Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2016

• Gualberto Zubieta Huaygua, 2016, "Análisis de los efectos de la inflación en el crecimiento económico: evidencia para la economía boliviana," Revista de Análisis del BCB, Banco Central de Bolivia, volume 24, issue 1, pages 9-47, June.
• André K. Anundsen, 2016, "Detecting imbalances in house prices: What goes up must come down?," Working Paper, Norges Bank, number 2016/11, Aug.
• Yuto Iwasaki & Sohei Kaihatsu, 2016, "Measuring Underlying Inflation Using Dynamic Model Averaging," Bank of Japan Working Paper Series, Bank of Japan, number 16-E-8, Jun.
• Button Patrick, 2016, "Model Uncertainty and Model Averaging in Regression Discontinuity Designs," Journal of Econometric Methods, De Gruyter, volume 5, issue 1, pages 103-116, January, DOI: 10.1515/jem-2014-0016.
• Nguimkeu Pierre, 2016, "An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models," Journal of Time Series Econometrics, De Gruyter, volume 8, issue 1, pages 41-54, January, DOI: 10.1515/jtse-2014-0036.
• Silvennoinen Annastiina & Teräsvirta Timo, 2016, "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 4, pages 347-364, September, DOI: 10.1515/snde-2015-0033.
• Ericsson Neil R., 2016, "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 4, pages 377-398, September, DOI: 10.1515/snde-2015-0104.
• Christopher L. Skeels & Frank Windmeijer, 2016, "On the Stock-Yogo Tables," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 16/679, Nov, revised 25 Nov 2016.
• Philippe Bernard & Najat El Mekkaoui de Freitas & Bertrand Maillet & Alejandro Modesto, 2016, "D’un indice de détection d’anomalies à l’usage des investisseurs," Revue économique, Presses de Sciences-Po, volume 67, issue 5, pages 1037-1056.
• Christophe Boucher & Patrick Kouontchou & Bertrand Maillet, 2016, "Du risque des mesures de risque systémique," Revue économique, Presses de Sciences-Po, volume 67, issue 2, pages 263-278.
• A. Chudik & G. Kapetanios & M. Hashem Pesaran, 2016, "Big Data Analytics: A New Perspective," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1611, Feb.
• Chudik, A. & Kapetanios, G. & Pesaran, Hashem, 2016, "A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1677, Dec.
• Hossein Kavand & Marcel-Cristian Voia, 2016, "Estimation of Health Care Demand and its Implication on Income Effects of Individuals," Carleton Economic Papers, Carleton University, Department of Economics, number 16-01, Jan, revised 26 Jun 2017.
• Karen Poghosyan, 2016, "A Comparison of Different Short-Term Macroeconomic Forecasting Models: Evidence from Armenia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 2, pages 81-99.
• Philip Gunby & Yinghua Jin, 2016, "Determinants of Chinese Government Size: An Extreme Bounds Analysis," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/25, Nov.
• Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016, "Testing part of a DSGE model by Indirect Inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2016/12, Dec.
• Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016, "What is the truth about DSGE models? Testing by indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2016/14, Dec.
• Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016, "Comparing different data descriptors in Indirect Inference tests on DSGE models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2016/5, May.
• Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2016, "Impulse Response Matching Estimators for DSGE Models," CESifo Working Paper Series, CESifo, number 5730.
• Atsushi Inoue & Lutz Kilian, 2016, "Joint Confidence Sets for Structural Impulse Responses," CESifo Working Paper Series, CESifo, number 5746.
• Alexander Chudik & George Kapetanios & M. Hashem Pesaran, 2016, "Big Data Analytics: A New Perspective," CESifo Working Paper Series, CESifo, number 5824.
• Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Nemla Ali & Coskun Akdeniz, 2016, "Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?," CESifo Working Paper Series, CESifo, number 5965.
• Stephen J. Cole & Fabio Milani, 2016, "The Misspecification of Expectations in New Keynesian Models: A DSGE-VAR Approach," CESifo Working Paper Series, CESifo, number 6099.
• Sindre Lorentzen & Petter Osmundsen, 2016, "Forecastability and Statistical Characteristics of Aggregate Oil and Gas Investments on the Norwegian Continental Shelf," CESifo Working Paper Series, CESifo, number 6113.
• Robert Lehmann & Klaus Wohlrabe, 2016, "Boosting und die Prognose der deutschen Industrieproduktion: Was verrät uns der Blick in die Details?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 69, issue 03, pages 30-33, February.
• Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter, 2016, "VAR Models with Non-Gaussian Shocks," Discussion Papers, Centre for Macroeconomics (CFM), number 1609, Feb.
