiwan," Journal of Policy Modeling, Elsevier, volume 42, issue 6, pages 1287-1309, DOI: 10.1016/j.jpolmod.2020.05.003.
• Inoue, Atsushi & Kuo, Chun-Hung & Rossi, Barbara, 2020, "Identifying the sources of model misspecification," Journal of Monetary Economics, Elsevier, volume 110, issue C, pages 1-18, DOI: 10.1016/j.jmoneco.2019.01.003.
• Gala, Vito D. & Gomes, Joao F. & Liu, Tong, 2020, "Investment without Q," Journal of Monetary Economics, Elsevier, volume 116, issue C, pages 266-282, DOI: 10.1016/j.jmoneco.2019.10.014.
• Naeem, Muhammad & Umar, Zaghum & Ahmed, Sheraz & Ferrouhi, El Mehdi, 2020, "Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 557, issue C, DOI: 10.1016/j.physa.2020.124885.
• Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2020, "Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, volume 77, issue C, pages 156-164, DOI: 10.1016/j.qref.2020.03.004.
• Zargar, Faisal Nazir & Kumar, Dilip, 2020, "Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis," The Quarterly Review of Economics and Finance, Elsevier, volume 77, issue C, pages 271-285, DOI: 10.1016/j.qref.2019.09.015.
• Vo, Duc Hong & Vo, Anh The & Ho, Chi Minh & Nguyen, Ha Minh, 2020, "The role of renewable energy, alternative and nuclear energy in mitigating carbon emissions in the CPTPP countries," Renewable Energy, Elsevier, volume 161, issue C, pages 278-292, DOI: 10.1016/j.renene.2020.07.093.
• Nilsen, Øivind A. & Raknerud, Arvid & Iancu, Diana-Cristina, 2020, "Public R&D support and firm performance: A multivariate dose-response analysis," Research Policy, Elsevier, volume 49, issue 7, DOI: 10.1016/j.respol.2020.104067.
• Chen, Wang & Ma, Feng & Wei, Yu & Liu, Jing, 2020, "Forecasting oil price volatility using high-frequency data: New evidence," International Review of Economics & Finance, Elsevier, volume 66, issue C, pages 1-12, DOI: 10.1016/j.iref.2019.10.014.
• Chen, W.D., 2020, "Liquidity, covered interest rate parity, and zero lower bound in Japan’s foreign exchange markets," International Review of Economics & Finance, Elsevier, volume 69, issue C, pages 334-349, DOI: 10.1016/j.iref.2020.05.007.
• Jung, Alexander, 2020, "An empirical analysis of loan supply and demand in the euro area," International Review of Economics & Finance, Elsevier, volume 70, issue C, pages 187-201, DOI: 10.1016/j.iref.2020.06.032.
• Ahmed, Walid M.A., 2020, "Stock market reactions to domestic sentiment: Panel CS-ARDL evidence," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101240.
• Gonçalves, Tânia & Lourenço-Gomes, Lina & Pinto, Lígia M. Costa, 2020, "Dealing with ignored attributes through an inferred approach in wine choice experiments," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 87, issue C, DOI: 10.1016/j.socec.2020.101551.
• Brancaccio, Emiliano & Califano, Andrea & Lopreite, Milena & Moneta, Alessio, 2020, "Nonperforming loans and competing rules of monetary policy: A statistical identification approach," Structural Change and Economic Dynamics, Elsevier, volume 53, issue C, pages 127-136, DOI: 10.1016/j.strueco.2020.02.001.
• Välilä, Timo, 2020, "Infrastructure and growth: A survey of macro-econometric research," Structural Change and Economic Dynamics, Elsevier, volume 53, issue C, pages 39-49, DOI: 10.1016/j.strueco.2020.01.007.
• Sam Ouliaris & Adrian Pagan, 2020, "Three Questions Regarding Impulse Responses and Their Interpretation Found from Sign Restrictions," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-101, Nov.
• Adrian Pagan & Tim Robinson, 2020, "Too many shocks spoil the interpretation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-28, Mar.
• Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2020, "The role of precautionary and speculative demand in the global market for crude oil," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-34, Apr.
• Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2020, "Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-69, Jul.
• Augustus J. Panton, 2020, "Climate Hysteresis and Monetary Policy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-76, Aug.
• Christiane Baumeister & Pierre Guerin, 2020, "A Comparison of Monthly Global Indicators for Forecasting Growth," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-93, Oct.
• Na Guo & Bo Zhang & Jamie Cross, 2020, "Time-Varying Trend Models for Forecasting Inflation in Australia," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-99, Nov.
