Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2019

• Moura, Guilherme V. & Santos, André A. P. & Ruiz Ortega, Esther, 2019, "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 29291, Nov.
• Guillaume MAROIS & Patrick SABOURIN & Alain BÉLANGER, 2019, "Forecasting Human Capital of EU Member Countries Accounting for Sociocultural Determinants," JODE - Journal of Demographic Economics, Cambridge University Press, volume 85, issue 3, pages 231-269, September, DOI: 10.1017/dem.2019.4.
• Damià Rey Miró & Pedro V. Piffaut, 2019, "Índice de Calidad Financiera (iCF)," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 42, issue 119, pages 189-206, Mayo.
• Fuwei Jiang & Joshua Lee & Xiumin Martin & Guofu Zhou, 2019, "Manager sentiment and stock returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 677.
• Ibrahim D. Raheem & Kazeem Isah, 2019, "The Jolly Ride of International Reserves and Commodity Prices: Evidence from Predictive Models," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 063, Mar.
• Elias A. Udeaja & Kazeem Isah, 2019, "Revisiting the accuracy of inflation forecasts in Nigeria: the oil price –exchange rate perspectives," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 065, Apr.
• Fries, Sébastien & Zakoian, Jean-Michel, 2019, "Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles," Econometric Theory, Cambridge University Press, volume 35, issue 6, pages 1234-1270, December.
• Voon, Derby & Fogarty, James, 2019, "A Note on Forecasting Alcohol Demand," Journal of Wine Economics, Cambridge University Press, volume 14, issue 2, pages 208-213, May.
• Barnett, William A. & Su, Liting, 2019, "Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue S1, pages 90-114, September.
• Adelajda MATUKA, 2019, "Bank credit to the private sector: VECM approach for Albania," Journal of Economics and Political Economy, EconSciences Journals, volume 6, issue 2, pages 159-171, June.
• Julius N. ANYU & William G. DZEKASHU, 2019, "China’s enterprises in Africa: Market entry strategies, implications for capacity building, and corporate social responsibility," Journal of Economics and Political Economy, EconSciences Journals, volume 6, issue 2, pages 172-180, June.
• Brian MICALLEF, 2019, "Measuring the effects of structural reforms in Malta," Journal of Economics and Political Economy, EconSciences Journals, volume 6, issue 4, pages 344-367, December.
• Liaqat Ali CHANDIO & Amir Ahmed KHUHRO, 2019, "The US-Pakistan relationship in South Asia, 2001-2012: A case study of Afghanistan," Journal of Economics and Political Economy, EconSciences Journals, volume 6, issue 4, pages 383-391, December.
• Emilio Colombo & Matteo Pelagatti, 2019, "Statistical Learning and Exchange Rate Forecasting," DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo, Università Cattolica del Sacro Cuore, Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo (DISEIS), number dis1901.
• Konstantin A. Kholodilin & Claus Michelsen, 2019, "High Risk of a Housing Bubble in Germany and Most OECD Countries," DIW Weekly Report, DIW Berlin, German Institute for Economic Research, volume 9, issue 32, pages 265-273.
• Konstantin A. Kholodilin & Claus Michelsen, 2019, "Das Risiko einer Immobilienpreisblase ist in Deutschland sowie in den meisten OECD-Ländern hoch," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 86, issue 32, pages 547-555.
• Page, Adrian & Lambrias, Kyriacos, 2019, "The performance of the Eurosystem/ECB staff macroeconomic projections since the financial crisis," Economic Bulletin Articles, European Central Bank, volume 8.
• Angelini, Elena & Lalik, Magdalena & Lenza, Michele & Paredes, Joan, 2019, "Mind the gap: a multi-country BVAR benchmark for the Eurosystem projections," Working Paper Series, European Central Bank, number 2227, Jan.
• Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2019, "Forecasting daily electricity prices with monthly macroeconomic variables," Working Paper Series, European Central Bank, number 2250, Mar.
• Kontogeorgos, Georgios & Lambrias, Kyriacos, 2019, "An analysis of the Eurosystem/ECB projections," Working Paper Series, European Central Bank, number 2291, Jun.
• Chavleishvili, Sulkhan & Manganelli, Simone, 2019, "Forecasting and stress testing with quantile vector autoregression," Working Paper Series, European Central Bank, number 2330, Nov.
