Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2019

• Mateusz Buczyński & Marcin Chlebus, 2019, "Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2019-12.
• Patrick Kline & Christopher R. Walters, 2019, "On Heckits, LATE, and Numerical Equivalence," Econometrica, Econometric Society, volume 87, issue 2, pages 677-696, March, DOI: 10.3982/ECTA15444.
• Michael W. McCracken & Joseph T. McGillicuddy, 2019, "An empirical investigation of direct and iterated multistep conditional forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 2, pages 181-204, March, DOI: 10.1002/jae.2668.
• Gabriele Fiorentini & Enrique Sentana, 2019, "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 3, pages 325-346, April, DOI: 10.1002/jae.2678.
• Matteo Barigozzi & Christian Brownlees, 2019, "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 3, pages 347-364, April, DOI: 10.1002/jae.2676.
• Florian Huber & Gregor Kastner & Martin Feldkircher, 2019, "Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 5, pages 621-640, August, DOI: 10.1002/jae.2680.
• João H. Gonçalves Mazzeu & Helena Veiga & Massimo B. Mariti, 2019, "Modeling and forecasting the oil volatility index," Journal of Forecasting, John Wiley & Sons, Ltd., volume 38, issue 8, pages 773-787, December, DOI: 10.1002/for.2598.
• Martín Almuzara & Dante Amengual & Enrique Sentana, 2019, "Normality tests for latent variables," Quantitative Economics, Econometric Society, volume 10, issue 3, pages 981-1017, July, DOI: 10.3982/QE859.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Environmental degradation and inclusive human development in sub‐Saharan Africa," Sustainable Development, John Wiley & Sons, Ltd., volume 27, issue 1, pages 25-34, January, DOI: 10.1002/sd.1858.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Inclusive development in environmental sustainability in sub‐Saharan Africa: Insights from governance mechanisms," Sustainable Development, John Wiley & Sons, Ltd., volume 27, issue 4, pages 713-724, July, DOI: 10.1002/sd.1936.
• Bartosz Uniejewski & Rafal Weron, 2019, "Regularized Quantile Regression Averaging for probabilistic electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/04, Nov.
• Christopher Kath & Weronika Nitka & Tomasz Serafin & Tomasz Weron & Przemyslaw Zaleski & Rafal Weron, 2019, "Balancing RES generation: Profitability of an energy trader," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/07, Dec.
• Katarzyna Maciejowska & Weronika Nitka & Tomasz Weron, 2019, "Enhancing load, wind and solar generation forecasts in day-ahead forecasting of spot and intraday electricity prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/08, Dec.
• Dakyung Seong & Jin Seo Cho & Timo Terasvirta, 2019, "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2019rwp-151, Nov.
• Oh, Ilfan, 2019, "Autonomy of profit rate distribution and its dynamics from firm size measures: A statistical equilibrium approach," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 146.
• Tölö, Eero, 2019, "Predicting systemic financial crises with recurrent neural networks," Bank of Finland Research Discussion Papers, Bank of Finland, number 14/2019.
• Eraslan, Sercan & Schröder, Maximilian, 2019, "Nowcasting GDP with a large factor model space," Discussion Papers, Deutsche Bundesbank, number 41/2019.
• Szomolányi, Karol & Lukáčik, Martin & Lukáčiková, Adriana, 2019, "Analysis of Asymmetry in Slovak Gasoline and Diesel Retail Market," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2019), Rovinj, Croatia, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb, "Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Rovinj, Croatia, 12-14 September 2019".
• Jackson, Emerson Abraham & Tamuke, Edmund, 2019, "Predicting disaggregated tourist arrivals in Sierra Leone using ARIMA model," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 202547.
• Jaramillo, Miguel, 2019, "The unprotecting effects of employment protection: the impact of the 2001 labor reform in Peru," GLO Discussion Paper Series, Global Labor Organization (GLO), number 299.
• Schlicht, Ekkehart, 2019, "VC - A method for estimating time-varying coefficients in linear models," Economics Discussion Papers, Kiel Institute for the World Economy, number 2019-22.
• Thompson, Erica L. & Smith, Leonard A., 2019, "Escape from model-land," Economics Discussion Papers, Kiel Institute for the World Economy, number 2019-23.
• Brighton, Henry, 2019, "Beyond quantified ignorance: Rebuilding rationality without the bias bias," Economics Discussion Papers, Kiel Institute for the World Economy, number 2019-25.