• Paul Schneider, 2015, "An Anatomy of the Equity Premium," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-61, Dec.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016, "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-51, Aug, revised Dec 2016.
• Li Lin & Didier Sornette, 2016, "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-61, Oct.
• Firmin Doko Tchatoka & Jean-Marie Dufour, 2016, "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory," CIRANO Working Papers, CIRANO, number 2016s-62, Dec.
• Jean-Marie Dufour & Richard Luger, 2016, "Identification-robust moment-based tests for Markov-switching in autoregressive models," CIRANO Working Papers, CIRANO, number 2016s-63, Dec.
• Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2016, "Modelación de la asimetría y la curtosis condicionales en series financieras colombianas," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, volume 76.
• Santiago Gamba Santamar�a & Oscar Fernando Jaul�n M�ndez & Luis Fernando Melo Velandia & Carlos Andr�s Quicaz�n Moreno, 2016, "Comparison of Methods for Estimating the Uncertainty of Value at Risk," Borradores de Economia, Banco de la Republica, number 14263, Feb.
• Hern�n Rinc�n-Castro & Norberto Rodr�guez-Ni�o, 2016, "Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach," Borradores de Economia, Banco de la Republica, number 14299, Mar.
• Alexander Guar�n-L�pez & Ignacio Lozano-Espitia, 2016, "Credit Funding and Banking Fragility: An Empirical Analysis for Emerging Economies," Borradores de Economia, Banco de la Republica, number 14306, Mar.
• Marisol Valencia Cárdenas & Juan Gabriel Vanegas L�pez & Juan Carlos Correa Morales & Jorge An�bal Restrepo Morales, 2016, "Comparación de pronósticos para la dinámica del turismo en Medellín, Colombia," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 86, pages 199-230.
• Miller Ariza, 2016, "Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-46.
• BERTANHA, Marinho, 2016, "Regression Discontinuity Design with Many Thresholds," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016026, Apr.
• Rossi, Barbara & Carrasco, Marine, 2016, "In-sample Inference and Forecasting in Misspecified Factor Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11388, Jul.
• Rossi, Barbara & Sekhposyan, Tatevik, 2016, "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11391, Jul.
• Rossi, Barbara & Sekhposyan, Tatevik & Soupré, Mattheiu, 2016, "Understanding the Sources of Macroeconomic Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11415, Jul.
• Christian Gouriéroux & Joann Jasiak, 2016, "Robust Analysis of the Martingale Hypothesis," Working Papers, Center for Research in Economics and Statistics, number 2016-18, Apr.
• Jérémy L'Hour, 2016, "Distinguishing the Confounding Factors: Policy Evaluation, High-Dimension and Variable Selection," Working Papers, Center for Research in Economics and Statistics, number 2016-23, Jun.
• Blazsek, Szabolcs & Escribano, Álvaro, 2016, "Score-driven dynamic patent count panel data models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 23458, Jul.
• Marcos Álvarez-Díaz & Manuel González-Gómez & María Soledad Otero-Giráldez, 2016, "La modelización de la demanda de turismo de economías emergentes: el caso de la llegada de turistas rusos a España," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 39, issue 110, pages 112-125, Mayo.
• Ashton, Robert H., 2016, "The Value of Expert Opinion in the Pricing of Bordeaux Wine Futures," Journal of Wine Economics, Cambridge University Press, volume 11, issue 2, pages 261-288, August.
• Barnett, William A. & Eryilmaz, Unal, 2016, "An Analytical And Numerical Search For Bifurcations In Open Economy New Keynesian Models," Macroeconomic Dynamics, Cambridge University Press, volume 20, issue 2, pages 482-503, March.
• Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips, 2016, "Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2060, Jul.
• Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Menla Ali & Coskun Akdeniz, 2016, "Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1588.
• Annika Schnücker, 2016, "Restrictions Search for Panel VARs," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1612.
• Ha-Thu Nguyen, 2016, "Reject inference in application scorecards: evidence from France," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2016-10.
• Rosnan, Chotard & Michel, Dacorogna & Marie, Kratz, 2016, "Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1618, Nov.
• Stefano Soccorsi, 2016, "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2016-01, Jan.
• Sauer, Stephan & Coppens, François & Mayer, Manuel & Millischer, Laurent & Resch, Florian & Schulze, Klaas, 2016, "Advances in multivariate back-testing for credit risk underestimation," Working Paper Series, European Central Bank, number 1885, Feb.