• Den Haan, Wouter J. & Drechsel, Thomas, 2020, "Agnostic structural disturbances (ASDs) detecting and reducing misspecification in empirical macroeconomic models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103147, Jan.
• Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2020, "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118924, Jan.
• Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2020, "Sampling properties of the Bayesian posterior mean with anapplication to WALS estimation," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2003, revised Mar 2020.
• Paula Cruz-García & Anabel Forte & Jesús Peiró-Palomino, 2020, "On the drivers of profitability in the banking industry in restructuring times: a Bayesian perspective," Applied Economic Analysis, Emerald Group Publishing Limited, volume 28, issue 83, pages 111-131, June, DOI: 10.1108/AEA-01-2020-0003.
• Joshua C. C. Chan & Chenghan Hou & Thomas Tao Yang, 2020, "Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Cheng Hsiao", DOI: 10.1108/S0731-905320200000041008.
• Diego Rojas & Juan Estrada & Kim P. Huynh & David T. Jacho-Chávez, 2020, "Survival Analysis of Bank Note Circulation: Fitness, Network Structure, and Machine Learning," Advances in Econometrics, Emerald Group Publishing Limited, "The Econometrics of Networks", DOI: 10.1108/S0731-905320200000042018.
• Andrew Phiri, 2020, "Endogenous monetary approach to optimal inflation–growth nexus in Swaziland," African Journal of Economic and Management Studies, Emerald Group Publishing Limited, volume 11, issue 4, pages 559-571, March, DOI: 10.1108/AJEMS-07-2018-0217.
• Yan Li & Lian Luo & Chao Liang & Feng Ma, 2020, "The role of model bias in predicting volatility: evidence from the US equity markets," China Finance Review International, Emerald Group Publishing Limited, volume 13, issue 1, pages 140-155, October, DOI: 10.1108/CFRI-04-2020-0037.
• Mariano Gonzalez Sanchez & Sonia Rodriguez-Sanchez, 2020, "Comparative analysis of interest rate term structures in the Solvency II environment," Journal of Risk Finance, Emerald Group Publishing Limited, volume 22, issue 1, pages 16-33, July, DOI: 10.1108/JRF-04-2020-0067.
• Raymundo M. Campos Vázquez & Sergio E. López-Araiza B., 2020, "Grandes datos, Google y desempleo/Big Data, Google and Unemployment," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 35, issue 1, pages 125-151.
• Ibrahim Yousef & Esam Shehadeh, 2020, "The Impact of COVID-19 on Gold Price Volatility," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), volume 0, issue 4, pages 353-364.
• Simplice A. Asongu & Sara Le Roux & Pritam Singh, 2020, "Fighting terrorism in Africa: complementarity between inclusive development, military expenditure and political stability," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 20/004, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2020, "The role of Globalization in Modulating the Effect of Environmental Degradation on Inclusive Human Development," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 20/015, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2020, "Trade and FDI Thresholds of CO2 emissions for a Green Economy in Sub-Saharan Africa," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 20/072, Jan.
• Evzen Kocenda & Karen Poghosyan, 2020, "Nowcasting Real GDP Growth: Comparison between Old and New EU Countries," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2020/5, Feb, revised Feb 2020.
• Mark J. Jensen, 2020, "Measuring and Managing COVID-19 Model Risk," Policy Hub, Federal Reserve Bank of Atlanta, volume 2020, issue 7, pages 1-12, June, DOI: 10.29338/ph2020-07.
• Francesco Furlanetto & Paolo Gelain & Marzie Sanjani, 2020, "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Working Papers, Federal Reserve Bank of Cleveland, number 20-05, Feb, DOI: 10.26509/frbc-wp-202005.
• Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2020, "Variable Selection in High Dimensional Linear Regressions with Parameter Instability," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 394, Aug, revised 05 Aug 2024, DOI: 10.24149/gwp394r3.
• Lutz Kilian & Xiaoqing Zhou, 2020, "The Econometrics of Oil Market VAR Models," Working Papers, Federal Reserve Bank of Dallas, number 2006, Mar, DOI: 10.24149/wp2006.
• Atsushi Inoue & Lutz Kilian, 2020, "Joint Bayesian Inference about Impulse Responses in VAR Models," Working Papers, Federal Reserve Bank of Dallas, number 2022, Jul, DOI: 10.24149/wp2022.
• Lutz Kilian, 2020, "Understanding the Estimation of Oil Demand and Oil Supply Elasticities," Working Papers, Federal Reserve Bank of Dallas, number 2027, Sep, DOI: 10.24149/wp2027.
