Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2022

• Sylvain Catherine & Mehran Ebrahimian & Mohammad Fereydounian & David Sraer & David Thesmar, 2022, "Robustness Checks in Structural Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 30443, Sep.
• Cristina Amado, 2022, "Outlier robust specification of multiplicative time-varying volatility models," NIPE Working Papers, NIPE - Universidade do Minho, number 11/2022.
• Dimitris Korobilis & Kenichi Shimizu, 2022, "Bayesian Approaches to Shrinkage and Sparse Estimation," Foundations and Trends(R) in Econometrics, now publishers, volume 11, issue 4, pages 230-354, June, DOI: 10.1561/0800000041.
• Musdalifah Azis & Rusdiah Iskandar & Lusiana Desy Ariswati & I Made Surya Negara Sudirman & Dio Caisar Darma, 2022, "The Treynor-Mazuy Conditional Model: Overview of Market Timing and Stock Selection on Equity Mutual Funds Performance," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 252-263, June.
• Stoyan Stoyanov & Nikolay Oresharov & Oleg Dimov & Nikolina Nikolova & Kalina Kavaldzhieva, 2022, "Evaluation and Effectiveness of the Adaptation of Evaluation Standards to the Training, Business Environment and Practices in the Republic of Bulgaria," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 69-79, March.
• Fang Duan & Hans Manner & Dominik Wied, 2022, "Model and Moment Selection in Factor Copula Models
  [Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 45-75.
• Genaro Sucarrat & Steffen Grønneberg, 2022, "Risk Estimation with a Time-Varying Probability of Zero Returns
  [On the Coherence of Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 278-309.
• Sebastian Bayer & Timo Dimitriadis, 2022, "Regression-Based Expected Shortfall Backtesting
  [Backtesting Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 3, pages 437-471.
• Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022, "Selective Linear Segmentation for Detecting Relevant Parameter Changes
  [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 762-805.
• Christophe Chorro & Rahantamialisoa H Fanirisoa, 2022, "Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures
  [Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 5, pages 902-941.
• Todd Mitton, 2022, "Methodological Variation in Empirical Corporate Finance," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 2, pages 527-575.
• Andrei-Dragos Popescu & Cristi-Marcel Spulbar, 2022, "The Impact of Returns and Influence of Crypto Assets on Different Asset Classes," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 969-980, September.
• Guellil, Mohammed Seghir & Sari-Hassoun, Salah Eddine & Chica-Olmo, Jorge & Saraç, Mehmet, 2022, "What are the main factors driving behind the MENA countries current account deficit? A panel logit approach analysis
  [¿Cuáles son los principales factores que impulsan el déficit de cuenta corriente de los países MENA? Un análisis de enfoque de pa," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 33, issue 1, pages 134-153, June, DOI: https://doi.org/10.46661/revmetodos.
• León Mendoza, Juan Celestino & Valcárcel Pineda, Paolo, 2022, "Influencia de las características sociodemográficas personales en el éxito empresarial en Perú
  [Influence of personal sociodemographic characteristics on business success in Peru]," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 33, issue 1, pages 326-352, June, DOI: https://doi.org/10.46661/revmetodos.
• Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2022, "Market and model risks: a feasible joint estimate methodology," Risk Management, Palgrave Macmillan, volume 24, issue 3, pages 187-213, September, DOI: 10.1057/s41283-022-00090-1.
• Pablo Pincheira Brown, 2022, "A Power Booster Factor for Out-of-Sample Tests of Predictability," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 45, issue 89, pages 150-183.
• Gabriel Rodríguez & Paulo Chávez, 2022, "Time Changing Effects of External Shocks on Macroeconomic Fluctuations in Peru: Empirical Application Using Regime-Switching VAR Models with Stochastic Volatility," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2022-509, DOI: 10.18800/2079-8474.0509.
• Francis X. Diebold & Maximilian Gobel, 2022, "A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 22-002, Jan.
• Francis X. Diebold & Glenn D. Rudebusch & Maximilian Gobel & Philippe Goulet Coulombe & Boyuan Zhang, 2022, "When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 22-011, Mar.
• Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe, 2022, "Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 22-028, Jun.
• Maria Kovacova & Lenka Hrosova & Pavol Durana & Jakub Horak, 2022, "Earnings management model for Visegrad Group as an immanent part of creative accounting," Oeconomia Copernicana, Institute of Economic Research, volume 13, issue 4, pages 1143-1176, December, DOI: 10.24136/oc.2022.033.
• Barnett, William A. & Eryilmaz, Unal, 2022, "Monetary Policy and Determinacy: An Inquiry in Open Economy New Keynesian Framework," MPRA Paper, University Library of Munich, Germany, number 111567, Jan.