• de Bondt, Gabe & Gieseck, Arne & Zekaite, Zivile & Herrero, Pablo, 2019, "Disaggregate income and wealth effects in the largest euro area countries," Working Paper Series, European Central Bank, number 2343, Dec.
• Yao Thibaut Kpegli & Bator Anne, 2019, "Poisson-model Analysis of Power Alternation in Africa," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 1, pages 116-120.
• Chin-Sheng Huang & Yi-Sheng Liu, 2019, "Machine Learning on Stock Price Movement Forecast: The Sample of the Taiwan Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 2, pages 189-201.
• Mariem Talbi & Amel Ben Halima, 2019, "Global Contagion of Investor Sentiment during the US Subprime Crisis: The Case of the USA and the Region of Latin America," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 3, pages 163-174.
• Arindam Banerjee, 2019, "Forecasting of India VIX as a Measure of Sentiment," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 3, pages 268-276.
• Chia-Cheng Chen & Yisheng Liu & Ting-Hsin Hsu, 2019, "An Analysis on Investment Performance of Machine Learning: An Empirical Examination on Taiwan Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 4, pages 1-10.
• Ademola Abdulkareem & E. J. Okoroafor & Ayokunle Awelewa & Aderibigbe Adekitan, 2019, "Pseudo-Inverse Matrix Model for Estimating Long-Term Annual Peak Electricity Demand: The Covenant University s Experience," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 4, pages 103-109.
• Warsono Warsono & Edwin Russel & Wamiliana Wamiliana & Widiarti Widiarti & Mustofa Usman, 2019, "Modeling and Forecasting by the Vector Autoregressive Moving Average Model for Export of Coal and Oil Data (Case Study from Indonesia over the Years 2002-2017)," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 4, pages 240-247.
• Lucheroni, Carlo & Boland, John & Ragno, Costantino, 2019, "Scenario generation and probabilistic forecasting analysis of spatio-temporal wind speed series with multivariate autoregressive volatility models," Applied Energy, Elsevier, volume 239, issue C, pages 1226-1241, DOI: 10.1016/j.apenergy.2019.02.015.
• Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019, "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, volume 60, issue C, pages 45-68, DOI: 10.1016/j.asieco.2018.10.005.
• Guo, Jing & Zhang, Zhengyu, 2019, "Does renaming promote economic development? New evidence from a city-renaming reform experiment in China," China Economic Review, Elsevier, volume 57, issue C, DOI: 10.1016/j.chieco.2019.101344.
• McKenzie, David & Sansone, Dario, 2019, "Predicting entrepreneurial success is hard: Evidence from a business plan competition in Nigeria," Journal of Development Economics, Elsevier, volume 141, issue C, DOI: 10.1016/j.jdeveco.2019.07.002.
• Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019, "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, volume 103, issue C, pages 234-259, DOI: 10.1016/j.jedc.2019.04.003.
• Kapetanios, George & Masolo, Riccardo M. & Petrova, Katerina & Waldron, Matthew, 2019, "A time-varying parameter structural model of the UK economy," Journal of Economic Dynamics and Control, Elsevier, volume 106, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.05.012.
• Fiszeder, Piotr & Fałdziński, Marcin, 2019, "Improving forecasts with the co-range dynamic conditional correlation model," Journal of Economic Dynamics and Control, Elsevier, volume 108, issue C, DOI: 10.1016/j.jedc.2019.103736.
• Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019, "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, volume 109, issue C, DOI: 10.1016/j.jedc.2019.103777.
• Plachel, Lukas, 2019, "A unified model for regularized and robust portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, volume 109, issue C, DOI: 10.1016/j.jedc.2019.103779.
• Kolidakis, Stylianos & Botzoris, George & Profillidis, Vassilios & Lemonakis, Panagiotis, 2019, "Road traffic forecasting — A hybrid approach combining Artificial Neural Network with Singular Spectrum Analysis," Economic Analysis and Policy, Elsevier, volume 64, issue C, pages 159-171, DOI: 10.1016/j.eap.2019.08.002.
• Zhang, Yaojie & Ma, Feng & Zhu, Bo, 2019, "Intraday momentum and stock return predictability: Evidence from China," Economic Modelling, Elsevier, volume 76, issue C, pages 319-329, DOI: 10.1016/j.econmod.2018.08.009.
• Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019, "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, volume 78, issue C, pages 32-39, DOI: 10.1016/j.econmod.2018.09.014.
• El-Shagi, Makram, 2019, "Rationality tests in the presence of instabilities in finite samples," Economic Modelling, Elsevier, volume 79, issue C, pages 242-246, DOI: 10.1016/j.econmod.2018.11.011.
• González-Astudillo, Manuel & Baquero, Daniel, 2019, "A nowcasting model for Ecuador: Implementing a time-varying mean output growth," Economic Modelling, Elsevier, volume 82, issue C, pages 250-263, DOI: 10.1016/j.econmod.2019.01.010.
• Tissaoui, Kais & Azibi, Jamel, 2019, "International implied volatility risk indexes and Saudi stock return-volatility predictabilities," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 65-84, DOI: 10.1016/j.najef.2018.11.016.
• Salisu, Afees A. & Isah, Kazeem & Akanni, Lateef O., 2019, "Improving the predictability of stock returns with Bitcoin prices," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 857-867, DOI: 10.1016/j.najef.2018.08.010.
• Nonejad, Nima, 2019, "Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101022.
• Paccagnini, Alessia, 2019, "Did financial factors matter during the Great Recession?," Economics Letters, Elsevier, volume 174, issue C, pages 26-30, DOI: 10.1016/j.econlet.2018.10.005.
• Delle Monache, Davide & Petrella, Ivan, 2019, "Efficient matrix approach for classical inference in state space models," Economics Letters, Elsevier, volume 181, issue C, pages 22-27, DOI: 10.1016/j.econlet.2019.04.012.
• Uddin, Gazi Salah & Gençay, Ramazan & Bekiros, Stelios & Sahamkhadam, Maziar, 2019, "Enhancing the predictability of crude oil markets with hybrid wavelet approaches," Economics Letters, Elsevier, volume 182, issue C, pages 50-54, DOI: 10.1016/j.econlet.2019.05.041.
• Cuesta, Jose & Chagalj, Cristian, 2019, "Measuring poverty with administrative data in data deprived contexts: The case of Nicaragua," Economics Letters, Elsevier, volume 183, issue C, pages 1-1, DOI: 10.1016/j.econlet.2019.108573.
• Gozgor, Giray & Lau, Chi Keung Marco & Sheng, Xin & Yarovaya, Larisa, 2019, "The role of uncertainty measures on the returns of gold," Economics Letters, Elsevier, volume 185, issue C, DOI: 10.1016/j.econlet.2019.108680.
• Kim, Donggyu & Fan, Jianqing, 2019, "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, volume 208, issue 2, pages 395-417, DOI: 10.1016/j.jeconom.2018.10.003.
• Rossi, Barbara & Sekhposyan, Tatevik, 2019, "Alternative tests for correct specification of conditional predictive densities," Journal of Econometrics, Elsevier, volume 208, issue 2, pages 638-657, DOI: 10.1016/j.jeconom.2018.07.008.
• Liao, Jun & Zong, Xianpeng & Zhang, Xinyu & Zou, Guohua, 2019, "Model averaging based on leave-subject-out cross-validation for vector autoregressions," Journal of Econometrics, Elsevier, volume 209, issue 1, pages 35-60, DOI: 10.1016/j.jeconom.2018.10.007.
• Boot, Tom & Nibbering, Didier, 2019, "Forecasting using random subspace methods," Journal of Econometrics, Elsevier, volume 209, issue 2, pages 391-406, DOI: 10.1016/j.jeconom.2019.01.009.
• Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019, "Bayesian compressed vector autoregressions," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 135-154, DOI: 10.1016/j.jeconom.2018.11.009.
• McAlinn, Kenichiro & West, Mike, 2019, "Dynamic Bayesian predictive synthesis in time series forecasting," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 155-169, DOI: 10.1016/j.jeconom.2018.11.010.
• Kastner, Gregor, 2019, "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 98-115, DOI: 10.1016/j.jeconom.2018.11.007.
• Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2019, "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 137-154, DOI: 10.1016/j.jeconom.2019.04.024.
• Korobilis, Dimitris & Pettenuzzo, Davide, 2019, "Adaptive hierarchical priors for high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 241-271, DOI: 10.1016/j.jeconom.2019.04.029.