• Thompson, Erica L. & Smith, Leonard A., 2019, "Escape from model-land," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 13, pages 1-17, DOI: 10.5018/economics-ejournal.ja.2019-.
• Qian, Ya & Tu, Jun & Härdle, Wolfgang Karl, 2019, "Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-002.
• Kim, Alisa & Trimborn, Simon & Härdle, Wolfgang Karl, 2019, "VCRIX - a volatility index for crypto-currencies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-027.
• Claudio, João C. & Heinisch, Katja & Holtemöller, Oliver, 2019, "Nowcasting East German GDP growth: A MIDAS approach," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 24/2019.
• Liang, Chong & Schienle, Melanie, 2019, "Determination of vector error correction models in high dimensions," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 124, DOI: 10.5445/IR/1000092474.
• Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2019, "Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2019/10, DOI: 10.2139/ssrn.3435054.
• Dominika Moravcikova & Anna Krizanova, 2019, "The Effectiveness Of Facebook Promoting The Brands Of Slovak Wellness Hotels Based On The Dea Methodology," CBU International Conference Proceedings, ISE Research Institute, volume 7, issue 0, pages 221-227, September, DOI: 10.12955/cbup.v7.1365.
• Atefeh Hasan-Zadeh, 2019, "Mathematical Modelling Of Decision-Making Application To Investment," Advances in Decision Sciences, Asia University, Taiwan, volume 23, issue 2, pages 1-14, June.
• Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019, "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-04, Mar.
• Kristoffer Pons Bertelsen, 2019, "Comparing Tests for Identification of Bubbles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-16, Oct.
• Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019, "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-17, Nov.
• Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019, "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-18, Nov.
• Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019, "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-19, Nov.
• Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2019, "Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-21, Nov.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Inclusive development in environmental sustainability in sub-Saharan Africa: insights from governance mechanisms," Research Africa Network Working Papers, Research Africa Network (RAN), number 19/006, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Economic Development Thresholds for a Green Economy in Sub-Saharan Africa," Research Africa Network Working Papers, Research Africa Network (RAN), number 19/010, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Governance, CO2 emissions and Inclusive Human Development in Sub-Saharan Africa," Research Africa Network Working Papers, Research Africa Network (RAN), 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," Research Africa Network Working Papers, Research Africa Network (RAN), number 19/051, Jan.
• Simplice A. Asongu, 2019, "The persistence of global terrorism," Research Africa Network Working Papers, Research Africa Network (RAN), number 19/053, Jan.
• Simplice A. Asongu, 2019, "FDI in Selected Developing Countries: Evidence from Bundling and Unbundling Governance," Research Africa Network Working Papers, Research Africa Network (RAN), 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," Research Africa Network Working Papers, Research Africa Network (RAN), 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," Research Africa Network Working Papers, Research Africa Network (RAN), number 19/084, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Enhancing Governance for Environmental Sustainability in Sub-Saharan Africa," Research Africa Network Working Papers, Research Africa Network (RAN), number 19/090, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Inclusive development in environmental sustainability in sub-Saharan Africa: insights from governance mechanisms," CEREDEC Working Papers, Centre de Recherche pour le Développement Economique (CEREDEC), number 19/006, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Economic Development Thresholds for a Green Economy in Sub-Saharan Africa," CEREDEC Working Papers, Centre de Recherche pour le Développement Economique (CEREDEC), number 19/010, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Governance, CO2 emissions and Inclusive Human Development in Sub-Saharan Africa," CEREDEC Working Papers, Centre de Recherche pour le Développement Economique (CEREDEC), number 19/011, Jan.
• J.P. Florens & C. Gourieroux & A. Monfort, 2019, "Model Risk Management: Limits and Future of Bayesian Approaches," Annals of Economics and Statistics, GENES, issue 136, pages 1-26, DOI: 10.15609/annaeconstat2009.136.0001.
• Kfir Eliaz & Ran Spiegler, 2019, "The Model Selection Curse," American Economic Review: Insights, American Economic Association, volume 1, issue 2, pages 127-140, September.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Inclusive development in environmental sustainability in sub-Saharan Africa: insights from governance mechanisms," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 19/006, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Economic Development Thresholds for a Green Economy in Sub-Saharan Africa," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 19/010, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Governance, CO2 emissions and Inclusive Human Development in Sub-Saharan Africa," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., 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 of the African Governance and Development Institute., African Governance and Development Institute., number 19/051, Jan.