• Pincheira, Pablo & Hardy, Nicolas, 2022, "Correlation Based Tests of Predictability," MPRA Paper, University Library of Munich, Germany, number 112014, Feb.
• Pedini, Luca & Severini, Sabrina, 2022, "Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis," MPRA Paper, University Library of Munich, Germany, number 112339.
• Ben Salem, Ameni & Safer, Imene & Khefacha, Islem, 2022, "Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets," MPRA Paper, University Library of Munich, Germany, number 113350, Feb, revised May 2022.
• Lee, David, 2022, "Pricing Cancellation Product," MPRA Paper, University Library of Munich, Germany, number 114147, Aug.
• Boskabadi, Elahe, 2022, "Economic policy uncertainty and forecast bias in the survey of professional forecasters," MPRA Paper, University Library of Munich, Germany, number 115081, Oct.
• Hoffmaister, Alexander W., 2022, "Two's not company: mis-aggregation and "supply-induced" unemployment increases," MPRA Paper, University Library of Munich, Germany, number 115513, Nov.
• Mohajan, Devajit & Mohajan, Haradhan, 2022, "Utility Maximization Analysis of an Organization: A Mathematical Economic Procedure," MPRA Paper, University Library of Munich, Germany, number 115791, Oct, revised 15 Oct 2022.
• M N, Nikhil & Chakraborty, Suman & B M, Lithin & Ledwani, Sanket, 2022, "Modeling Indian Bank Nifty volatility using univariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 116824, Oct, revised 06 Feb 2023.
• B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022, "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper, University Library of Munich, Germany, number 117067, Aug, revised 05 Jan 2023.
• Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022, "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper, University Library of Munich, Germany, number 118239.
• Shobande, Olatunji & Asongu, Simplice A, 2022, "The Critical Role of Education and ICT in Promoting Environmental Sustainability in Eastern and Southern Africa: A Panel VAR Approach," MPRA Paper, University Library of Munich, Germany, number 119054, Jan.
• Mawuli Segnon & Rangan Gupta & Bernd Wilfling, 2022, "Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks," Working Papers, University of Pretoria, Department of Economics, number 202203, Jan.
• Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022, "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 202212, Feb.
• Rangan Gupta & Xiaojin Sun, 2022, "Time-Varying Parameter Four-Equation DSGE Model," Working Papers, University of Pretoria, Department of Economics, number 202234, Aug.
• Dušan Steinhauser & Zuzana Borovská, 2022, "The Impact of Institutional Environment on Risk Assessment," Central European Business Review, Prague University of Economics and Business, volume 2022, issue 2, pages 61-79, DOI: 10.18267/j.cebr.288.
• Chen Yang & Xu Shaorui & Ali Farhan, 2022, "Investigating Spatial-Temporal Pattern and Inducing Factors to Green Technology Innovation and High-Quality Economic Development," Prague Economic Papers, Prague University of Economics and Business, volume 2022, issue 3-4, pages 296-323, DOI: 10.18267/j.pep.807.
• Helena Mitwallyová & Lucie Kureková & Daniel Zikmund, 2022, "Možnosti zlepšování životního prostředí územní samosprávou na příkladu snížení koncentrace prachových částic PM10 v ovzduší
  [Environmental Improvement Possibilities for Local Governments: Example of Reducing PM10 Concentration in Air]," Politická ekonomie, Prague University of Economics and Business, volume 2022, issue 2, pages 209-234, DOI: 10.18267/j.polek.1343.
• Chicama, Diego & Nivin, Rafael, 2022, "Evaluando el modelo Growth-at-Risk como herramienta para vigilar los riesgos macrofiancieros en la economía peruana," Working Papers, Banco Central de Reserva del Perú, number 2022-008, Oct.
• Byron Botha & Rulof Burger & Kevin Kotz & Neil Rankin & Daan Steenkamp, 2022, "Big data forecasting of South African inflation," Working Papers, South African Reserve Bank, number 11022, Feb.
• Biwei Chen, 2022, "Shape Evolution of the Interest Rate Term Structure," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, volume 13, issue 4, pages 427-457, January, DOI: https://doi.org/10.15353/rea.v13i3..
• Maria Lycheva & Alexey Mironenkov & Alexey Kurbatskii & Dean Fantazzini, 2022, "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 68, pages 28-49.
• Samir Saissi Hassani, 2022, "Précisions importantes sur le backtesting comparatif de la VaR," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 21-5, Feb.
• Samir Saissi Hassani & Georges Dionne, 2022, "Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 22-3, Jul.
• Umair Bin YOUSAF & Khalil JEBRAN & Man WANG, 2022, "A Comparison of Static, Dynamic and Machine Learning Models in Predicting the Financial Distress of Chinese Firms," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 122-138, April.
