Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2020

• 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.
• Kettlewell, Nathan & Siminski, Peter, 2020, "Optimal Model Selection in RDD and Related Settings Using Placebo Zones," IZA Discussion Papers, IZA Network @ LISER, number 13639, Aug.
• Mariam Camarero & Sergi Moliner & Cecilio Tamarit, 2020, "Is there a euro effect in the drivers of US FDI? New evidence using Bayesian Model Averaging techniques," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2020/25.
• Gulgun CIÄDEM & 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.
• J. C. Arismendi-Zambrano & T. Ramos-Almeida & J. C. Reboredo & M. A. Rivera-Castro, 2020, "Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n305-20.pdf.
• 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.
• Evžen Kočenda & Karen Poghosyan, 2020, "Nowcasting Real GDP Growth: Comparison between Old and New EU Countries," Eastern European Economics, Taylor & Francis Journals, volume 58, issue 3, pages 197-220, May, DOI: 10.1080/00128775.2020.1726185.
• 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 & Marzio Galeotti & Matteo Manera, 2014, "Forecasting the oil-gasoline price relationship: should we care about the Rockets and the Feathers?," Working Papers, University of Milano-Bicocca, Department of Economics, number 269, Mar, revised Mar 2014.
• 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.
• 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.
• Gael M. Martin & David T. Frazier & Christian P. Robert, 2020, "Computing Bayes: Bayesian Computation from 1763 to the 21st Century," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/20.
• 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.
• Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020, "Energy Markets and Global Economic Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 27001, Apr.
• Beth Ann Griffin & Megan S. Schuler & Elizabeth A. Stuart & Stephen Patrick & Elizabeth McNeer & Rosanna Smart & David Powell & Bradley Stein & Terry Schell & Rosalie Liccardo Pacula, 2020, "Variation in Performance of Commonly Used Statistical Methods for Estimating Effectiveness of State-Level Opioid Policies on Opioid-Related Mortality," NBER Working Papers, National Bureau of Economic Research, Inc, number 27029, Apr.
• 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.
• Christiane Baumeister & Pierre Guérin, 2020, "A Comparison of Monthly Global Indicators for Forecasting Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 28014, Oct.
• Yacine Aït-Sahalia & Jean Jacod & Dacheng Xiu, 2020, "Inference on Risk Premia in Continuous-Time Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 28140, Nov.
• Francis X. Diebold & Glenn D. Rudebusch, 2020, "Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections," NBER Working Papers, National Bureau of Economic Research, Inc, number 28228, Dec.
• Joshua Angrist & Peter Hull & Parag A. Pathak & Christopher R. Walters, 2020, "Simple and Credible Value-Added Estimation Using Centralized School Assignment," NBER Working Papers, National Bureau of Economic Research, Inc, number 28241, Dec.
• Shane Lubold & Arun G. Chandrasekhar & Tyler H. McCormick, 2020, "Identifying the Latent Space Geometry of Network Models through Analysis of Curvature," NBER Working Papers, National Bureau of Economic Research, Inc, number 28273, Dec.
• 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.
• J. L’Hour, 2020, "L'econometrie en grande dimension," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number m2020-01.
• Helmut Elsinger, 2020, "Serial Correlation in Contingency Tables (Helmut Elsinger)," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 228, Mar.
• Bensch, Gunther & Gotz, Gunnar & Peters, Jörg, 2020, "Effects of Rural Electrification on Employment: A Comment on Dinkelman (2011)," MetaArXiv, Center for Open Science, number zhn9b, Oct, DOI: 10.31219/osf.io/zhn9b.
• Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle, 2020, "Pricing Cryptocurrency Options," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 250-279.
• Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 2020, "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 532-555.
• Axel Bücher & Peter N Posch & Philipp Schmidtke, 2020, "Using the Extremal Index for Value-at-Risk Backtesting," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 556-584.
• Jing-Zhi Huang & Zhan Shi & Hao Zhou, 2020, "Specification Analysis of Structural Credit Risk Models
  [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.
• Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020, "Empirical Asset Pricing via Machine Learning," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2223-2273.
• Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020, "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2274-2325.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020, "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2326-2377.
• Valentina Raponi & Cesare Robotti & Paolo Zaffaroni & Andrew Karolyi, 2020, "Testing Beta-Pricing Models Using Large Cross-Sections," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 6, pages 2796-2842.
• Sander Barendse & Andrew J. Patton, 2020, "Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter," Economics Series Working Papers, University of Oxford, Department of Economics, number 909, May.