• Jung, Alexander, 2016, "A portfolio demand approach for broad money in the euro area," Working Paper Series, European Central Bank, number 1929, Jul.
• Garcí­a, Juan Angel & Werner, Sebastian E. V., 2016, "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series, European Central Bank, number 1938, Jul.
• Endrész, Marianna & Skudelny, Frauke, 2016, "Crisis severity and the international trade network," Working Paper Series, European Central Bank, number 1971, Oct.
• Hubrich, Kirstin & Skudelny, Frauke, 2016, "Forecast combination for euro area inflation: a cure in times of crisis?," Working Paper Series, European Central Bank, number 1972, Oct.
• Altu Kazar & G rkemli Kazar, 2016, "Globalization, Financial Development and Economic Growth," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 578-587.
• Anvar V. Gumerov & Milyausha K. Biktemirova & Vitalii ?. Babushkin & Svetlana M. Nuryyakhmetova & Roman E. Moiseev & Anna B. Nikolaeva & Regina R. Kharisova & Vera P. Rukomoinikova, 2016, "Quality Functions Modeling of Industrial Enterprises Products," International Review of Management and Marketing, Econjournals, volume 6, issue 1, pages 165-169.
• Long, Zhiming & Herrera, Rémy, 2016, "Building original series of physical capital stocks for China's economy methodological problems, proposals for solutions and a new database," China Economic Review, Elsevier, volume 40, issue C, pages 33-53, DOI: 10.1016/j.chieco.2016.05.002.
• Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016, "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 582-594, DOI: 10.1016/j.csda.2015.12.005.
• Chan, Joshua C.C. & Grant, Angelia L., 2016, "Fast computation of the deviance information criterion for latent variable models," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 847-859, DOI: 10.1016/j.csda.2014.07.018.
• Korobilis, Dimitris, 2016, "Prior selection for panel vector autoregressions," Computational Statistics & Data Analysis, Elsevier, volume 101, issue C, pages 110-120, DOI: 10.1016/j.csda.2016.02.011.
• Soccorsi, Stefano, 2016, "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, volume 71, issue C, pages 86-101, DOI: 10.1016/j.jedc.2016.08.001.
• Barde, Sylvain, 2016, "Direct comparison of agent-based models of herding in financial markets," Journal of Economic Dynamics and Control, Elsevier, volume 73, issue C, pages 329-353, DOI: 10.1016/j.jedc.2016.10.005.
• Chen, W.D., 2016, "Policy failure or success? Detecting market failure in China's housing market," Economic Modelling, Elsevier, volume 56, issue C, pages 109-121, DOI: 10.1016/j.econmod.2016.03.024.
• Pouliot, William, 2016, "Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry," Economic Modelling, Elsevier, volume 58, issue C, pages 523-534, DOI: 10.1016/j.econmod.2016.03.011.
• Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2016, "Solvency capital requirement for a temporal dependent losses in insurance," Economic Modelling, Elsevier, volume 58, issue C, pages 588-598, DOI: 10.1016/j.econmod.2016.03.007.
• Furlanetto, Francesco & Groshenny, Nicolas, 2016, "Reallocation shocks, persistence and nominal rigidities," Economics Letters, Elsevier, volume 141, issue C, pages 151-155, DOI: 10.1016/j.econlet.2016.02.029.
• Wang, Yun & Zhang, Yonghui & Zhou, Qiankun, 2016, "A Stein-like estimator for linear panel data models," Economics Letters, Elsevier, volume 141, issue C, pages 156-161, DOI: 10.1016/j.econlet.2016.02.016.
• Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016, "Comparing different data descriptors in Indirect Inference tests on DSGE models," Economics Letters, Elsevier, volume 145, issue C, pages 157-161, DOI: 10.1016/j.econlet.2016.06.016.
• Hu, Junjuan & Chen, Zhenlong, 2016, "A unit root test against globally stationary ESTAR models when local condition is non-stationary," Economics Letters, Elsevier, volume 146, issue C, pages 89-94, DOI: 10.1016/j.econlet.2016.07.002.
• Lucas, André & Opschoor, Anne & Schaumburg, Julia, 2016, "Accounting for missing values in score-driven time-varying parameter models," Economics Letters, Elsevier, volume 148, issue C, pages 96-98, DOI: 10.1016/j.econlet.2016.09.026.
• Blazsek, Szabolcs & Escribano, Alvaro, 2016, "Score-driven dynamic patent count panel data models," Economics Letters, Elsevier, volume 149, issue C, pages 116-119, DOI: 10.1016/j.econlet.2016.10.026.