• Zouhaier Dhifaoui, 2022, "Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets," South Asian Journal of Macroeconomics and Public Finance, , volume 11, issue 1, pages 69-94, June, DOI: 10.1177/2277978721995654.
• Dejan Živkov & Marina Gajic-Glamoclija & Jasmina Duraskovic & Mirela Momcilovic, 2022, "Assessing Permanent and Transitory Volatility Spillover Effect from Oil to Stocks in Baltic and Visegrad Countries," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, volume 70, issue 6, pages 523-542, June.
• Rogelio V. Mercado, Jr. & Victor Pontines, 2022, "Which Financial Inclusion Indicators and Dimensions Matter for Income Inequality? A Bayesian Model Averaging Approach," Working Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number wp47, Oct.
• Alexander Bobkov & Oksana Savchina, 2022, "Verification of the production structure evolution model of industrial enterprises using cluster analysis," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 13215738, Oct.
• Tomasz P. Kostyra, 2022, "Yield Curve Modelling with the Nelson-Siegel Method for Poland," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 2, pages 44-56.
• Qiang Ji & Dayong Zhang & Yuqian Zhao, 2022, "Intra-day co-movements of crude oil futures: China and the international benchmarks," Annals of Operations Research, Springer, volume 313, issue 1, pages 77-103, June, DOI: 10.1007/s10479-021-04097-x.
• Vo Hoang Ha & Takeshi Mizunoya & Nguyen Duc Kien & Truong Quang Dung & Le Thanh An & Nguyen Thai Phan & Nguyen Quang Tan & Pham Thi Trieu Tien & Nguyen Cong Dinh, 2022, "Post-flood recovery in the central coastal plain of Vietnam: determinants and policy implications," Asia-Pacific Journal of Regional Science, Springer, volume 6, issue 3, pages 899-929, October, DOI: 10.1007/s41685-022-00244-9.
• Charl Maree & Christian W. Omlin, 2022, "Reinforcement learning with intrinsic affinity for personalized prosperity management," Digital Finance, Springer, volume 4, issue 2, pages 241-262, September, DOI: 10.1007/s42521-022-00068-4.
• Jaeho Kim & Sora Chon, 2022, "Bayesian estimation of the long-run trend of the US economy," Empirical Economics, Springer, volume 62, issue 2, pages 461-485, February, DOI: 10.1007/s00181-021-02024-4.
• Lixiong Yang, 2022, "Threshold mixed data sampling (TMIDAS) regression models with an application to GDP forecast errors," Empirical Economics, Springer, volume 62, issue 2, pages 533-551, February, DOI: 10.1007/s00181-021-02028-0.
• Khyati Kathuria & Nand Kumar, 2022, "Are exports and imports of India’s trading partners cointegrated? Evidence from Fourier bootstrap ARDL procedure," Empirical Economics, Springer, volume 62, issue 3, pages 1177-1191, March, DOI: 10.1007/s00181-021-02061-z.
• Julia Kielmann & Hans Manner & Aleksey Min, 2022, "Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models," Empirical Economics, Springer, volume 62, issue 4, pages 1543-1574, April, DOI: 10.1007/s00181-021-02073-9.
• Astrid Ayala & Szabolcs Blazsek & Adrian Licht, 2022, "Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020," Empirical Economics, Springer, volume 62, issue 5, pages 2179-2203, May, DOI: 10.1007/s00181-021-02103-6.
• Pål Boug & Ådne Cappelen, 2022, "Did OPEC change its behaviour after the November 2014 meeting?," Empirical Economics, Springer, volume 62, issue 5, pages 2285-2305, May, DOI: 10.1007/s00181-021-02104-5.
• Manuel González-Astudillo & John M. Roberts, 2022, "When are trend–cycle decompositions of GDP reliable?," Empirical Economics, Springer, volume 62, issue 5, pages 2417-2460, May, DOI: 10.1007/s00181-021-02105-4.
• Dejan Živkov & Slavica Manić & Ivan Pavkov, 2022, "Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals," Empirical Economics, Springer, volume 63, issue 2, pages 1109-1134, August, DOI: 10.1007/s00181-021-02148-7.
• Alessandra Garbero & Marco Letta, 2022, "Predicting household resilience with machine learning: preliminary cross-country tests," Empirical Economics, Springer, volume 63, issue 4, pages 2057-2070, October, DOI: 10.1007/s00181-022-02199-4.
• Masato Ubukata, 2022, "A time-varying jump tail risk measure using high-frequency options data," Empirical Economics, Springer, volume 63, issue 5, pages 2633-2653, November, DOI: 10.1007/s00181-022-02209-5.