• Simplice A. Asongu, 2019, "The persistence of global terrorism," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 19/053, Jan.
• Simplice A. Asongu, 2019, "FDI in Selected Developing Countries: Evidence from Bundling and Unbundling Governance," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., 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 of the African Governance and Development Institute., African Governance and Development Institute., 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 of the African Governance and Development Institute., African Governance and Development Institute., number 19/084, Jan.
• Simplice A. Asongu & Nicholas M. Odhiambo, 2019, "Enhancing Governance for Environmental Sustainability in Sub-Saharan Africa," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 19/090, Jan.
• Ferguson, Shon & Smith, Aaron D., , "Import Demand Elasticities Based on Quantity Data: Theory, Evidence and Implications for the Gains from Trade," 2019 Annual Meeting, July 21-23, Atlanta, Georgia, Agricultural and Applied Economics Association, number 291070, DOI: 10.22004/ag.econ.291070.
• José Augusto Lopes Da Veiga & Alexandra Ferreira-Lopes & Tiago Neves Sequeira & Marcelo Serra Santos, 2019, "Explaining Growth in African Countries – What Matters?," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 69, issue 3, pages 467-484, September.
• László Kovács, 2019, "Applications of Metaheuristics in Insurance," Society and Economy, Akadémiai Kiadó, Hungary, volume 41, issue 3, pages 371-395, September.
• Dana Jašková, 2019, "Assessment Of Social Development In Slovakia In The Context Of Human Resources," Central European Journal of Labour Law and Personnel Management, Labour Law Association, volume 2, issue 2, DOI: 10.33382/cejllpm.2019.03.02.
• Жузбаев А.М. // Zhuzbayev A.M. & Орлов К.В. // Orlov K.V., 2019, "Использование квартальной прогностической модели и сателлитных моделей в системе анализа и прогнозирования НБ РК // Use of the quarterly predictive model and satellite models in the analysis and forecasting system of the NBK," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue special, pages 3-14.
• Орлов Константин // Orlov Konstantin, 2019, "Оценка и анализ эффективности применения динамической факторной модели для оценивания и прогнозирования ВВП на примере Казахстан // Evaluation and analysis of the effectiveness of the use of a dynamic factor model for estimating and forecasting GDP o," Working Papers, National Bank of Kazakhstan, number #2019-4.
• Adolfo Rodríguez-Vargas, 2019, "Univariate Forecasts for Costa Rican Inflation With Stochastic Volatility and GARCH Effects," Documentos de Trabajo, Banco Central de Costa Rica, number 1604, Jul.
• Alexey Balaev, 2019, "The structure of public spending and economic growth in Russia," Russian Journal of Economics, ARPHA Platform, volume 5, issue 2, pages 154-176, July, DOI: 10.32609/j.ruje.5.38705.
• Phillip Heiler & Jana Mareckova, 2019, "Shrinkage for Categorical Regressors," Papers, arXiv.org, number 1901.01898, Jan.
• Andreas Joseph, 2019, "From interpretability to inference: an estimation framework for universal approximators," Papers, arXiv.org, number 1903.04209, Mar, revised Dec 2024.
• Ali Habibnia & Esfandiar Maasoumi, 2019, "Forecasting in Big Data Environments: an Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet)," Papers, arXiv.org, number 1904.11145, Apr.
• Rob Donnelly & Francisco R. Ruiz & David Blei & Susan Athey, 2019, "Counterfactual Inference for Consumer Choice Across Many Product Categories," Papers, arXiv.org, number 1906.02635, Jun, revised Aug 2023.
• Jean-Bernard Chatelain & Kirsten Ralf, 2019, "Publish and Perish: Creative Destruction and Macroeconomic Theory," Papers, arXiv.org, number 1908.10680, Aug.
• Nail Kashaev & Bruno Salcedo, 2019, "Discerning Solution Concepts," Papers, arXiv.org, number 1909.09320, Sep.
• Francis X. Diebold & Glenn D. Rudebusch, 2019, "Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections," Papers, arXiv.org, number 1912.10774, Dec, revised Jul 2021.