• Giessing, Alexander & He, Xuming, 2019, "On the predictive risk in misspecified quantile regression," Journal of Econometrics, Elsevier, volume 213, issue 1, pages 235-260, DOI: 10.1016/j.jeconom.2019.04.013.
• Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019, "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, volume 213, issue 2, pages 493-515, DOI: 10.1016/j.jeconom.2019.07.002.
• Sutton, Maxwell & Vasnev, Andrey L. & Gerlach, Richard, 2019, "Mixed interval realized variance: A robust estimator of stock price volatility," Econometrics and Statistics, Elsevier, volume 11, issue C, pages 43-62, DOI: 10.1016/j.ecosta.2018.06.001.
• Leippold, Markus & Yang, Hanlin, 2019, "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 25-41, DOI: 10.1016/j.ecosta.2019.07.001.
• Ghysels, Eric & Qian, Hang, 2019, "Estimating MIDAS regressions via OLS with polynomial parameter profiling," Econometrics and Statistics, Elsevier, volume 9, issue C, pages 1-16, DOI: 10.1016/j.ecosta.2018.02.001.
• Al-Sadoon, Majid M., 2019, "Testing subspace Granger causality," Econometrics and Statistics, Elsevier, volume 9, issue C, pages 42-61, DOI: 10.1016/j.ecosta.2017.08.003.

2018

• Philip Hans Franses, 2018, "Prediction Intervals For Expert-Adjusted Forecasts," Advances in Decision Sciences, Asia University, Taiwan, volume 22, issue 1, pages 308-320, December.
• Emilio Zanetti Chini, 2018, "Forecaster’s utility and forecasts coherence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-01, Jan.
• Torben G. Andersen & Rasmus T. Varneskov, 2018, "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-09, Feb.
• Isabel Casas & Xiuping Mao & Helena Veiga, 2018, "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-10, Mar.
• Emilio Zanetti Chini, 2018, "Forecasters’ utility and forecast coherence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-23, Aug.
• Erik Christian Montes Schütte, 2018, "In Search of a Job: Forecasting Employment Growth in the US using Google Trends," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-25, Aug.
• Sebastian Ankargren & Måns Unosson & Yukai Yang, 2018, "A mixed-frequency Bayesian vector autoregression with a steady-state prior," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-32, Dec.
• James Barth & Sunghoon Joo & Hyeongwoo Kim & Kang Bok Lee & Stevan Maglic & Xuan Shen, 2018, "Forecasting Net Charge-Off Rates of Banks: A PLS Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2018-03, Apr.
• Emerson Abraham Jackson & Edmond Tamuke & Abdulai Sillah, 2018, "Modelling Monthly Headline Consumer Price Index (HCPI) through Seasonal Box-Jenkins Methodology," International Journal of Sciences, Office ijSciences, volume 7, issue 01, pages 51-56, January, DOI: 10.18483/ijSci.1507.
• Rahul Deb & Mallesh M. Pai & Maher Said, 2018, "Evaluating Strategic Forecasters," American Economic Review, American Economic Association, volume 108, issue 10, pages 3057-3103, October.
• Edward L. Glaeser & Hyunjin Kim & Michael Luca, 2018, "Nowcasting Gentrification: Using Yelp Data to Quantify Neighborhood Change," AEA Papers and Proceedings, American Economic Association, volume 108, pages 77-82, May.
• Sriyana, Jaka, 2018, "Inflationary effects of fiscal and monetary policies in Indonesia," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), volume 14, issue 3, June, DOI: 10.22004/ag.econ.287222.
• Emrah Gulay, 2018, "Comparing Simple Forecasting Methods and Complex Methods: A Frame of Forecasting Competition," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 65, issue 2, pages 159-169, June.
• Marco Ginanneschi & Pietro Piu, 2018, "The Role of e-Commerce in the Success of Low-cost Carriers," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 65, issue 4, pages 407-425, December.
• Hanna Tarasova, 2018, "Scientific and methodical approach to adaptive diversification of industrial enterprise development under crisis conditions," Virtual Economics, The London Academy of Science and Business, volume 1, issue 1, pages 42-52, October, DOI: 10.34021/ve.2018.01.01(3).
• Serge Darolles & Christian Francq & Sébastien Laurent, 2018, "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1845, Dec.