• Khurram Shehzad & Umer Zaman & Mahmood Ahmad & Xiaoxing Liu, 2022, "Asymmetric impact of information and communication technologies on environmental quality: analyzing the role of financial development and energy consumption," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, volume 24, issue 2, pages 1761-1780, February, DOI: 10.1007/s10668-021-01506-w.

2021

• Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021, "Weighted-average least squares (WALS): Confidence and prediction intervals," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2108, revised May 2021.
• Yang Zhao & Zhonglu Chen, 2021, "Forecasting stock price movement: new evidence from a novel hybrid deep learning model," Journal of Asian Business and Economic Studies, Emerald Group Publishing Limited, volume 29, issue 2, pages 91-104, August, DOI: 10.1108/JABES-05-2021-0061.
• Simplice Asongu & Rexon Nting, 2021, "The mobile phone in governance for environmental sustainability in Sub-Saharan Africa," Journal of Economic and Administrative Sciences, Emerald Group Publishing Limited, volume 39, issue 1, pages 225-243, June, DOI: 10.1108/JEAS-01-2021-0001.
• Ramona Serrano Bautista & José Antonio Núñez Mora, 2021, "Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 26, issue 52, pages 197-221, November, DOI: 10.1108/JEFAS-03-2021-0009.
• R. Scott Hacker & Abdulnasser Hatemi-J, 2021, "Model selection in time series analysis: using information criteria as an alternative to hypothesis testing," Journal of Economic Studies, Emerald Group Publishing Limited, volume 49, issue 6, pages 1055-1075, September, DOI: 10.1108/JES-09-2020-0469.
• Nikolai Dokuchaev, 2021, "On statistical indistinguishability of complete and incomplete market models," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 1, pages 114-125, February, DOI: 10.1108/SEF-01-2020-0023.
• Houmera Bibi Sabera Nunkoo & Preethee Nunkoo Gonpot & Noor-Ul-Hacq Sookia & T.V. Ramanathan, 2021, "Autoregressive conditional duration models for high frequency financial data: an empirical study on mid cap exchange traded funds," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 39, issue 1, pages 150-173, October, DOI: 10.1108/SEF-04-2021-0146.
• Erdem Başçı & Sıdıka Başçı, 2021, "Demand Deficiency and Inflation in the G7 Countries," International Econometric Review (IER), Economic Research Association, volume 13, issue 3, pages 59-70, September.
• Trakakis Anastasios & Nektarios Miltiadis & Tziaferi Styliani & Prezerakos Panagiotis, 2021, "Measuring Technical Efficiency of Health Centers in Greece: A Data Envelopment Analysis Application for the Primary Health System of Greece," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special 1, pages 1333-1353.
• Natalia Nehrebecka, 2021, "Internal Credit Risk Models and Digital Transformation: What to Prepare for? An Application to Poland," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special 2, pages 719-736.
• Tii N. Nchofoung & Simplice A. Asongu, 2021, "ICT for Sustainable Development: Global Comparative Evidence of Globalisation Thresholds," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 20/061, Jan.
• Simplice A. Asongu & Joseph Nnanna, 2021, "Globalization, Governance and the Green Economy in Sub-Saharan Africa: Policy Thresholds," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 21/015, Jan.
• Simplice A. Asongu & Tii N. Nchofoung, 2021, "The terrorism-finance nexus contingent on globalisation and governance dynamics in Africa," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 21/016, Mar.
• Simplice A. Asongu & Rexon T. Nting, 2021, "The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 21/035, Jan.
• Isaac K. Ofori & Christopher Quaidoo & Pamela E. Ofori, 2021, "What Drives Financial Sector Development in Africa? Insights from Machine Learning," Working Papers, European Xtramile Centre of African Studies (EXCAS), number 21/074, Jan.
• Karen Poghosyan & Ruben Poghosyan, 2021, "On the Applicability of Dynamic Factor Models for Forecasting Real GDP Growth in Armenia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 71, issue 1, pages 52-79, June.
• Anna Gloria Billé & Alessio Tomelleri & Francesco Ravazzolo, 2021, "Forecasting Regional GDPs: a Comparison with Spatial Dynamic Panel Data Models," FBK-IRVAPP Working Papers, Research Institute for the Evaluation of Public Policies (IRVAPP), Bruno Kessler Foundation, number 2021-02, Dec.
• Paolo Maranzano & Joao Paulo Cerdeira Bento & Matteo Manera, 2021, "The Role of Education and Income Inequality on Environmental Quality. A Panel Data Analysis of the EKC Hypothesis on OECD," Working Papers, Fondazione Eni Enrico Mattei, number 2021.08, Mar.
• Lutz Kilian, 2021, "Comment on Giacomini, Kitagawa and Read's 'Narrative Restrictions and Proxies'," Working Papers, Federal Reserve Bank of Dallas, number 2117, Dec, DOI: 10.24149/wp2117.
