Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

0

• Dairo Estrada & Javier Gutiérrez Rueda, 2008, "Supervisión y regulación del sistema financiero: Modelos, implicaciones y alcances," Borradores de Economia, Banco de la Republica de Colombia, number 490, Feb, DOI: 10.32468/be.490.
• Andrés González & Hernán Rincón & Norberto Rodríguez, 2008, "La transmisión de los choques a la tasa de cambio sobre la inflación de los bienes importados en presencia de asimetrías," Borradores de Economia, Banco de la Republica de Colombia, number 532, Oct, DOI: 10.32468/be.532.
• Jean Pietro Bonaldi, 2010, "Identification problems in the solution of linearized DSGE models," Borradores de Economia, Banco de la Republica de Colombia, number 593, Mar, DOI: 10.32468/be.593.
• Eliana González, 2010, "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 604, May, DOI: 10.32468/be.604.
• Andrés González & Omar Mendoza & Hernán Rincón & Norberto Rodríguez, 2010, "Ciclo económico y efecto inflacionario de la depreciación de la moneda," Borradores de Economia, Banco de la Republica de Colombia, number 611, Jun, DOI: 10.32468/be.611.
• Luis Fernando Melo Velandia & Joan Camilo Granados Castro, 2010, "Regulación y Valor en Riesgo," Borradores de Economia, Banco de la Republica de Colombia, number 615, Jul, DOI: 10.32468/be.615.
• Martha López P. & Fernando Tenjo G. & Héctor Zárate Solano, 2010, "The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 616, Jul, DOI: 10.32468/be.616.
• Hernán Rincón & Jorge Toro, 2010, "Are Capital Controls and Central Bank Intervention Effective?," Borradores de Economia, Banco de la Republica de Colombia, number 625, Oct, DOI: 10.32468/be.625.
• Eliana González, 2011, "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia, Banco de la Republica de Colombia, number 643, Feb, DOI: 10.32468/be.643.
• Andrés González & Franz Hamann, 2011, "Lack of Credibility, Inflation Persistence and Disinflation in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 658, May, DOI: 10.32468/be.658.
• Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno, 2015, "Comparación De Métodos Para La Estimación De La Incertidumbre Del Valor En Riesgo," Temas de Estabilidad Financiera, Banco de la Republica de Colombia, number 83, Dec, DOI: 10.32468/tef.83.
• Tom Doan, 2025, "APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test," Statistical Software Components, Boston College Department of Economics, number RTS00006, revised .
• Tom Doan, 2025, "APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood," Statistical Software Components, Boston College Department of Economics, number RTS00007, revised .
• Tom Doan, 2025, "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components, Boston College Department of Economics, number RTS00100, revised .
• Tom Doan, 2025, "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components, Boston College Department of Economics, number RTS00176, revised .
• Tom Doan, 2025, "WESTCHOTEST: RATS procedure to perform Heteroscedasticity-robust serial correlation test," Statistical Software Components, Boston College Department of Economics, number RTS00252, revised .
• Tom Doan, 2025, "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components, Boston College Department of Economics, number RTZ00089, revised .
• Tom Doan, 2025, "RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model," Statistical Software Components, Boston College Department of Economics, number RTZ00104, revised .
• Tom Doan, 2025, "RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)," Statistical Software Components, Boston College Department of Economics, number RTZ00167, revised .
• Pierre Perron & Gabriel Rodríguez, , "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-017, revised 19 Oct 2015.
• Gilles DANIEL & Didier SORNETTE & Peter WOHRMANN, 2008, "Look-Ahead Benchmark Biasin Portfolio Performance Evaluation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-33, Oct.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2008, "Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-45, Dec.
• Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011, "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-40, Aug.
• Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011, "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-41, Aug.
• Paul SCHNEIDER, 2014, "Generalized Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-29, Jul.
• Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU, 2014, "A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-42, Jun, revised Dec 2014.
• Diego ARDILA & Dorsa SANADGOL & Peter CAUWELS & Didier SORNETTE, 2014, "Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-44, Jul.