• Boada, Antonio José & Alzate, Isabel Cristina, 2020, "Debilidad simétrica en los indicadores de gestión: consecuencias e impacto estructural || Symmetric weakness in Management Indicators: consequences and structural impact," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 29, issue 1, pages 319-336, June.
• Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2020, "Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0257, Jun.
• 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.
• Jean Pierre Fernández Prada Saucedo & Gabriel Rodríguez, 2020, "Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2020-484, DOI: 10.18800/2079-8474.0484.
• 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.
• Leonid Galchynskyi, 2020, "Estimation of the price elasticity of petroleum products’ consumption in Ukraine," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 15, issue 2, pages 315-339, June, DOI: 10.24136/eq.2020.015.
• Lucia Svabova & Katarina Kramarova & Jan Chutka & Lenka Strakova, 2020, "Detecting earnings manipulation and fraudulent financial reporting in Slovakia," Oeconomia Copernicana, Institute of Economic Research, volume 11, issue 3, pages 485-508, September, DOI: 10.24136/oc.2020.020.
• Korobilis, Dimitris & Koop, Gary, 2020, "Bayesian dynamic variable selection in high dimensions," MPRA Paper, University Library of Munich, Germany, number 100164, May.
• Bisin, Alberto & Moro, Andrea, 2020, "Learning Epidemiology by Doing: The Empirical Implications of a Spatial SIR Model with Behavioral Responses," MPRA Paper, University Library of Munich, Germany, number 101059, Jun.
• Phiri, Andrew, 2020, "Genetic diversity, disease prevalence and the coronavirus pandemic," MPRA Paper, University Library of Munich, Germany, number 101175, Jun.
• Bilgin, Cevat, 2020, "Asymmetric Effects of Exchange Rate Changes on Exports: A Sectoral Nonlinear Cointegration Analysis for Turkey," MPRA Paper, University Library of Munich, Germany, number 101316.
• Mullat, Joseph E., 2020, "Rational Choice Function Implementation for the German Stock Market Analysis," MPRA Paper, University Library of Munich, Germany, number 101591, Jul.
• Asongu, Simplice & Le Roux, Sara & Singh, Pritam, 2020, "Fighting terrorism in Africa: complementarity between inclusive development, military expenditure and political stability," MPRA Paper, University Library of Munich, Germany, number 103138, Jan.
• Asongu, Simplice & Odhiambo, Nicholas, 2020, "The role of Globalization in Modulating the Effect of Environmental Degradation on Inclusive Human Development," MPRA Paper, University Library of Munich, Germany, number 103143, Jan.
• Yadav, Jayant, 2020, "Flight to Safety in Business cycles," MPRA Paper, University Library of Munich, Germany, number 104093, Oct.
• Pacifico, Antonio, 2020, "Bayesian Fuzzy Clustering with Robust Weighted Distance for Multiple ARIMA and Multivariate Time-Series," MPRA Paper, University Library of Munich, Germany, number 104379.
• Pincheira, Pablo & Hardy, Nicolas, 2020, "The Mean Squared Prediction Error Paradox: A summary," MPRA Paper, University Library of Munich, Germany, number 105020, Dec.
• Pincheira, Pablo & Jarsun, Nabil, 2020, "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper, University Library of Munich, Germany, number 105056, Dec.
• Olalude, Gbenga Adelekan & Olayinka, Hammed Abiola & Ankeli, Uchechi Constance, 2020, "Modelling and forecasting inflation rate in Nigeria using ARIMA models," MPRA Paper, University Library of Munich, Germany, number 105342, revised Dec 2020.
• Muhammad, Fajar & Zelani, Nurfalah & Septiarida, Nonalisa, 2020, "Modeling of Poverty Determinants in Sumatera Island (Panel Regression Approach)," MPRA Paper, University Library of Munich, Germany, number 105876, Dec, revised 14 Dec 2020.
• Fajar, Muhammad & Winarti, Yuyun Guna, 2020, "Modeling of Big Chili Supply Response Using Bayesian Method," MPRA Paper, University Library of Munich, Germany, number 106098, Dec, revised 21 Dec 2020.
• Asongu, Simplice & Odhiambo, Nicholas, 2020, "Trade and FDI Thresholds of CO2 emissions for a Green Economy in Sub-Saharan Africa," MPRA Paper, University Library of Munich, Germany, number 107494, Jan.
• Das, Narasingha & Bera, Pinki, 2020, "Modelling cost function approach under panel data framework to estimate total factor productivity growth for the Indian manufacturing industries," MPRA Paper, University Library of Munich, Germany, number 108044, Aug.