• Neil R. Ericsson, 2021, "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1311, Mar, DOI: 10.17016/IFDP.2021.1311.
• Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021, "Robust Bayesian Analysis for Econometrics," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2021-11, Aug, DOI: 10.21033/wp-2021-11.
• Thomas R. Cook & Zach Modig & Nathan M. Palmer, 2021, "Explaining Machine Learning by Bootstrapping Partial Marginal Effects and Shapley Values," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 21-12, Nov, revised 06 Aug 2024, DOI: 10.18651/RWP2021-12.
• Simon Freyaldenhoven, 2021, "Factor Models with Local Factors—Determining the Number of Relevant Factors," Working Papers, Federal Reserve Bank of Philadelphia, number 21-15, Apr, DOI: 10.21799/frbp.wp.2021.15.
• Simon Freyaldenhoven & Christian Hansen & Jorge Perez Perez & Jesse Shapiro, 2021, "Visualization, Identification, and stimation in the Linear Panel Event-Study Design," Working Papers, Federal Reserve Bank of Philadelphia, number 21-44, Dec, DOI: 10.21799/frbp.wp.2021.44.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021, "Multivariate Hermite polynomials and information matrix tests," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2021_07, May.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021, "Tests for random coefficient variation in vector autoregressive models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2021_18, Oct.
• Emil Heesche & Peter Bogetoft, 2021, "Incentives in regulatory DEA models with discretionary outputs: The case of Danish water regulation," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics, number 2021/04, May.
• Fabian Knorre & Martin Wagner & Maximilian Grupe, 2021, "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions," Econometrics, MDPI, volume 9, issue 1, pages 1-35, March.
• Katarina Juselius, 2021, "Searching for a Theory That Fits the Data: A Personal Research Odyssey," Econometrics, MDPI, volume 9, issue 1, pages 1-27, February.
• Gustavo Canavire-Bacarreza & Luis Castro Peñarrieta & Darwin Ugarte Ontiveros, 2021, "Outliers in Semi-Parametric Estimation of Treatment Effects," Econometrics, MDPI, volume 9, issue 2, pages 1-32, April.
• David H. Bernstein & Andrew B. Martinez, 2021, "Jointly Modeling Male and Female Labor Participation and Unemployment," Econometrics, MDPI, volume 9, issue 4, pages 1-14, December.
• Dean Fantazzini & Julia Pushchelenko & Alexey Mironenkov & Alexey Kurbatskii, 2021, "Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg," Forecasting, MDPI, volume 3, issue 4, pages 1-30, October.
• Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021, "Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails," JRFM, MDPI, volume 14, issue 11, pages 1-17, October.
• Pushpa Dissanayake & Teresa Flock & Johanna Meier & Philipp Sibbertsen, 2021, "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Mathematics, MDPI, volume 9, issue 21, pages 1-33, November.
• Diego Chicana & Rafael Nivin, 2021, "Evaluating Growth-at-Risk as a tool for monitoring macro-financial risks in the Peruvian economy," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 07-2021, Apr.
• Dimitris Korobilis & Kenichi Shimizu, 2021, "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers, Business School - Economics, University of Glasgow, number 2021_19, Nov.
• Céline Huber & Luc Doyen & Sylvie Ferrari, 2021, "Profitability and conservation goals reconciled through biodiversity offsets," Bordeaux Economics Working Papers, Bordeaux School of Economics (BSE), number 2021-19.
• Julia Kielmann & Hans Manner & Aleksey Min, 2021, "Stock Market Returns and Oil Price Shocks: A CoVaR Analysis based on Dynamic Vine Copula Models," Graz Economics Papers, University of Graz, Department of Economics, number 2021-01, Jan.
• Hans Manner & Gabriel Rodriguez & Florian St ckler, 2021, "A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets," Graz Economics Papers, University of Graz, Department of Economics, number 2021-14, Dec.
• Edmund Chijeh & Eric Tamuke & Alhaji Sorie & Ibrahim Barrie, 2021, "Analysing Monetary Policy And Productivity Shocks On Output, Inflation And Monetary Policy Rate In Sierra Leone: A DSGE Approach," West African Financial and Economic Review (WAFER), WEST AFRICAN INSTITUTE FOR FINANCIAL AND ECONOMIC MANAGEMENT (WAIFEM), volume 21, issue 2, pages 141-150, December.
• Neil R. Ericsson, 2021, "Dynamic Econometrics in Action: A Biography of David F. Hendry," Working Papers, The George Washington University, The Center for Economic Research, number 2021-001, Mar.