• Ekaterina Tzvetanova, 2019, "Adaptation of the Altman’s Corporate Insolvency Prediction Model – The Bulgarian Case," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 125-142.
• Dany Brouillette & Marie-Noëlle Robitaille & Laurence Savoie-Chabot & Pierre St-Amant & Bassirou Gueye & Elise Martin, 2019, "The Trend Unemployment Rate in Canada: Searching for the Unobservable," Staff Working Papers, Bank of Canada, number 19-13, Mar, DOI: 10.34989/swp-2019-13.
• Gergely Ganics & Eva Ortega, 2019, "Las previsiones macroeconómicas del Banco de España a la luz de un modelo econométrico," Boletín Económico, Banco de España, issue SEP.
• Gergely Ganics & Eva Ortega, 2019, "Banco de España macroeconomic projections: comparison with an econometric model," Economic Bulletin, Banco de España, issue SEP.
• Federica Ciocchetta & Wanda Cornacchia, 2019, "Assessing financial stability risks from the real estate market in Italy: an update," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 493, Apr.
• Guerino Ardizzi & Simone Emiliozzi & Juri Marcucci & Libero Monteforte, 2019, "News and consumer card payments," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1233, Oct.
• Mirko Moscatelli & Simone Narizzano & Fabio Parlapiano & Gianluca Viggiano, 2019, "Corporate default forecasting with machine learning," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1256, Dec.
• Yiru Wang & Barbara Rossi, 2019, "VAR-Based Granger-Causality Test in the Presence of Instabilities," Working Papers, Barcelona School of Economics, number 1083, Apr.
• Adam Richardson & Thomas van Florenstein Mulder & Tugrul Vehbi, 2019, "Nowcasting New Zealand GDP using machine learning algorithms," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements, "The use of big data analytics and artificial intelligence in central banking".
• Vuković Marija & Pivac Snježana & Kundid Duje, 2019, "Technology Acceptance Model for the Internet Banking Acceptance in Split," Business Systems Research, Sciendo, volume 10, issue 2, pages 124-140, September, DOI: 10.2478/bsrj-2019-022.
• Denis Shibitov & Mariam Mamedli, 2019, "The finer points of model comparison in machine learning: forecasting based on russian banks’ data," Bank of Russia Working Paper Series, Bank of Russia, number wps43, Aug.
• Pablo Picardo, 2019, "Predicción de precios de vivienda: Aprendizaje estadístico con datos de oferta y transacciones para la ciudad de Montevideo," Documentos de trabajo, Banco Central del Uruguay, number 2019002.
• Simplice A. ASONGU & Jacinta NWACHUKWU & Nicholas BIEKPE, 2019, "Foreign Aid, Terrorism And Growth: Conditional Evidence From Quantile Regression," Annals of Public and Cooperative Economics, Wiley Blackwell, volume 90, issue 3, pages 457-486, September, DOI: 10.1111/apce.12235.
• Michael Donadelli & Antonio Paradiso & Max Riedel, 2019, "A Quasi Real‐Time Leading Indicator for the EU Industrial Production," Manchester School, University of Manchester, volume 87, issue 4, pages 510-542, July, DOI: 10.1111/manc.12233.
• Patrick Minford & Michael Wickens & Yongdeng Xu, 2019, "Testing Part of a DSGE Model by Indirect Inference," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 81, issue 1, pages 178-194, February, DOI: 10.1111/obes.12253.
• André K. Anundsen, 2019, "Detecting Imbalances in House Prices: What Goes Up Must Come Down?," Scandinavian Journal of Economics, Wiley Blackwell, volume 121, issue 4, pages 1587-1619, October, DOI: 10.1111/sjoe.12349.
• Andreas Joseph, 2019, "Parametric inference with universal function approximators," Bank of England working papers, Bank of England, number 784, Mar.
• Joel Suss & Henry Treitel, 2019, "Predicting bank distress in the UK with machine learning," Bank of England working papers, Bank of England, number 831, Oct.
• Samuel Bazzi & Robert A. Blair & Christopher Blattman & Oeindrila Dube & Matthew Gudgeon & Richard Peck, 2019, "The Promise and Pitfalls of Conflict Prediction: Evidence from Colombia and Indonesia," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics, number dp-328, Feb.