• Atsushi Inoue & Lutz Kilian, 2020, "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers, Federal Reserve Bank of Dallas, number 2030, Dec, DOI: 10.24149/wp2030.
• Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2020, "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," Working Paper Series, Federal Reserve Bank of San Francisco, number 2020-08, Feb, DOI: 10.24148/wp2020-08.
• Hess T. Chung & Cristina Fuentes-Albero & Matthias Paustian & Damjan Pfajfar, 2020, "Latent Variables Analysis in Structural Models: A New Decomposition of the Kalman Smoother," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-100, Dec, DOI: 10.17016/FEDS.2020.100.
• Giovanni Nicolo, 2020, "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-035, May, DOI: 10.17016/FEDS.2020.035.
• Nida Çakır Melek & Charles W. Calomiris & Harry Mamaysky, 2020, "Big Data Meets the Turbulent Oil Market," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 20-20, Dec, revised Nov 2022, DOI: 10.18651/RWP2020-20.
• Michael W. McCracken, 2020, "Tests of Conditional Predictive Ability: Existence, Size, and Power," Working Papers, Federal Reserve Bank of St. Louis, number 2020-050, Dec, DOI: 10.20955/wp.2020.050.
• Marco Barnabani, 2020, "Testing fixed and random effects in linear mixed models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2020_09, Dec.
• Emil Heesche & Mette Asmild, 2020, "Controlling for environmental conditions in regulatory benchmarking," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics, number 2020/03, Mar.
• Emil Heesche & Mette Asmild, 2020, "Incorporating quality in economic regulatory benchmarking," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics, number 2020/13, Nov.
• Wallimann, Hannes & Imhof, David & Huber, Martin, 2020, "A Machine Learning Approach for Flagging Incomplete Bid-rigging Cartels," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 513, Apr.
• Huber, Martin & Imhof, David, 2020, "Transnational machine learning with screens for flagging bid-rigging cartels," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 519, Oct.
• Cătălina Camelia Joldeș, 2020, "Impact of COVID-19 on the Romanian capital market: An assessment of BET index and shares BRD, SNP, TLV, FP & SNP," Journal of Financial Studies, Institute of Financial Studies, volume 9, issue 5, pages 101-123, November, DOI: 10.6084/m9.figshare.13621856.
• Andrew B. Martinez, 2020, "Forecast Accuracy Matters for Hurricane Damage," Econometrics, MDPI, volume 8, issue 2, pages 1-24, May.
• Gusarov, N. & Talebijmalabad, A. & Joly, I., 2020, "Exploration of model performances in the presence of heterogeneous preferences and random effects utilities awareness," Working Papers, Grenoble Applied Economics Laboratory (GAEL), number 2020-12.
• Prialé Zevallos, Rodrigo & Vásquez Cordano, Arturo Leonardo, 2020, "Country Competitiveness and Investment Allocation in the Mining Industry: A survey of the literature and new empirical evidence," Documentos de Trabajo, Escuela de Postgrado GERENS, number 004, Sep.
• Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020, "Energy Markets and Global Economic Conditions," Working Papers, Business School - Economics, University of Glasgow, number 2020_08, Feb.
• Gary Koop & Dimitris Korobilis, 2020, "Bayesian dynamic variable selection in high dimensions," Working Papers, Business School - Economics, University of Glasgow, number 2020_11, May.
• Dimitris Korobilis, 2020, "Sign restrictions in high-dimensional vector autoregressions," Working Papers, Business School - Economics, University of Glasgow, number 2020_21, Sep.
• La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020, "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:129395.
• Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020, "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:134136.
• Constantin Bürgi & Tara M. Sinclair, 2020, "What Does Forecaster Disagreement Tell Us about the State of the Economy?," Working Papers, The George Washington University, The Center for Economic Research, number 2020-001, Feb.
• Andrew B. Martinez, 2020, "Forecast Accuracy Matters for Hurricane Damages," Working Papers, The George Washington University, The Center for Economic Research, number 2020-003, May.
• Elena Ivona Dumitrescu & Peter Hansen, 2020, "How Should Parameter Estimation Be Tailored to the Objective?," Post-Print, HAL, number hal-03331109.
• Nikita Gusarov & Amirreza Talebijamalabad & Iragaël Joly, 2020, "Exploration of model performances in the presence of heterogeneous preferences and random effects utilities awareness," Working Papers, HAL, number hal-03019739, Oct.
• Denisa Banulescu-Radu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet, 2020, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Working Papers, HAL, number halshs-03088668, Dec, DOI: 10.2139/ssrn.3456052.