• David H. Bernstein & Andrew B. Martinez, 2021, "Jointly Modeling Male and Female Labor Participation and Unemployment," Working Papers, The George Washington University, The Center for Economic Research, number 2021-006, Nov.
• Siddhartha Chib & Minchul Shin & Anna Simoni, 2022, "Bayesian Estimation and Comparison of Conditional Moment Models," Post-Print, HAL, number hal-03504122, Jul.
• Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Post-Print, HAL, number hal-03526444, Sep, DOI: 10.1287/mnsc.2020.3751.
• Sangram Keshari Jena & Amine Lahiani & Aviral Kumar Tiwari & David Roubaud, 2021, "Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study," Post-Print, HAL, number hal-03573202, Dec, DOI: 10.1016/j.resourpol.2021.102277.
• Dissanayake, Pushpa & Flock, Teresa & Meier, Johanna & Sibbertsen, Philipp, 2021, "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-690, Sep.
• Virk, Nader & Javed, Farrukh & Awartani, Basel, 2021, "A reality check on the GARCH-MIDAS volatility models," Working Papers, Örebro University, School of Business, number 2021:2, Mar.
• Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021, "Vector autoregression models with skewness and heavy tails," Working Papers, Örebro University, School of Business, number 2021:8, May.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021, "Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances," Working Papers, Örebro University, School of Business, number 2021:9, May.
• Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021, "A dynamic leverage stochastic volatility model," Working Papers, Örebro University, School of Business, number 2021:14, May.
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• Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2021, "Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR," International Journal of Central Banking, International Journal of Central Banking, volume 17, issue 71, pages 1-41, December.
• Callum Jones & Mr. Pau Rabanal, 2021, "Credit Cycles, Fiscal Policy, and Global Imbalances," IMF Working Papers, International Monetary Fund, number 2021/043, Feb.
• Bárbara Ruth Trejo Becerril & Alberto Gallegos David, 2021, "Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 2, pages 1-26, Abril - J.
• Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, volume 67, issue 9, pages 5730-5754, September, DOI: 10.1287/mnsc.2020.3751.
• João A. Bastos & Sara M. Matos, 2021, "Explainable models of credit losses," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2021/0161, Feb.
• Rodriguez Castelan, Carlos & Ochoa, Rogelio Granguillhome & Lach, Samantha & Masaki, Takaaki, 2021, "Mobile Internet Adoption in West Africa," IZA Discussion Papers, IZA Network @ LISER, number 14151, Feb.
• Francesco Campigli & Gabriele Tedeschi & Maria Cristina Recchioni, 2021, "The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2021/03.
• Zamira Oskonbaeva, 2021, "Main drivers of tobacco consumption among adolescents- the case of Kyrgyzstan," Journal of Applied Microeconometrics, Holistence Publications, volume 1, issue 1, pages 29-39, June, DOI: 10.53753/jame.1.1.03.
• Vibhuti Vasishth & Sanjay Sehgal & Gagan Sharma, 2021, "Size Effect in Indian Equity Market: Myth or Reality?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 1, pages 101-119, March, DOI: 10.1007/s10690-020-09318-0.
• Robert Donnelly & Francisco J.R. Ruiz & David Blei & Susan Athey, 2021, "Counterfactual inference for consumer choice across many product categories," Quantitative Marketing and Economics (QME), Springer, volume 19, issue 3, pages 369-407, December, DOI: 10.1007/s11129-021-09241-2.
• Robert Donnelly & Francisco J. R. Ruiz & David Blei & Susan Athey, 2021, "Correction to: Counterfactual inference for consumer choice across many product categories," Quantitative Marketing and Economics (QME), Springer, volume 19, issue 3, pages 409-409, December, DOI: 10.1007/s11129-021-09245-y.
• A. Hachicha & F. Hachicha, 2021, "Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 2, pages 647-673, February, DOI: 10.1007/s11156-020-00905-w.
• Cem Cakmakli & Verda Ozturk, 2021, "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 2110, Jul.
• Florian Eckert & Nina Mühlebach, 2021, "Global and Local Components of Output Gaps," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 21-497, Nov, DOI: 10.3929/ethz-b-000514977.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021, "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 21.14, Feb.
• Schlicht, Ekkehart, 2021, "VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C," Discussion Papers in Economics, University of Munich, Department of Economics, number 75514.
• Schlicht, Ekkehart, 2022, "VC - A Program for Estimating Time-Varying Coefficients," Discussion Papers in Economics, University of Munich, Department of Economics, number 92509.
• Schlicht, Ekkehart, 2021, "VC - A Program for Estimating Time-Varying Coefficients," Software in Economics, University of Munich, Department of Economics, number 74981, revised .
• Boriss Siliverstovs, 2021, "Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth," Working Papers, Latvijas Banka, number 2021/01, Feb.