• Gibbons Charles E. & Suárez Serrato Juan Carlos & Urbancic Michael B., 2019, "Broken or Fixed Effects?," Journal of Econometric Methods, De Gruyter, volume 8, issue 1, pages 1-12, January, DOI: 10.1515/jem-2017-0002.
• Pacini David, 2019, "On the Size Distortion of a Test for Equality between the ATE and FE Estimands," Journal of Econometric Methods, De Gruyter, volume 8, issue 1, pages 1-4, January, DOI: 10.1515/jem-2018-0011.
• Tófoli Paula V. & Ziegelmann Flávio A. & Candido Osvaldo & Valls Pereira Pedro L., 2019, "Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)," Journal of Time Series Econometrics, De Gruyter, volume 11, issue 2, pages 1-34, July, DOI: 10.1515/jtse-2017-0016.
• Kurosaki Tetsuo & Kim Young Shin, 2019, "Foster-Hart optimization for currency portfolios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 23, issue 2, pages 1-15, April, DOI: 10.1515/snde-2017-0119.
• Audrino Francesco & Huang Chen & Okhrin Ostap, 2019, "Flexible HAR model for realized volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 23, issue 3, pages 1-22, June, DOI: 10.1515/snde-2017-0080.
• Vincent Vergnat, 2019, "Lutte contre la pauvreté et incitations à l’emploi : quelle politique pour les jeunes ?," Revue économique, Presses de Sciences-Po, volume 70, issue 4, pages 539-568.
• V A Hajivassiliou & Frédérique Savignac & Frédérique Savignac, 2019, "Novel Approaches to Coherency Conditions in Dynamic LDV Models: Quantifying Financing Constraints and a Firm's Decision and Ability to Innovate," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 606, Oct.
• V A Hajivassiliou, 2019, "Estimation and Specification Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 609, Sep.
• V A Hajivassiliou, 2019, "Switching Regressions with Imperfect Regime Classification Information: Theory and Applications," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 610, Nov.
• Jim Malley & Ulrich Woitek, 2019, "Estimated human capital externalities in an endogenous growth framework," CESifo Working Paper Series, CESifo, number 7603.
• Lutz Kilian, 2019, "Facts and Fiction in Oil Market Modeling," CESifo Working Paper Series, CESifo, number 7902.
• Tsutomu Watanabe & Tomoyoshi Yabu, 2019, "How Large is the Demand for Money at the ZLB? Evidence from Japan," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-465, Sep.
• Advani, Arun & Kitagawa, Toru & Sloczynski, Tymon, 2019, "Mostly Harmless Simulations? Using Monte Carlo Studies for Estimator Selection," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 411.
• Paul Schneider, 2019, "A Theory of Scenario Generation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-17, Mar.
• Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & O. Scaillet, 2019, "Saddlepoint Approximations for Spatial Panel Data Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-18, Mar, revised Mar 2019.
• Piotr Orłowski & Andras Sali & Fabio Trojani, 2019, "Arbitrage Free Dispersion," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-20, Jan, revised Apr 2019.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019, "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-46, Aug.
• Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-48, Sep.
• Luis Melo Velandia & Luis Fernando Melo Velandia, 2019, "Regresión cuantílica dinámica para la medición del valor en riesgo: Una aplicación a datos colombianos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 38, issue 76, pages 23-50.
• Susana Martínez-Restrepo & David Forero & Luisa Parra & Lina Forero, 2019, "Evaluación de resultados del Diplomado Eco Radio del Putumayo," Informes de Investigación, Fedesarrollo, number 18134, Mar.
• Kenkin Morales González & William Manjarr�s de �vila & Sadan de la Cruz Almanza, 2019, "Evaluación del Servicio Público de Empleo: sus efectos en la inserción laboral formal en el Área Metropolitana de Barranquilla, Colombia," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 211-239.
• Juan Pablo Alfonso Zorro, 2019, "Efectos de las variaciones del IPC en las decisiones financieras," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 17329, Jul.
• Juan Pablo Alfonso Zorro, 2019, "Efectos de las variaciones del IPC en las decisiones financieras
  [Effects of CPI Variations on Financial Decisions]," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 022731, Jul.
• Jorge Iván Pérez García & Mauricio Lopera Casta�o & Fredy Alonso V�squez Bedoya, 2019, "Una breve aplicación a la predicción de la fragilidad de empresas colombianas, mediante el uso de modelos estadísticos," Borradores Departamento de Economía, Universidad de Antioquia, CIE, number 17525, Sep.