• Gao, Yan & Zhang, Xinyu & Wang, Shouyang & Zou, Guohua, 2016, "Model averaging based on leave-subject-out cross-validation," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 139-151, DOI: 10.1016/j.jeconom.2015.07.006.
• Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2016, "Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 190-206, DOI: 10.1016/j.jeconom.2015.10.010.
• Inoue, Atsushi & Kilian, Lutz, 2016, "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, volume 192, issue 2, pages 421-432, DOI: 10.1016/j.jeconom.2016.02.008.
• Caetano, Carolina & Rothe, Christoph & Yıldız, Neşe, 2016, "A discontinuity test for identification in triangular nonseparable models," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 113-122, DOI: 10.1016/j.jeconom.2016.01.007.
• Leamer, Edward E., 2016, "S-values: Conventional context-minimal measures of the sturdiness of regression coefficients," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 147-161, DOI: 10.1016/j.jeconom.2015.10.013.
• Li, Jia & Todorov, Viktor & Tauchen, George, 2016, "Inference theory for volatility functional dependencies," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 17-34, DOI: 10.1016/j.jeconom.2016.01.004.
• Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016, "Goodness-of-fit test for specification of semiparametric copula dependence models," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 215-233, DOI: 10.1016/j.jeconom.2016.02.017.
• Jacobi, Liana & Wagner, Helga & Frühwirth-Schnatter, Sylvia, 2016, "Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 234-250, DOI: 10.1016/j.jeconom.2016.01.005.
• Kitagawa, Toru & Muris, Chris, 2016, "Model averaging in semiparametric estimation of treatment effects," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 271-289, DOI: 10.1016/j.jeconom.2016.03.002.
• Davis, Richard A. & Hancock, Stacey A. & Yao, Yi-Ching, 2016, "On consistency of minimum description length model selection for piecewise autoregressions," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 360-368, DOI: 10.1016/j.jeconom.2016.05.013.
• DiTraglia, Francis J., 2016, "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, volume 195, issue 2, pages 187-208, DOI: 10.1016/j.jeconom.2016.07.006.
• Shonkwiler, J.S., 2016, "Variance of the truncated negative binomial distribution," Journal of Econometrics, Elsevier, volume 195, issue 2, pages 209-210, DOI: 10.1016/j.jeconom.2016.09.002.
• Koop, Gary & Korobilis, Dimitris, 2016, "Model uncertainty in Panel Vector Autoregressive models," European Economic Review, Elsevier, volume 81, issue C, pages 115-131, DOI: 10.1016/j.euroecorev.2015.09.006.
• Caggiano, Giovanni & Calice, Pietro & Leonida, Leone & Kapetanios, George, 2016, "Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 104-116, DOI: 10.1016/j.jempfin.2016.01.005.
• Marvasti, Akbar & Lamberte, Antonio, 2016, "Commodity price volatility under regulatory changes and disaster," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 355-361, DOI: 10.1016/j.jempfin.2016.07.008.
• Chan, Joshua C.C. & Grant, Angelia L., 2016, "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, volume 54, issue C, pages 182-189, DOI: 10.1016/j.eneco.2015.12.003.
• Qu, Hui & Chen, Wei & Niu, Mengyi & Li, Xindan, 2016, "Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models," Energy Economics, Elsevier, volume 54, issue C, pages 68-76, DOI: 10.1016/j.eneco.2015.12.001.
• Aloui, Riadh & Gupta, Rangan & Miller, Stephen M., 2016, "Uncertainty and crude oil returns," Energy Economics, Elsevier, volume 55, issue C, pages 92-100, DOI: 10.1016/j.eneco.2016.01.012.
• Lux, Thomas & Segnon, Mawuli & Gupta, Rangan, 2016, "Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data," Energy Economics, Elsevier, volume 56, issue C, pages 117-133, DOI: 10.1016/j.eneco.2016.03.008.
• De Vita, Glauco & Trachanas, Emmanouil, 2016, "‘Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India’ — A failed replication (negative Type 1 and Type 2)," Energy Economics, Elsevier, volume 56, issue C, pages 150-160, DOI: 10.1016/j.eneco.2016.03.014.
• Potts, Todd B. & Yerger, David B., 2016, "Marcellus Shale and structural breaks in oil and gas markets: The case of Pennsylvania," Energy Economics, Elsevier, volume 57, issue C, pages 50-58, DOI: 10.1016/j.eneco.2016.04.017.
• Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016, "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 239-256, DOI: 10.1016/j.irfa.2015.11.013.