• Don Bredin & Stilianos Fountas & Christos Savva, 2021, "Is British Output Growth Related to its Uncertainty? Evidence using Eight Centuries of Data," Discussion Paper Series, Department of Economics, University of Macedonia, number 2021_02, Feb, revised Feb 2021.
• Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2021, "Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?," Monash Economics Working Papers, Monash University, Department of Economics, number 2021-08, Sep.
• François Gardes, 2021, "Sur l'anthropologie économique de Bourdieu et la sociologie de la consommation de Simon Langlois," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21021, Jan.
• Matthew Backus & Christopher Conlon & Michael Sinkinson, 2021, "Common Ownership and Competition in the Ready-to-Eat Cereal Industry," NBER Working Papers, National Bureau of Economic Research, Inc, number 28350, Jan.
• Sebastian Galiani & Juan Pantano, 2021, "Structural Models: Inception and Frontier," NBER Working Papers, National Bureau of Economic Research, Inc, number 28698, Apr.
• Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021, "Heterogeneity and Aggregate Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 28853, May.
• Simon Freyaldenhoven & Christian Hansen & Jorge Pérez Pérez & Jesse M. Shapiro, 2021, "Visualization, Identification, and Estimation in the Linear Panel Event-Study Design," NBER Working Papers, National Bureau of Economic Research, Inc, number 29170, Aug.
• Christiane Baumeister, 2021, "Measuring Market Expectations," NBER Working Papers, National Bureau of Economic Research, Inc, number 29232, Sep.
• Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021, "Predicting the Oil Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 29379, Oct.
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• Bhattacharya, Rudrani & Bhandari, Bornali & Mundle, Sudipto, 2021, "Nowcasting India's Quarterly GDP Growth: A Factor Augmented Time-Varying Coefficient Regression Model (FA-TVCRM)," Working Papers, National Institute of Public Finance and Policy, number 21/357, Oct.
• Iva Raycheva, 2021, "Child Poverty among European Countries and Bulgaria’s Place among Them. Statistical Analysis of Convergence," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 37-51, September.
• Katarina Juselius, 2021, "Disequilibrium macroeconometrics
  [The financial crisis and the systemic failure of the academics profession]," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, volume 30, issue 2, pages 357-376.
• Cristiano Cantore & Filippo Ferroni & Miguel León-Ledesma, 2021, "The Missing Link: Monetary Policy and The Labor Share," Journal of the European Economic Association, European Economic Association, volume 19, issue 3, pages 1592-1620.
• Irina Zviadadze, 2021, "Term Structure of Risk in Expected Returns
  [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 12, pages 6032-6086.
• Yacine Aït-Sahalia & Chenxu Li & Chen Xu Li, 2021, "Implied Stochastic Volatility Models
  [Testing continuous-time models of the spot interest rate]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 394-450.
• Solano Sánchez, Miguel Ángel & Núñez Tabales, Julia M. & Caridad y Ocerin, José M., 2021, "Un modelo hedónico para los alquileres turísticos en la ciudad de Sevilla. || A hedonic model for the vacation rentals in the city of Seville," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 31, issue 1, pages 144-160, June, DOI: https://doi.org/10.46661/revmetodos.
• Alessandro Bitetto & Paola Cerchiello & Stefano Filomeni & Alessandra Tanda & Barbara Tarantino, 2021, "Machine Learning and Credit Risk: Empirical Evidence from SMEs," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 201, Feb.
• Alessandro Bitetto & Stefano Filomeni & Michele Modina, 2021, "Understanding corporate default using Random Forest: The role of accounting and market information," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 205, Oct.
• Jesús Mur, 2021, "A Simple Test of Spatial Autocorrelation for Centered Variables," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 44, issue 87, pages 41-55.
• Fernando A. López Hernández & Román Mínguez Salidos, 2021, "The Scan-LM to Test Instability in the Constant Coefficient of Spatial Autoregressive Models," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 44, issue 87, pages 74-88.
• Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2021, "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2021-502, DOI: 10.18800/2079-8474.0502.
• Gabriel Rodríguez & Paul Castillo & Harumi Hasegawa, 2021, "Does the Central Bank of Peru Respond to Exchange Rate Movements? A Bayesian Estimation of a New Keynesian DSGE Model with FX Interventions," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2021-504, DOI: 10.18800/2079-8474.0504.
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• Kistóth, Krisztina, 2021, "Measuring and Analysing the Financial Performance of State-Owned Economic Entities," Public Finance Quarterly, Corvinus University of Budapest, volume 66, issue S2, pages 31-51, DOI: https://doi.org/10.35551/PFQ_2021_s.