• Zweimüller, Josef & Jäger, Simon & Schoefer, Benjamin, 2019, "Marginal Jobs and Job Surplus: A Test of the Efficiency of Separations," CEPR Discussion Papers, Centre for Economic Policy Research, number 13473, Jan.
• León-Ledesma, Miguel & Cantore, Cristiano & Ferroni, Filippo, 2019, "The Missing Link: Monetary Policy and The Labor Share," CEPR Discussion Papers, Centre for Economic Policy Research, number 13551, Feb.
• Blattman, Christopher & Dube, Oeindrila & Bazzi, Samuel & Gudgeon, Matthew & Peck, Richard & Blair, Robert, 2019, "The Promise and Pitfalls of Conflict Prediction: Evidence from Colombia and Indonesia," CEPR Discussion Papers, Centre for Economic Policy Research, number 13829, Jun.
• Kilian, Lutz, 2019, "Facts and Fiction in Oil Market Modeling," CEPR Discussion Papers, Centre for Economic Policy Research, number 14047, Oct.
• Wickens, Michael R. & Pagan, Adrian, 2019, "Checking if the Straitjacket Fits," CEPR Discussion Papers, Centre for Economic Policy Research, number 14140, Nov.
• Puga, Diego & Duranton, Gilles, 2019, "Urban growth and its aggregate implications," CEPR Discussion Papers, Centre for Economic Policy Research, number 14215, Dec.
• Delgado, Miguel A. & Arteaga-Molina, Luis A., 2019, "Testing Constancy in Varying Coefficient Models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 27981, Jan.
• Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28133, Jan.
• Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019, "Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28451, May.
• Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28638, Jul.
• Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019, "Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 29030, Oct.
• Christian Cortes García & Álvaro Cangrejo Esquive, 2019, "Modelo de volatilidad a los precios de cierre de la acción pfcemargos comprendidas entre 16/mayo/2013 al 31/mayo/2017," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 42, issue 119, pages 119-138, Mayo.
• José Carlos Casas del Rosal & David E. Casas del Rosal & José María Caridad y Ocerin & Julia Núñez Tabales, 2019, "Mercado inmobiliario de españa: Una herramienta para el análisis de la oferta," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 42, issue 120, pages 207-218, Diciembre.
• Raúl de Jesús Gutiérrez & Miriam Sosa Castro, 2019, "Predicción de la volatilidad en los mercados del petróleo mexicano a través de modelos CgarCH asimétricos bajo dos supuestos distribucionales," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 42, issue 120, pages 253-267, Diciembre.
• Zhang, Xinyu & Liu, Chu-An, 2019, "Inference After Model Averaging In Linear Regression Models," Econometric Theory, Cambridge University Press, volume 35, issue 4, pages 816-841, August.
• Fries, Sébastien & Zakoian, Jean-Michel, 2019, "Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles," Econometric Theory, Cambridge University Press, volume 35, issue 6, pages 1234-1270, December.
• Cole, Stephen J. & Milani, Fabio, 2019, "The Misspecification Of Expectations In New Keynesian Models: A Dsge-Var Approach," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue 3, pages 974-1007, April.
• Blagov, Boris & Funke, Michael, 2019, "The Regime-Dependent Evolution Of Credibility: A Fresh Look At Hong Kong'S Linked Exchange Rate System," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue 6, pages 2434-2468, September.
• Langlois, Hugues & Chaieb, Ines & Scaillet, O., 2018, "Time-Varying Risk Premia in Large International Equity Markets," HEC Research Papers Series, HEC Paris, number 1250, Jun, revised 29 May 2019.
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• Chaido Dritsaki & Pavlos Stamatiou, 2019, "Investigating the Impact of Market Openness on Economic Growth for Poland: An Autoregressive Distributed Lag Bounds Testing Approach to Cointegration," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 6, pages 123-131.
• Ali Nikzadian & Lotfali Agheli & Abbas Assari Arani & Hossein Sadeghi, 2019, "The Effects of Resource Rent, Human Capital and Government Effectiveness on Government Health Expenditure in Organization of the Petroleum Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 2, pages 381-389.
• Mariam Camarero & Laura Montolio & Cecilio Tamarit, 2019, "Determinants of German outward FDI: variable selection using Bayesian statistical," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1906, Sep.