• Vannetelbosch, V. J., 1996, "Testing between alternative wage-employment bargaining models using Belgian aggregate data," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1233, Jan, DOI: 10.1016/0927-5371(95)00003-8.
• KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002, "Microeconomic models for long memory in the volatility of financial time series," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1593, Jan.
• GIOT, Pierre & LAURENT, Sébastien, 2003, "Market risk in commodity markets: a VaR approach," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1682, Jan, DOI: 10.1016/S0140-9883(03)00052-5.
• GIOT, Pierre & LAURENT, Sébastien, 2003, "Value-at-Risk for long and short trading positions," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1707, Jan, DOI: 10.1002/jae.710.
• GIOT, Pierre & LAURENT, Sébastien, 2004, "Modelling daily Value-at-Risk using realized volatility and ARCH type models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1708, Jan.
• BAUWENS, Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2004, "A comparison of financial duration models via density forecasts," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1746, Jan, DOI: 10.1016/j.ijforecast.2003.09.014.
• BAUWENS, Luc & HAFNER, Christian M. & ROMBOUTS, Jeroen VK, 2007, "Multivariate mixed normal conditional heteroskedasticity," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1906, Jan, DOI: 10.1016/j.csda.2006.10.012.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, 2010, "Theory and inference for a Markov switching Garch model," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2303, Jan, DOI: 10.1111/j.1368-423X.2009.00307.x.
• Shuo Cao & Huichou Huang & Ruirui Liu & Ronald MacDonald, 2017, "The Term Structure of Exchange Rate Predictability: Commonality, Scapegoat, and Disagreement," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2017_013, Jul.
• Jin Seo Cho & Peter C.B. Phillips, , "Testing Equality of Covariance Matrices via Pythagorean Means," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1970.
• Beatrice PATARACCHIA, 2008, "Design-Limits in Regime-Switching cases," EcoMod2008, EcoMod, number 23800104, Jul.
• CARDENETE M. Alejandro & SANCHO Ferran, 2010, "Sensitivity of Simulation Results to Competing SAM Updates," EcoMod2003, EcoMod, number 330700031, Jan.
• ISMIHAN Mustafa & METIN-OZCAN Kivilcim & TANSEL Aysit, 2010, "Macroeconomic Instability, Capital Accumulation and Growth: The Case of Turkey 1963-1999," EcoMod2003, EcoMod, number 330700071, Jan.

None

• Goczek, Łukasz, None, "Metody ekonometryczne w modelach wzrostu gospodarczego," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, volume 2012, issue 10, DOI: 10.22004/ag.econ.358640.
• Adda Jérôme & Robin Jean-Marc, 2003, "Aggregation of Non Stationary Demand Systems," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 2, issue 1, pages 1-41, June, DOI: 10.2202/1538-0645.1032.
• Milas Costas & Legrenzi Gabriella, 2006, "Non-linear Real Exchange Rate Effects in the UK Labour Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-34, March, DOI: 10.2202/1558-3708.1285.
• Borovkova Svetlana & Geman Helyette, 2006, "Analysis and Modelling of Electricity Futures Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-16, September, DOI: 10.2202/1558-3708.1372.
• Chiang Min-Hsien, 2007, "A Smooth Transition Autoregressive Conditional Duration Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-39, March, DOI: 10.2202/1558-3708.1313.
• González Andrés & Teräsvirta Timo, 2008, "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-28, March, DOI: 10.2202/1558-3708.1459.
• Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J., 2008, "Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-37, May, DOI: 10.2202/1558-3708.1572.
• Sajjad Rasoul & Coakley Jerry & Nankervis John C, 2008, "Markov-Switching GARCH Modelling of Value-at-Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-31, September, DOI: 10.2202/1558-3708.1522.
• Choi Seungmoon, 2009, "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-41, March, DOI: 10.2202/1558-3708.1614.
• Broto Carmen & Ruiz Esther, 2009, "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1620.
• Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009, "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-32, May, DOI: 10.2202/1558-3708.1645.
• Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010, "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 3, pages 1-40, May, DOI: 10.2202/1558-3708.1702.