• Olkhov, Victor, 2016, "On Economic Space notion," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 372-381, DOI: 10.1016/j.irfa.2016.01.001.
• Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016, "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, volume 16, issue C, pages 220-229, DOI: 10.1016/j.frl.2015.12.004.
• Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016, "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, volume 32, issue 2, pages 283-292, DOI: 10.1016/j.ijforecast.2015.06.006.
• Lucas, André & Zhang, Xin, 2016, "Score-driven exponentially weighted moving averages and Value-at-Risk forecasting," International Journal of Forecasting, Elsevier, volume 32, issue 2, pages 293-302, DOI: 10.1016/j.ijforecast.2015.09.003.
• Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016, "The forecast combination puzzle: A simple theoretical explanation," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 754-762, DOI: 10.1016/j.ijforecast.2015.12.005.
• Blasques, Francisco & Koopman, Siem Jan & Łasak, Katarzyna & Lucas, André, 2016, "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 875-887, DOI: 10.1016/j.ijforecast.2015.11.018.
• Liu, Weiling & Moench, Emanuel, 2016, "What predicts US recessions?," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1138-1150, DOI: 10.1016/j.ijforecast.2016.02.007.
• Buncic, Daniel & Gisler, Katja I.M., 2016, "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1317-1339, DOI: 10.1016/j.ijforecast.2016.05.001.
• Iiboshi, Hirokuni, 2016, "A multiple DSGE-VAR approach: Priors from a combination of DSGE models and evidence from Japan," Japan and the World Economy, Elsevier, volume 40, issue C, pages 1-8, DOI: 10.1016/j.japwor.2016.07.004.
• Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016, "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 117-130, DOI: 10.1016/j.jbankfin.2016.03.011.
• Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel, 2016, "Evaluating Value-at-Risk forecasts: A new set of multivariate backtests," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 121-132, DOI: 10.1016/j.jbankfin.2016.07.014.
• Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016, "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, volume 86, issue C, pages 1-15, DOI: 10.1016/j.jeconbus.2016.03.001.
• Buncic, Daniel & Piras, Gion Donat, 2016, "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, volume 60, issue C, pages 313-359, DOI: 10.1016/j.jimonfin.2015.09.006.
• Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2016, "Common trends in global volatility," Journal of International Money and Finance, Elsevier, volume 67, issue C, pages 194-214, DOI: 10.1016/j.jimonfin.2016.05.001.
• Buncic, Daniel & Lentner, Philipp, 2016, "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, volume 50, issue C, pages 126-150, DOI: 10.1016/j.jmacro.2016.09.004.
• Bodnar, Taras & Reiß, Markus, 2016, "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, volume 150, issue C, pages 125-151, DOI: 10.1016/j.jmva.2016.05.011.
• Lamprou, Dimitra, 2016, "Nowcasting GDP in Greece: The impact of data revisions and forecast origin on model selection and performance," The Journal of Economic Asymmetries, Elsevier, volume 14, issue PA, pages 93-102, DOI: 10.1016/j.jeca.2016.07.006.
• Yang, Yang & Onderstal, Sander & Schram, Arthur, 2016, "Inequity aversion revisited," Journal of Economic Psychology, Elsevier, volume 54, issue C, pages 1-16, DOI: 10.1016/j.joep.2015.12.009.
• Cabrera Delgado, Jorge & Bonnel, Patrick, 2016, "Level of aggregation of zoning and temporal transferability of the gravity distribution model: The case of Lyon," Journal of Transport Geography, Elsevier, volume 51, issue C, pages 17-26, DOI: 10.1016/j.jtrangeo.2015.10.016.
• Aye, Goodness C. & Chang, Tsangyao & Gupta, Rangan, 2016, "Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model," Resources Policy, Elsevier, volume 48, issue C, pages 77-84, DOI: 10.1016/j.resourpol.2016.02.011.
• Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016, "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, Elsevier, chapter 0, in: J. B. Taylor & Harald Uhlig, "Handbook of Macroeconomics", DOI: 10.1016/bs.hesmac.2016.03.006.
• Jung, Alexander, 2016, "Is euro area money demand for M3 still stable?," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 29-39, DOI: 10.1016/j.qref.2016.01.002.
• Schorfheide, Frank & Wolpin, Kenneth I., 2016, "To hold out or not to hold out," Research in Economics, Elsevier, volume 70, issue 2, pages 332-345, DOI: 10.1016/j.rie.2016.02.001.
• Khan, Muhammad Arshad & Abbas, Faisal, 2016, "The dynamics of electricity demand in Pakistan: A panel cointegration analysis," Renewable and Sustainable Energy Reviews, Elsevier, volume 65, issue C, pages 1159-1178, DOI: 10.1016/j.rser.2016.06.054.