• Mariam Camarero & Sergi Moliner & Cecilio Tamarit, 2019, "Searching The Us Fdi Determinants In The Eu: Is There A Euro Effect?," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1916, Nov.
• Iskrev, Nikolay, 2019, "What to expect when you're calibrating: Measuring the effect of calibration on the estimation of macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, volume 99, issue C, pages 54-81, DOI: 10.1016/j.jedc.2018.12.002.
• Ji, Jingru & Wang, Donghua & Xu, Dinghai, 2019, "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Economic Modelling, Elsevier, volume 80, issue C, pages 383-391, DOI: 10.1016/j.econmod.2018.11.022.
• Granville, Brigitte & Zeng, Ning, 2019, "Time variation in inflation persistence: New evidence from modelling US inflation," Economic Modelling, Elsevier, volume 81, issue C, pages 30-39, DOI: 10.1016/j.econmod.2018.12.004.
• Escribano, Ana & Maggi, Mario, 2019, "Intersectoral default contagion: A multivariate Poisson autoregression analysis," Economic Modelling, Elsevier, volume 82, issue C, pages 376-400, DOI: 10.1016/j.econmod.2019.01.020.
• Camarero, Mariam & Montolio, Laura & Tamarit, Cecilio, 2019, "What drives German foreign direct investment? New evidence using Bayesian statistical techniques," Economic Modelling, Elsevier, volume 83, issue C, pages 326-345, DOI: 10.1016/j.econmod.2019.08.017.
• Salisu, Afees A. & Isah, Kazeem & Akanni, Lateef O., 2019, "Improving the predictability of stock returns with Bitcoin prices," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 857-867, DOI: 10.1016/j.najef.2018.08.010.
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• Cerulli, Giovanni, 2019, "A flexible Synthetic Control Method for modeling policy evaluation," Economics Letters, Elsevier, volume 182, issue C, pages 40-44, DOI: 10.1016/j.econlet.2019.05.019.
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• Jin, Fei & Lee, Lung-fei, 2019, "GEL estimation and tests of spatial autoregressive models," Journal of Econometrics, Elsevier, volume 208, issue 2, pages 585-612, DOI: 10.1016/j.jeconom.2018.07.007.
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• Sant’Anna, Pedro H.C. & Song, Xiaojun, 2019, "Specification tests for the propensity score," Journal of Econometrics, Elsevier, volume 210, issue 2, pages 379-404, DOI: 10.1016/j.jeconom.2019.02.002.
• Hautsch, Nikolaus & Voigt, Stefan, 2019, "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 221-240, DOI: 10.1016/j.jeconom.2019.04.028.
• Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019, "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 4-25, DOI: 10.1016/j.jeconom.2019.04.018.
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• Giessing, Alexander & He, Xuming, 2019, "On the predictive risk in misspecified quantile regression," Journal of Econometrics, Elsevier, volume 213, issue 1, pages 235-260, DOI: 10.1016/j.jeconom.2019.04.013.
• Liu, Tuo & Lee, Lung-fei, 2019, "A likelihood ratio test for spatial model selection," Journal of Econometrics, Elsevier, volume 213, issue 2, pages 434-458, DOI: 10.1016/j.jeconom.2019.07.001.
• He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2019, "The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 1-24, DOI: 10.1016/j.ecosta.2019.05.005.
• Ghysels, Eric & Qian, Hang, 2019, "Estimating MIDAS regressions via OLS with polynomial parameter profiling," Econometrics and Statistics, Elsevier, volume 9, issue C, pages 1-16, DOI: 10.1016/j.ecosta.2018.02.001.
• Gourieroux, Christian & Jasiak, Joann, 2019, "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, volume 9, issue C, pages 17-41, DOI: 10.1016/j.ecosta.2018.07.001.
• Chadwick, Meltem Gulenay & Ozturk, Huseyin, 2019, "Measuring financial systemic stress for Turkey: A search for the best composite indicator," Economic Systems, Elsevier, volume 43, issue 1, pages 151-172, DOI: 10.1016/j.ecosys.2018.09.004.
• Iskrev, Nikolay, 2019, "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, volume 119, issue C, pages 318-332, DOI: 10.1016/j.euroecorev.2019.07.012.