• Jackson, Emerson Abraham & Tamuke, Edmund, 2021, "The Science and Art of Communicating Fan Chart Uncertainty: The case of Inflation Outcome in Sierra Leone," MPRA Paper, University Library of Munich, Germany, number 105892, Jan, revised 05 Jan 2021.
• Pincheira, Pablo & Hardy, Nicolas, 2021, "The Mean Squared Prediction Error Paradox," MPRA Paper, University Library of Munich, Germany, number 107403, Apr.
• Subramaniam, Viswanatha, 2021, "Developmment aceleration - a practical methodology," MPRA Paper, University Library of Munich, Germany, number 107606, May.
• Pincheira, Pablo & Hardy, Nicolas & Bentancor, Andrea & Henriquez, Cristóbal & Tapia, Ignacio, 2021, "Forecasting Base Metal Prices with an International Stock Index," MPRA Paper, University Library of Munich, Germany, number 107828, May.
• Ofori, Isaac K, 2021, "Catching The Drivers of Inclusive Growth In Sub-Saharan Africa: An Application of Machine Learning," MPRA Paper, University Library of Munich, Germany, number 108622.
• Kindop, Igor, 2021, "Ubiquitous multimodality in mixed causal-noncausal processes," MPRA Paper, University Library of Munich, Germany, number 109594, Jul, revised 04 Sep 2021.
• Asongu, Simplice & Nnanna, Joseph, 2021, "Globalization, Governance and the Green Economy in Sub-Saharan Africa: Policy Thresholds," MPRA Paper, University Library of Munich, Germany, number 109905, Jan.
• Asongu, Simplice & Nchofoung, Tii, 2021, "The terrorism-finance nexus contingent on globalisation and governance dynamics in Africa," MPRA Paper, University Library of Munich, Germany, number 110130, Jan.
• Fantazzini, Dean & Pushchelenko, Julia & Mironenkov, Alexey & Kurbatskii, Alexey, 2021, "Forecasting internal migration in Russia using Google Trends: Evidence from Moscow and Saint Petersburg," MPRA Paper, University Library of Munich, Germany, number 110452.
• Asongu, Simplice & Nting, Rexon, 2021, "The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa," MPRA Paper, University Library of Munich, Germany, number 110608, Jan.
• Nchofoung, Tii & Asongu, Simplice, 2021, "ICT for Sustainable Development: Global Comparative Evidence of Globalisation Thresholds," MPRA Paper, University Library of Munich, Germany, number 110754, Jan.
• Korobilis, Dimitris & Shimizu, Kenichi, 2021, "Bayesian Approaches to Shrinkage and Sparse Estimation," MPRA Paper, University Library of Munich, Germany, number 111631, Dec.
• De Vos, Ignace & Everaert, Gerdie & Sarafidis, Vasilis, 2021, "A method for evaluating the rank condition for CCE estimators," MPRA Paper, University Library of Munich, Germany, number 112305, Apr, revised 09 Mar 2022.
• Kombarov, Sayan, 2021, "Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics," MPRA Paper, University Library of Munich, Germany, number 112474, Aug.
• Afees A. Salisu & Umar Bida Ndako & Rangan Gupta, 2021, "Forecasting US Output Growth with Large Information Sets," Working Papers, University of Pretoria, Department of Economics, number 202103, Jan.
• Christiane Baumeister, 2021, "Measuring Market Expectations," Working Papers, University of Pretoria, Department of Economics, number 202163, Sep.
• Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021, "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers, University of Pretoria, Department of Economics, number 202164, Sep.
• Matthew D. Cocci & Mikkel Plagborg-Møller, 2021, "Standard Errors for Calibrated Parameters," Working Papers, Princeton University. Economics Department., number 2021-20, Sep.
• Nikolay Iskrev, 2021, "Spectral decomposition of the information about latent variables in dynamic macroeconomic models," Working Papers, Banco de Portugal, Economics and Research Department, number w202105.
• Bhumjai Tangsawasdirat & Suranan Tanpoonkiat & Burasakorn Tangsatchanan, 2021, "Credit Risk Database: Credit Scoring Models for Thai SMEs," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 168, Nov.
• N'Golo Kone, 2021, "Efficient mean-variance portfolio selection by double regularization," Working Paper, Economics Department, Queen's University, number 1453, Feb.
• Gomez-Gonzalez, Jose Eduardo & Gualtero-Briceño, Daniela & Melo-Velandia, Luis Fernando, 2021, "Estimating the Value at Risk of a bank’s portfolio in sovereign bonds using a DCC-Copula model," Working papers, Red Investigadores de Economía, number 75, Feb.
• Mortaza OJAGHLOU & Rozita SATVATİ, 2021, "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Turkey," Bulletin of Economic Theory and Analysis, BETA Journals, volume 6, issue 2, pages 79-89.