• Ramalho Esmeralda A., 2010, "Covariate Measurement Error: Bias Reduction under Response-Based Sampling," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-34, September, DOI: 10.2202/1558-3708.1695.
• Flamini Alessandro & Milas Costas, 2011, "Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-43, March, DOI: 10.2202/1558-3708.1845.
• Seo Byeongseon, 2011, "Nonparametric Testing for Linearity in Cointegrated Error-Correction Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-28, March, DOI: 10.2202/1558-3708.1598.
• Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso, 2011, "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-28, May, DOI: 10.2202/1558-3708.1818.
• Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012, "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-22, January, DOI: 10.1515/1558-3708.1813.
• Bec Frédérique & Ben Salem Mélika & Collard Fabrice, 2002, "Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 2, pages 1-22, July, DOI: 10.2202/1558-3708.1006.
• Ramsey James B., 2002, "Wavelets in Economics and Finance: Past and Future," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 3, pages 1-29, November, DOI: 10.2202/1558-3708.1090.
• Iregui Ana María & Milas Costas & Otero Jesus, 2002, "On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 3, pages 1-21, November, DOI: 10.2202/1558-3708.1093.
• Riani Marco, 2004, "Extensions of the Forward Search to Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1208.
• Grossi Luigi, 2004, "Analyzing Financial Time Series through Robust Estimators," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-15, May, DOI: 10.2202/1558-3708.1224.
• Lee Kai Ming & Koopman Siem Jan, 2004, "Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-17, May, DOI: 10.2202/1558-3708.1210.
• Baghli Mustapha, 2005, "Nonlinear Error-Correction Models for the FF/DM Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 1, pages 1-43, March, DOI: 10.2202/1558-3708.1085.
• Park Joon Y. & Whang Yoon-Jae, 2005, "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-32, June, DOI: 10.2202/1558-3708.1163.
• Diks Cees & Panchenko Valentyn, 2005, "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-9, June, DOI: 10.2202/1558-3708.1234.
• Maheu John, 2005, "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-43, December, DOI: 10.2202/1558-3708.1269.
• Marcucci Juri, 2005, "Forecasting Stock Market Volatility with Regime-Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-55, December, DOI: 10.2202/1558-3708.1145.
• Jiri Panos & Petr Polak, 2019, "How to Improve the Model Selection Procedure in a Stress-testing Framework," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/9, Dec.
• J.A. Bikker & L. Spierdijk, 2008, "How Banking Competition changed over Time," Working Papers, Utrecht School of Economics, number 08-04, Feb.
• J.A. Bikker, 2008, "Sizing up performance measures in the financial services sector," Working Papers, Utrecht School of Economics, number 08-36, Dec.
• Jennifer Castle & David Hendry, 2008, "The Long-Run Determinants of UK Wages, 1860-2004," Economics Series Working Papers, University of Oxford, Department of Economics, number 409, Oct.
• Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2020, "Monetary Policy and Macroeconomic Stability Revisited," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 37, pages 255-274, July, DOI: 10.1016/j.red.2020.03.001.
• Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2021, "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 41, pages 52-70, July, DOI: 10.1016/j.red.2010.07.004.
• Dennis Glennon & Nicholas M. Kiefer & C. Erik Larson & Hwan-sik Choi, None, "Development and validation of credit scoring models," Journal of Credit Risk, Journal of Credit Risk.
• Sebastian Letmathe & Yuanhua Feng & André Uhde, None, "Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall," Journal of Risk, Journal of Risk.
• Timotheos Angelidis & Stavros Degiannakis, None, "Backtesting VaR models:a two-stage procedure," Journal of Risk Model Validation, Journal of Risk Model Validation.
• Arabinda Basistha & Alexander Kurov & Marketa Halova Wolfe, None, "Volatility forecasting: the role of internet search activity and implied volatility," Journal of Risk Model Validation, Journal of Risk Model Validation.
• Mateusz BuczyÅ„ski & Marcin Chlebus, None, "Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states," Journal of Risk Model Validation, Journal of Risk Model Validation.
• Daniel Felix Ahelegbey, None, "The econometrics of Bayesian graphical models: a review with financial application," Journal of Network Theory in Finance, Journal of Network Theory in Finance.