• Shi, Yanlin & Ho, Kin-Yip & Liu, Wai-Man, 2016, "Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 291-312, DOI: 10.1016/j.iref.2015.12.003.
• Kundu, Srikanta & Sarkar, Nityananda, 2016, "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 297-311, DOI: 10.1016/j.ribaf.2015.09.023.
• Joshua C.C. Chan & Angelia L. Grant, 2016, "Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2016-44, Jul.
• Barigozzi, Matteo & Moneta, Alessio, 2016, "Identifying the independent sources of consumption variation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60979, Mar.
• Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pinter, Gabor, 2016, "VAR models with non-Gaussian shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86238, Feb.
• Tommaso Proietti, 2016, "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035015.
• Daniel J. Henderson & Christopher F. Parmeter, 2016, "Model Averaging Over Nonparametric Estimators," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Aman Ullah", DOI: 10.1108/S0731-905320160000036024.
• Yu Yvette Zhang & Ximing Wu & Qi Li, 2016, "A Simple Consistent Nonparametric Estimator of the Lorenz Curve," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Aman Ullah", DOI: 10.1108/S0731-905320160000036028.
• Wanglin Ma & Awudu Abdulai, 2016, "Linking apple farmers to markets," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 8, issue 1, pages 2-21, February, DOI: 10.1108/CAER-04-2015-0035.

2015

• Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015, "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-12, Feb.
• Nicholas M. Kiefer & C. Erik Larson, 2015, "Counting Processes for Retail Default Modeling," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-17, Apr.
• Tommaso Proietti & Alessandra Luati, 2015, "Generalised partial autocorrelations and the mutual information between past and future," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-24, May.
• Markku Lanne & Jani Luoto, 2015, "Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-37, Aug.
• Mikkel Bennedsen, 2015, "Rough electricity: a new fractal multi-factor model of electricity spot prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-42, Sep.
• Annastiina Silvennoinen & Timo Teräsvirta, 2015, "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-47, Oct.
• Simplice A. Asongu & Jacinta C. Nwachukwu, 2015, "Drivers of FDI in Fast Growing Developing Countries: Evidence from Bundling and Unbundling Governance," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/001, Feb.
• Simplice A. Asongu & Oasis Kodila-Tedika, 2015, "Conditional determinants of FDI in fast emerging economies: an instrumental quantile regression approach," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/003, Feb.
• Simplice A. Asongu, 2015, "Drivers of Growth in Fast Emerging Economies: A Dynamic Instrumental Quantile Approach," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/009, Mar.
• Simplice A. Asongu, 2015, "Determinants of Growth in Fast Developing Countries: Evidence from Bundling and Unbundling Institutions," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/010, Mar.
• Simplice A. Asongu & Uchenna R. Efobi & Ibukun Beecroft, 2015, "FDI, Aid, Terrorism: Conditional Threshold Evidence from Developing Countries," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/019, May.
• Simplice A. Asongu & Jacinta C. Nwachukwu, 2015, "Fighting Terrorism: Empirics on Policy Harmonization," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/024, Jan.
• Simplice A. Asongu & John Ssozi, 2015, "When is Foreign Aid Effective in Fighting Terrorism? Threshold Evidence," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/031, Sep.
• Simplice A. Asongu & Ghassen El Montasser & Hassen Toumi, 2015, "Testing the Relationships between Energy Consumption, CO2 emissions and Economic Growth in 24 African Countries: a Panel ARDL Approach," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/037, Sep.
• Hyeongwoo Kim & Wen Shi & Kwang-Myoung Hwang, 2015, "Estimating Interest Rate Setting Behavior in Korea: A Constrained Ordered Choices Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2015-17, Nov.
• Francesco Furlanetto & Nicolas Groshenny, 2015, "Mismatch Shocks and Unemployment During the Great Recession," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 2015-14, May.
• Susan Athey & Guido Imbens, 2015, "A Measure of Robustness to Misspecification," American Economic Review, American Economic Association, volume 105, issue 5, pages 476-480, May.
• Patrick Bajari & Denis Nekipelov & Stephen P. Ryan & Miaoyu Yang, 2015, "Machine Learning Methods for Demand Estimation," American Economic Review, American Economic Association, volume 105, issue 5, pages 481-485, May.
• Josh Angrist & David Autor & Sally Hudson & Amanda Pallais, 2015, "Evaluating Econometric Evaluations of Post-Secondary Aid," American Economic Review, American Economic Association, volume 105, issue 5, pages 502-507, May.