• Maiorova, Ksenia & Fokin, Nikita, 2020, "Наукастинг Темпов Роста Стоимостных Объемов Экспорта И Импорта По Товарным Группам
  [Nowcasting the growth rates of the export and import by commodity groups]," MPRA Paper, University Library of Munich, Germany, number 109557, Jun.
• Desogus, Marco, 2020, "The stochastic dynamics of business evaluations using Markov models," MPRA Paper, University Library of Munich, Germany, number 114361.
• Jackson, Emerson Abraham, 2020, "Understanding SLL / US$ exchange rate dynamics in Sierra Leone using Box-Jenkins ARIMA approach," MPRA Paper, University Library of Munich, Germany, number 97965, Jan, revised 03 Jan 2020.
• Oguzhan Cepni & Rangan Gupta & Yigit Onay, 2020, "The Role of Investor Sentiment in Forecasting Housing Returns in China: A Machine Learning Approach," Working Papers, University of Pretoria, Department of Economics, number 202055, Jun.
• David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020, "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers, University of Pretoria, Department of Economics, number 202065, Jul.
• Tomáš Jerábek, 2020, "The Efficiency of GARCH Models in Realizing Value at Risk Estimates," ACTA VSFS, University of Finance and Administration, volume 14, issue 1, pages 32-50.
• Timothy B. Armstrong & Michal Kolesár, 2020, "Sensitivity Analysis using Approximate Moment Condition Models," Working Papers, Princeton University. Economics Department., number 2020-28, Jul.
• Michał Majsterek & Emilia Gosińska, 2020, "Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 12, issue 4, pages 317-345, December.
• Victor Bystrov, 2020, "Identification and Estimation of Initial Conditions in Non-Minimal State-Space Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 12, issue 4, pages 413-429, December.
• Steven Lehrer & Tian Xie, 2020, "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," Working Paper, Economics Department, Queen's University, number 1449, Oct.
• Alex Bryson & Peter Dolton & J James Reade & Dominik Schreyer & Carl Singleton, 2020, "Experimental effects of an absent crowd on performance and refereeing decisions during Covid-19," DoQSS Working Papers, Quantitative Social Science - UCL Social Research Institute, University College London, number 20-04, Aug.
• Chelsea Gray & Kirstine Hansen, 2020, "Did Covid-19 lead to an increase in hate crimes towards Chinese people in London?," DoQSS Working Papers, Quantitative Social Science - UCL Social Research Institute, University College London, number 20-05, Aug.
• Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2020, "Online Appendix to "Output Gap, Monetary Policy Trade-offs, and Financial Frictions"," Online Appendices, Review of Economic Dynamics, number 20-29.
• Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2020, "Code and data files for "Monetary Policy and Macroeconomic Stability Revisited"," Computer Codes, Review of Economic Dynamics, number 19-271, revised .
• Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2020, "Code and data files for "Output Gap, Monetary Policy Trade-offs, and Financial Frictions"," Computer Codes, Review of Economic Dynamics, number 20-29, revised .
• Villamizar-Villegas, Mauricio & Pinzón-Puerto, Freddy A. & Ruiz-Sánchez, María Alejandra, 2020, "A Comprehensive History of Regression Discontinuity Designs: An Empirical Survey of the last 60 Years," Working papers, Red Investigadores de Economía, number 38, Apr.
• Jean-Marie Dufour & Abdeljelil Farhat & Lynda Khalaf, 2020, "Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression," L'Actualité Economique, Société Canadienne de Science Economique, volume 96, issue 4, pages 545-566.
• Fela Ozbey & Semin Paksoy, 2020, "Estimation of the XU100 Index Return Volatility with the Integration of GARCH Family Models and ANN," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 11, issue 2, pages 385-396.
• Kriti Mahajan & Anand Srinivasan, 2020, "Inflation Forecasting In Emerging Markets: A Machine Learning Approach," Working Papers, Centre for Advanced Financial Research and Learning (CAFRAL), number 022296, Feb.
• Sailesh Bhaghoe & Gavin Ooft, 2020, "Modelling Exchange-Rate Volatility With Commodity Prices," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 165, Oct.
• Yue Qiu & Tian Xie & Jun Yu, 2020, "Forecast combinations in machine learning," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2020, May.
• Nikola RADIVOJEVIĆ & Luka FILIPOVI & Тomislav D. BRZAKOVIĆ, 2020, "A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 5-21, March.