• Song, Zisheng & Wilhelmsson, Mats & Yang, Zan, 2020, "Constructing a rental housing index and identifying market segmentation in the case of Beijing, China," Working Paper Series, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, number 20/10, Sep.
• Karlsson, Sune & Mazur, Stepan, 2020, "Flexible Fat-tailed Vector Autoregression," Working Papers, Örebro University, School of Business, number 2020:5, Apr.
• Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020, "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers, Örebro University, School of Business, number 2020:13, Oct.
• Corbo, Vesna & Strid, Ingvar, 2020, "MAJA: A two-region DSGE model for Sweden and its main trading partners," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 391, Jul.
• Adrian Pagan & Tim Robinson, 2020, "Too Many Shocks Spoil the Interpretation," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2020n02, Feb.
• Thomas Jorgensen, 2020, "Sensitivity to Calibrated Parameters," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP16/20, May.
• Le-Yu Chen & Sokbae (Simon) Lee, 2020, "Sparse Quantile Regression," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP30/20, Jun.
• Sokbae (Simon) Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020, "Sparse HP filter: Finding kinks in the COVID-19 contact rate," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP32/20, Jun.
• Knorre, Fabian & Wagner, Martin & Grupe, Maximilian, 2020, "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions," IHS Working Paper Series, Institute for Advanced Studies, number 27, Dec.
• Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020, "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 20-E-09, Jul.
• Stephen J. Cole & Fabio Milani, 2020, "Heterogeneity in Individual Expectations, Sentiment, and Constant-Gain Learning," Working Papers, University of California-Irvine, Department of Economics, number 192005, May.
• Maximilian Gobel & Tanya Araújo, 2020, "Indicators of Economic Crises: A Data-Driven Clustering Approach," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2020/0128, May.
• de Boer, Henk-Wim & Jongen, Egbert L. W., 2020, "Analysing Tax-Benefit Reforms in the Netherlands: Using Structural Models and Natural Experiments," IZA Discussion Papers, IZA Network @ LISER, number 12892, Jan.
• Schlicht, Ekkehart, 2020, "VC - A Method For Estimating Time-Varying Coefficients in Linear Models," IZA Discussion Papers, IZA Network @ LISER, number 12920, Jan.
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• Gülgün ÇİĞDEM & Merve ALTAYLAR, 2020, "Cointegration Evidences From The New Fragile Five," JOURNAL OF LIFE ECONOMICS, Holistence Publications, volume 7, issue 3, pages 269-282, August, DOI: 10.15637/jlecon.7.020.
• Mawuli Segnon & Stelios Bekiros, 2020, "Forecasting volatility in bitcoin market," Annals of Finance, Springer, volume 16, issue 3, pages 435-462, September, DOI: 10.1007/s10436-020-00368-y.
• Saygin Sahinoz & Evren Erdogan Cosar, 2020, "Quantifying uncertainty and identifying its impacts on the Turkish economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 47, issue 2, pages 365-387, May, DOI: 10.1007/s10663-018-9424-8.
• Lynn Boen & Florence Guillaume, 2020, "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, volume 23, issue 1, pages 1-39, April, DOI: 10.1007/s11147-019-09155-y.
• Rajiv D. Banker & Dmitri Byzalov & Shunlan Fang & Byunghoon Jin, 2020, "Operating asymmetries and non-linear spline correction in discretionary accrual models," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 3, pages 803-850, April, DOI: 10.1007/s11156-019-00808-5.
• Robina Iqbal & Ghulam Sorwar & Rose Baker & Taufiq Choudhry, 2020, "Multiday expected shortfall under generalized t distributions: evidence from global stock market," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 3, pages 803-825, October, DOI: 10.1007/s11156-019-00860-1.
• Jan Alexander Fischer & Philipp Pohl & Dietmar Ratz, 2020, "A machine learning approach to univariate time series forecasting of quarterly earnings," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 4, pages 1163-1179, November, DOI: 10.1007/s11156-020-00871-3.
• Peter Stalder, 2020, "Schätzung des Potentialoutput und des Output Gap: Evaluation verschiedener Verfahren in der Anwendung auf die Schweiz," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, volume 14, issue 4, pages 34-55, December, DOI: 10.3929/ethz-b-000458777.
• Heiner Mikosch & Stefan Neuwirth, 2020, "KOFCASTs: Ein Projektbericht," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, volume 14, issue 4, pages 56-63, December, DOI: 10.3929/ethz-b-000458778.
• Thomas H. Jørgensen, 2021, "Sensitivity to Calibrated Parameters," CEBI working paper series, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI), number 20-14, Mar.