• Sheilla Aoko OTIENO & Benson Munyali WAMALWA & Nelson Owuor ONYANGO & Joseph Antony Makoteku OTTIENO & Victor ONGOMA, 2015, "Comparison Of Least Absolute Shrinkage And Selection Operator And Maximum Likelihood Estimators To Establish Determinants Of Immunization In Trans-Nzoia County," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 4, issue 1, pages 29-45, JULY.
• Simplice Asongu & Jacinta C. Nwachukwu, 2015, "Drivers of FDI in Fast Growing Developing Countries: Evidence from Bundling and Unbundling Governance," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/001, Feb.
• Simplice Asongu & Oasis Kodila-Tedika, 2015, "Conditional determinants of FDI in fast emerging economies: an instrumental quantile regression approach," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/003, Feb.
• Simplice Asongu, 2015, "Drivers of Growth in Fast Emerging Economies: A Dynamic Instrumental Quantile Approach," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/009, Apr.
• Simplice Asongu, 2015, "Determinants of Growth in Fast Developing Countries: Evidence from Bundling and Unbundling Institutions," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/010, Mar.
• Simplice Asongu & Uchenna EFOBI & Ibukun BEECROFT, 2015, "FDI, Aid, Terrorism: Conditional Threshold Evidence from Developing Countries," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/019, May.
• Simplice Asongu & Jacinta C. Nwachukwu, 2015, "Fighting Terrorism: Empirics on Policy Harmonization," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/024, Jun.
• Asongu Simplice & John Ssozi, 2015, "When is Foreign Aid Effective in Fighting Terrorism? Threshold Evidence," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/031, Sep.
• Simplice Asongu & Ghassen El Montasser & Hassen Toumi, 2015, "Testing the Relationships between Energy Consumption, CO2 emissions and Economic Growth in 24 African Countries: a Panel ARDL Approach," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/037, Sep.
• Ma, Wanglin & Abdulai, Awudu, 2015, "Linking apple farmers to markets: Determinants and impacts of marketing contracts in China," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association, number 202719, DOI: 10.22004/ag.econ.202719.
• Amendola, Alessandra & Candila, Vincenzo & Scognamillo, Antonio, 2015, "On the influence of the U.S. monetary policy on the crude oil price volatility," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 207860, Jun, DOI: 10.22004/ag.econ.207860.
• Gouel, Christophe & LEgrand, Nicolas, 2015, "Estimating the Competitive Storage Model with Trending Commodity Prices," 2015 Conference, August 9-14, 2015, Milan, Italy, International Association of Agricultural Economists, number 211688, DOI: 10.22004/ag.econ.211688.
• Hoang, Hoa & Meyers, William H., 2015, "Food demand in Vietnam: structural changes and projections to 2030," 2015 Conference, August 9-14, 2015, Milan, Italy, International Association of Agricultural Economists, number 212456, DOI: 10.22004/ag.econ.212456.
• Taha, Fawzi A. & Hahn, William F., 2015, "HPAI Impact on EU-27’s Import Demand for Cooked and Uncooked Poultry and Other Meats," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, volume 18, issue A, pages 1-22, July, DOI: 10.22004/ag.econ.207012.
• Carvalho, Glauco Rodrigues & Bessler, David & Hemme, Torsten & Schröer-Merker, Eva, 2015, "Understanding International Milk Price Relationships," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia, Southern Agricultural Economics Association, number 196692, Feb, DOI: 10.22004/ag.econ.196692.
• Sorin Marius Pirnac, 2015, "Technical Analysis Of Ftse 100 Index Using Quantmod Package," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 43, pages 114-122.
• Francesco BARTOLUCCI & Silvia BACCI & Claudia PIGINI, 2015, "A Misspecification Test for Finite-Mixture Logistic Models for Clustered Binary and Ordered Responses," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 410, Jul.
• Raphael Rocha Gouvêa & Bernardo Patta Schettini, 2015, "Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996–2010)," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 16, issue 2, pages 250-271.
• Raffaella Giacomini & Barbara Rossi, 2015, "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Annual Review of Economics, Annual Reviews, volume 7, issue 1, pages 207-229, August.
• Cesar Carrera & Alan Ledesma, 2015, "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers, Peruvian Economic Association, number 50, Jul.
• Ricardo Crisostomo, 2015, "An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," Papers, arXiv.org, number 1502.02963, Feb, revised Mar 2015.