• González-Astudillo, Manuel, 2019, "An output gap measure for the euro area: Exploiting country-level and cross-sectional data heterogeneity," European Economic Review, Elsevier, volume 120, issue C, DOI: 10.1016/j.euroecorev.2019.103301.
• Chen, Rongda & Xu, Jianjun, 2019, "Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model," Energy Economics, Elsevier, volume 78, issue C, pages 379-391, DOI: 10.1016/j.eneco.2018.11.011.
• Agnolucci, Paolo & Arvanitopoulos, Theodoros, 2019, "Industrial characteristics and air emissions: Long-term determinants in the UK manufacturing sector," Energy Economics, Elsevier, volume 78, issue C, pages 546-566, DOI: 10.1016/j.eneco.2018.12.005.
• Cheng, Fangzheng & Li, Tian & Wei, Yi-ming & Fan, Tijun, 2019, "The VEC-NAR model for short-term forecasting of oil prices," Energy Economics, Elsevier, volume 78, issue C, pages 656-667, DOI: 10.1016/j.eneco.2017.12.035.
• Bruns, Stephan B. & König, Johannes & Stern, David I., 2019, "Replication and robustness analysis of ‘energy and economic growth in the USA: A multivariate approach’," Energy Economics, Elsevier, volume 82, issue C, pages 100-113, DOI: 10.1016/j.eneco.2018.10.007.
• Cook, Steven & Fosten, Jack, 2019, "Replicating rockets and feathers," Energy Economics, Elsevier, volume 82, issue C, pages 139-151, DOI: 10.1016/j.eneco.2017.12.021.
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• Ji, Qiang & Bouri, Elie & Lau, Chi Keung Marco & Roubaud, David, 2019, "Dynamic connectedness and integration in cryptocurrency markets," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 257-272, DOI: 10.1016/j.irfa.2018.12.002.
• Shahzad, Syed Jawad Hussain & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2019, "Is Bitcoin a better safe-haven investment than gold and commodities?," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 322-330, DOI: 10.1016/j.irfa.2019.01.002.
• Chen, Zhongfei & Matousek, Roman & Stewart, Chris & Webb, Rob, 2019, "Do rating agencies exhibit herding behaviour? Evidence from sovereign ratings," International Review of Financial Analysis, Elsevier, volume 64, issue C, pages 57-70, DOI: 10.1016/j.irfa.2019.04.011.
• Chang, Chia-Lin & McAleer, Michael, 2019, "The fiction of full BEKK: Pricing fossil fuels and carbon emissions," Finance Research Letters, Elsevier, volume 28, issue C, pages 11-19, DOI: 10.1016/j.frl.2018.03.008.
• Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019, "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, volume 30, issue C, pages 187-193, DOI: 10.1016/j.frl.2018.09.014.
• Wei, Yu & Qin, Songkun & Li, Xiafei & Zhu, Sha & Wei, Guiwu, 2019, "Oil price fluctuation, stock market and macroeconomic fundamentals: Evidence from China before and after the financial crisis," Finance Research Letters, Elsevier, volume 30, issue C, pages 23-29, DOI: 10.1016/j.frl.2019.03.028.
• Saraev, Vadim & Valatin, Gregory & Peace, Andrew & Quine, Christopher, 2019, "How does a biodiversity value impact upon optimal rotation length? An investigation using species richness and forest stand age," Forest Policy and Economics, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.forpol.2019.05.013.
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• Kočenda, Evžen & Moravcová, Michala, 2019, "Exchange rate comovements, hedging and volatility spillovers on new EU forex markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 58, issue C, pages 42-64, DOI: 10.1016/j.intfin.2018.09.009.
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• Buncic, Daniel & Stern, Cord, 2019, "Forecast ranked tailored equity portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 63, issue C, DOI: 10.1016/j.intfin.2019.101138.
• McAdam, Peter & Warne, Anders, 2019, "Euro area real-time density forecasting with financial or labor market frictions," International Journal of Forecasting, Elsevier, volume 35, issue 2, pages 580-600, DOI: 10.1016/j.ijforecast.2018.10.013.
• Panagiotelis, Anastasios & Athanasopoulos, George & Hyndman, Rob J. & Jiang, Bin & Vahid, Farshid, 2019, "Macroeconomic forecasting for Australia using a large number of predictors," International Journal of Forecasting, Elsevier, volume 35, issue 2, pages 616-633, DOI: 10.1016/j.ijforecast.2018.12.002.