• Emilian DOBRESCU, 2020, "Self-fulfillment degree of economic expectations within an integrated space: The European Union case study," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 5-32, December.
• Tommaso Proietti & Alessandro Giovannelli, 2020, "Nowcasting Monthly GDP with Big Data: a Model Averaging Approach," CEIS Research Paper, Tor Vergata University, CEIS, number 482, May, revised 12 May 2020.
• Alessandro Giovannelli & Tommaso Proietti & Ambra Citton & Ottavio Ricchi & Cristian Tegami & Cristina Tinti, 2020, "Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach," CEIS Research Paper, Tor Vergata University, CEIS, number 489, May, revised 30 May 2020.
• Augusto Cerqua & Roberta Di Stefano & Marco Letta & Sara Miccoli, 2020, "Local mortality estimates during the COVID-19 pandemic in Italy," Working Papers, Sapienza University of Rome, DISS, number 14/20, Jul.
• Guido de Blasio & Alessio D'Ignazio & Marco Letta, 2020, "Predicting Corruption Crimes with Machine Learning. A Study for the Italian Municipalities," Working Papers, Sapienza University of Rome, DISS, number 16/20, Sep.
• In Choi & Rui Lin & Yongcheol Shin, 2020, "Canonical Correlation-based Model Selection for the Multilevel Factors," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 2008.
• In Choi & Rui Lin & Yongcheol Shin, 2020, "Online Appendix for Canonical Correlation-based Model Selection for the Multilevel Factors," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 2009.
• Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020, "Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate," Working Paper Series, Institute of Economic Research, Seoul National University, number no136, Jun.
• Sinem Güler KANGALLI-UYAR, 2020, "The Matrix Exponential Spatial Specification Approach for Big Datasets: The Analysis of Istanbul Office Market," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(43).
• Julie Le Gallo & Fernando A. López & Coro Chasco, 2020, "Testing for spatial group-wise heteroskedasticity in spatial autocorrelation regression models: Lagrange multiplier scan tests," The Annals of Regional Science, Springer;Western Regional Science Association, volume 64, issue 2, pages 287-312, April, DOI: 10.1007/s00168-019-00919-w.
• Laura Garcia-Jorcano & Alfonso Novales, 2020, "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, volume 35, issue 3, pages 1411-1448, September, DOI: 10.1007/s00180-020-00990-4.
• Arianna Agosto & Paolo Giudici, 2020, "COVID-19 contagion and digital finance," Digital Finance, Springer, volume 2, issue 1, pages 159-167, September, DOI: 10.1007/s42521-020-00021-3.
• Chris Heaton & Natalia Ponomareva & Qin Zhang, 2020, "Forecasting models for the Chinese macroeconomy: the simpler the better?," Empirical Economics, Springer, volume 58, issue 1, pages 139-167, January, DOI: 10.1007/s00181-019-01788-0.
• João C. Claudio & Katja Heinisch & Oliver Holtemöller, 2020, "Nowcasting East German GDP growth: a MIDAS approach," Empirical Economics, Springer, volume 58, issue 1, pages 29-54, January, DOI: 10.1007/s00181-019-01810-5.
• Jacek Osiewalski & Justyna Wróblewska & Kamil Makieła, 2020, "Bayesian comparison of production function-based and time-series GDP models," Empirical Economics, Springer, volume 58, issue 3, pages 1355-1380, March, DOI: 10.1007/s00181-018-1575-8.
• Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020, "Expiration day effects on European trading volumes," Empirical Economics, Springer, volume 58, issue 4, pages 1603-1638, April, DOI: 10.1007/s00181-019-01627-2.
• László Kónya, 2020, "Did the unemployment rates converge in the EU?," Empirical Economics, Springer, volume 59, issue 2, pages 627-657, August, DOI: 10.1007/s00181-019-01678-5.
• Sauveur Giannoni & Juan M. Hernández & Jorge V. Pérez-Rodríguez, 2020, "Economic growth and market segment choice in tourism-based economies," Empirical Economics, Springer, volume 59, issue 3, pages 1435-1452, September, DOI: 10.1007/s00181-019-01668-7.
• Kenneth R. Szulczyk & Changyong Zhang, 2020, "Switching-regime regression for modeling and predicting a stock market return," Empirical Economics, Springer, volume 59, issue 5, pages 2385-2403, November, DOI: 10.1007/s00181-019-01763-9.