• Susan Athey & Dean Eckles & Guido Imbens, 2015, "Exact P-values for Network Interference," Papers, arXiv.org, number 1506.02084, Jun.
• Carlo Marinelli & Stefano d'Addona, 2015, "Nonparametric estimates of pricing functionals," Papers, arXiv.org, number 1506.06568, Jun, revised Sep 2017.
• Toru Kitagawa & Chris Muris, 2015, "Model averaging in semiparametric estimation of treatment effects," CeMMAP working papers, Institute for Fiscal Studies, number 46/15, Aug, DOI: 10.1920/wp.cem.2015.4615.
• Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015, "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers, Institute for Fiscal Studies, number 62/15, Oct, DOI: 10.1920/wp.cem.2015.6215.
• Kagerer, Kathrin, 2015, "A hat matrix for monotonicity constrained B-spline and P-spline regression," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 484, Mar.
• Konstantinos Theodoridis & Francesco Zanetti, 2015, "News Shocks and Labor Market Dynamics in Matching Models," BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics, number 1501, Apr.
• Zacharias Psaradakis & Marián Vávra, 2015, "Portmanteau Tests for Linearity of Stationary Time Series," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1514, Sep.
• Bruno Albuquerque & Georgi Krustev, 2015, "Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption," Staff Working Papers, Bank of Canada, number 15-47, DOI: 10.34989/swp-2015-47.
• Yara de Almeida Campos Cordeiro & Wagner Piazza Gaglianone & João Victor Issler, 2015, "Inattention in Individual Expectations," Working Papers Series, Central Bank of Brazil, Research Department, number 395, Aug.
• Paolo Guarda & Abdelaziz Rouabah, 2015, "Is the financial sector Luxembourg?s engine of growth?," BCL working papers, Central Bank of Luxembourg, number 97, Aug.
• Ana Inés Gárriz & Demian Tupac Panigo, 2015, "Prebisch Reciprocity Principle. An Application for the Common Automotive Policy between Argentina and Brazil," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 73, pages 117-147, December.
• Sébastien Roux, 2015, "Structural and atheoretic approaches to micro-econometrics of public policy evaluation.(in french)," Working papers, Banque de France, number 565.
• Tatevik Sekhposyan & Barbara Rossi, 2015, "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers, Barcelona School of Economics, number 758, Sep.
• Michael Funke & Chang Shu & Xiaoqiang Cheng & Sercan Eraslan, 2015, "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy," BIS Working Papers, Bank for International Settlements, number 492, Feb.
• Logan McLeod, 2015, "The Association Between Physician Supply And The Mix Of Generalist And Specialist Services Used," Contemporary Economic Policy, Western Economic Association International, volume 33, issue 3, pages 434-449, July.
• Robert Lehmann & Klaus Wohlrabe, 2015, "Forecasting GDP at the Regional Level with Many Predictors," German Economic Review, Verein für Socialpolitik, volume 16, issue 2, pages 226-254, May.
• Sarolta Laczó, 2015, "Risk Sharing With Limited Commitment And Preference Heterogeneity: Structural Estimation And Testing," Journal of the European Economic Association, European Economic Association, volume 13, issue 2, pages 265-292, April.
• Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2015, "Bias Correction of Persistence Measures in Fractionally Integrated Models," Journal of Time Series Analysis, Wiley Blackwell, volume 36, issue 5, pages 721-740, September.
• Mihailo Radoman & Marcel C. Voia, 2015, "Youth Training Programs and Their Impact on Career and Spell Duration of Professional Soccer Players," LABOUR, CEIS, volume 29, issue 2, pages 163-193, June.
• André K. Anundsen & Ragnar Nymoen, 2015, "Did US consumers ‘save for a rainy day’ before the Great Recession?," Working Paper, Norges Bank, number 2015/08, May.
• Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2015, "Identification and real-time forecasting of Norwegian business cycles," Working Paper, Norges Bank, number 2015/09, May.
• Francesca Monti, 2015, "Can a data-rich environment help identify the sources of model misspecification?," Bank of England working papers, Bank of England, number 527, Mar.
• Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2015, "Forecasting with VAR models: fat tails and stochastic volatility," Bank of England working papers, Bank of England, number 528, May.
• Arnold Polanski & Evarist Stoja, 2015, "Extreme risk interdependence," Bank of England working papers, Bank of England, number 563, Nov.
• Iryna Kaminska & Matt Roberts-Sklar, 2015, "A global factor in variance risk premia and local bond pricing," Bank of England working papers, Bank of England, number 576, Dec.