• Nanak Kakwani & Xiaobing Wang & Jing Xu & Ximing Yue, 2020, "Assessing the Social Welfare Effects of Government Transfer Programs: Some International Comparisons," LIS Working papers, LIS Cross-National Data Center in Luxembourg, number 786, Apr.
• David Forrest & J.D Tena & Carlos Varela-Quintana, 2020, "Who wins at the Chess Olympics? The role of resources and education capital," Working Papers, University of Liverpool, Department of Economics, number 202013, Apr.
• Andrejs Bessonovs & Olegs Krasnopjorovs, 2020, "Short-Term Inflation Projections Model and Its Assessment in Latvia," Working Papers, Latvijas Banka, number 2020/01, Jan.
• Boriss Siliverstovs & Daniel Wochner, 2020, "Recessions as Breadwinner for Forecasters State-Dependent Evaluation of Predictive Ability: Evidence from Big Macroeconomic US Data," Working Papers, Latvijas Banka, number 2020/02, Feb.
• Sakouvogui Kekoura, 2020, "Out-of-Sample Predictability of Economic Efficiency Measures of U.S. Banks: Evidence of Capital Adequacy Requirements," Review of Economics, De Gruyter, volume 71, issue 3, pages 197-222, December, DOI: 10.1515/roe-2020-0025.
• Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano, , "Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n304-20.pdf.
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• Ji Hyung Lee & Youngki Shin, 2020, "Complete Subset Averaging for Quantile Regressions," Department of Economics Working Papers, McMaster University, number 2020-03, Mar.
• Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020, "Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate," Department of Economics Working Papers, McMaster University, number 2020-06, Jun.
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• Ntombiyesibini Matonana & Andrew Phiri, 2020, "Convergence Dynamics between South Africa and Her Main Trading Partners," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 18, issue 1 (Spring, pages 25-44, DOI: 10.26493/1854-6935.18.25-44.
• Andrea Bastianin & Matteo Manera, 2020, "A test of time reversibility based on Lmoments with an application to the business cycles of the G7 economies," Working Papers, University of Milano-Bicocca, Department of Economics, number 445, Jun, revised Jun 2020.
• Alexander Glas & Matthias Hartmann, 2020, "Uncertainty measures from partially rounded probabilistic forecast surveys," Working Papers, University of Milano-Bicocca, Department of Economics, number 427, Jan, revised Jan 2020.
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• Cameron Roach & Rob J Hyndman & Souhaib Ben Taieb, 2020, "Nonlinear Mixed Effects Models for Time Series Forecasting of Smart Meter Demand," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 41/20.
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• Bradley Shapiro & Günter J. Hitsch & Anna Tuchman, 2020, "Generalizable and Robust TV Advertising Effects," NBER Working Papers, National Bureau of Economic Research, Inc, number 27684, Aug.
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• Smolyak, S., 2020, "The Poisson process of machinery degradation: Application to valuation," Journal of the New Economic Association, New Economic Association, volume 48, issue 4, pages 63-84, DOI: 10.31737/2221-2264-2020-48-4-3.
• Anton A. Gerunov, 2020, "Machine Learning Algorithms For Forecasting Asset Prices: An Application To The Housing Market," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, volume 17, issue 1, pages 27-42.
• Plakhotnik Olena, 2020, "Consideration of leasing as an effective tool in the system of effective activity of industrial enterprises," Technology audit and production reserves, Socionet;Technology audit and production reserves, volume 3, issue 4(53), pages 36-40.
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  [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," Review of Finance, European Finance Association, volume 24, issue 1, pages 45-98.
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• Arianna Agosto & Paolo Giudici & Emanuela Raffinetti, 2020, "A rank graduation accuracy measure," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 179, Jan.
• Daniel Felix Ahelegbey & Emmanuel Senyo Fianu & Luigi Grossi, 2020, "Modeling Risk Contagion in the Italian Zonal Electricity Market," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 182, Feb.
• Daniel Felix Ahelegbey & Paolo Giudici, 2020, "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 188, May.
• Daniel Felix Ahelegbey & Paolo Giudici, 2020, "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 192, Sep.
• Daniel Felix Ahelegbey, 2020, "A Statistical Measure of Global Equity Market Risk," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 194, Nov.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020, "Modeling Turning Points In Global Equity Market," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 195, Nov.
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• Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020, "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-019, May.
• Roberto S. Mariano & Suleyman Ozmucur, 2020, "Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)Abstract: We study how the separation of time and risk preferences relates to a behavioral property that generalizes ," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-029, Aug.