• Gianna Figà-Talamanca & Marco Patacca, 2020, "Disentangling the relationship between Bitcoin and market attention measures," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 47, issue 1, pages 71-91, March, DOI: 10.1007/s40812-019-00133-x.
• Yaohao Peng & Lucas Ferreira Mation, 2020, "The Challenge of Pairing Big Datasets: Probabilistic Record Linkage Methods and Diagnosis of Their Empirical Viability," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), volume 16, issue 1, pages 35-57, April, DOI: 10.1007/s41549-020-00043-1.
• James R. Bland, 2020, "Heterogeneous trembles and model selection in the strategy frequency estimation method," Journal of the Economic Science Association, Springer;Economic Science Association, volume 6, issue 2, pages 113-124, December, DOI: 10.1007/s40881-020-00097-y.
• Brian Albert Monroe, 2020, "The statistical power of individual-level risk preference estimation," Journal of the Economic Science Association, Springer;Economic Science Association, volume 6, issue 2, pages 168-188, December, DOI: 10.1007/s40881-020-00098-x.

2019

• Bai Huang & Tae-Hwy Lee & Aman Ullah, 2019, "Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects," Advances in Econometrics, Emerald Group Publishing Limited, "Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A", DOI: 10.1108/S0731-90532019000040A011.
• Wanglin Ma & Awudu Abdulai, 2018, "IPM adoption, cooperative membership and farm economic performance," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 11, issue 2, pages 218-236, September, DOI: 10.1108/CAER-12-2017-0251.
• Stan Hurn & Kenneth A. Lindsay & Lina Xu, 2019, "Revisiting the numerical solution of stochastic differential equations," China Finance Review International, Emerald Group Publishing Limited, volume 9, issue 3, pages 312-323, August, DOI: 10.1108/CFRI-12-2018-0155.
• Cleiton Rodrigues de Vasconcelos & Daniel Pereira da Silva, 2019, "Intellectual property challenges for the roads of innovation in Brazil," Innovation & Management Review, Emerald Group Publishing Limited, volume 16, issue 2, pages 185-192, April, DOI: 10.1108/INMR-02-2019-0010.
• Simplice Asongu & Jacinta Nwachukwu & Sara le Roux, 2019, "The role of inclusive development and military expenditure in modulating the effect of terrorism on governance," Journal of Economic Studies, Emerald Group Publishing Limited, volume 46, issue 3, pages 681-709, August, DOI: 10.1108/JES-11-2017-0343.
• Vo, D.H. & Nguyen, H.M. & Vo, A.T. & McAleer, M.J., 2019, "CO2 Emissions, Energy Consumption and Economic Growth," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-11, Mar.
• McAleer, M.J., 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-13, Mar.
• Fok, D. & Paap, R., 2019, "New Misspecification Tests for Multinomial Logit Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-24, Jun.
• Bhaghoe, S. & Ooft, G. & Franses, Ph.H.B.F., 2019, "Estimates of quarterly GDP growth using MIDAS regressions," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-29, Aug.
• Muhammad Jahanzeb Malik & Muhammad Nadim Hanif, 2019, "Learning from Errors While Forecasting Inflation: A Case for Intercept Correction," International Econometric Review (IER), Economic Research Association, volume 11, issue 1, pages 24-38, April.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Inclusive development in environmental sustainability in sub-Saharan Africa: insights from governance mechanisms," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 19/006, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Economic Development Thresholds for a Green Economy in Sub-Saharan Africa," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 19/010, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Governance, CO2 emissions and Inclusive Human Development in Sub-Saharan Africa," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 19/011, Jan.
• Simplice A. Asongu & Rexon T. Nting & Joseph Nnanna, 2019, "Linkages between Globalisation, Carbon dioxide emissions and Governance in Sub-Saharan Africa," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 19/051, Jan.
• Simplice A. Asongu, 2019, "The persistence of global terrorism," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 19/053, Jan.
• Simplice A. Asongu, 2019, "FDI in Selected Developing Countries: Evidence from Bundling and Unbundling Governance," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 19/057, Jan.
• Samuel Egbetokun & Evans S. Osabuohien & Temidayo Akinbobola & Olaronke Onanuga & Obindah Gershon & Victoria Okafor, 2019, "Environmental Pollution, Economic Growth and Institutional Quality: Exploring the Nexus in Nigeria," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 19/059, Jan.
• Simplice A. Asongu & Vanessa S. Tchamyou & Ndemaze Asongu & Nina P. Tchamyou, 2019, "Fighting terrorism in Africa when existing terrorism levels matter," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 19/084, Jan.