• Wang, Cindy Shin-Huei & Hafner, Christian, 2018, "A simple solution of the spurious regression problem," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2018044, Jan.
• Mioara POPESCU, 2018, "Data Mining For Analysing Trends And Customer Behaviour Via Internet Searches," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 20, pages 1-7.
• Milind Tiwari, 2018, "Shell Companies – Identification of an Instrument Used for Illicit Purposes: A Pitch," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 17, issue 4, pages 685-692, December.
• Allan Timmermann, 2018, "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 449-479, November, DOI: 10.1146/annurev-financial-110217-02.
• Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018, "Macroeconomic Nowcasting and Forecasting with Big Data," Annual Review of Economics, Annual Reviews, volume 10, issue 1, pages 615-643, August, DOI: 10.1146/annurev-economics-080217-05.
• Oscar Claveria & Enric Monte & Salvador Torra, 2018, "“A regional perspective on the accuracy of machine learning forecasts of tourism demand based on data characteristics”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201802, Apr, revised Apr 2018.
• Oscar Claveria, 2018, "“A new metric of consensus for Likert scales”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201810, Oct, revised Oct 2018.
• Ricardo Crisostomo & Lorena Couso, 2018, "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers, arXiv.org, number 1801.08007, Jan, revised May 2018.
• David Lee, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers, arXiv.org, number 1804.02289, Apr.
• Michael Stanley Smith & Thomas S. Shively, 2018, "Econometric Modeling of Regional Electricity Spot Prices in the Australian Market," Papers, arXiv.org, number 1804.08218, Apr.
• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2018, "Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers," Papers, arXiv.org, number 1804.08315, Apr.
• Laura Liu, 2018, "Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective," Papers, arXiv.org, number 1805.04178, May, revised Oct 2021.
• Florian Ziel & Rafal Weron, 2018, "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Papers, arXiv.org, number 1805.06649, May.
• Victor Chernozhukov & Wolfgang K. Hardle & Chen Huang & Weining Wang, 2018, "LASSO-Driven Inference in Time and Space," Papers, arXiv.org, number 1806.05081, Jun, revised May 2020.
• Ray Fair, 2018, "Information Content of DSGE Forecasts," Papers, arXiv.org, number 1808.02910, Aug.
• Carol Alexander & Emese Lazar & Silvia Stanescu, 2018, "Analytic Moments for GARCH Processes," Papers, arXiv.org, number 1808.09666, Aug, revised Sep 2018.
• Gary Koop & Dimitris Korobilis, 2018, "Bayesian dynamic variable selection in high dimensions," Papers, arXiv.org, number 1809.03031, Sep, revised May 2020.
• Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018, "On LASSO for Predictive Regression," Papers, arXiv.org, number 1810.03140, Oct, revised Feb 2021.
• Tobias Hartl & Roland Weigand, 2018, "Multivariate Fractional Components Analysis," Papers, arXiv.org, number 1812.09149, Dec, revised Jan 2019.
• Renáta Myšková & Petr Hájek & Vladimír Olej, 2018, "Predicting Abnormal Stock Return Volatility Using Textual Analysis of News ? A Meta-Learning Approach," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 20, issue 47, pages 185-185, February.
• Ivan Kozic, 2018, "Medium-Term Forecast Of Tourism Activity In Croatia," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 27, issue 2, pages 419-437, december.
• Dario Buono & George Kapetanios & Massimiliano Marcellino & Gianluigi Mazzi & Fotis Papailias, 2018, "Big Data Econometrics: Now Casting and Early Estimates," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1882.
• Massimo Guidolin & Alexei G. Orlov, 2018, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1887.
• Massimo Guidolin & Andrea Ricci, 2018, "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1888.
• Massimo Guidolin & Andrea Ricci, 2018, "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1889.
• Massimo Guidolin & Alexei Orlov, 2018, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1890.
• Nataliya Bondarchuk & Lesya Vasiljeva, 2018, "Impact Of Operating Costs On Economic Phenomena And The Possibility Of Their Optimization At Processors," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 4, issue 2, DOI: 10.30525/2256-0742/2018-4-2-40-46.
• Olha Kaut & Dmytro Kozenkov & Valentyna Lebedieva, 2018, "Organizational And Methodological Aspects Of Management Of Economic Consequences Of Technical Risks," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 4, issue 3, DOI: 10.30525/2256-0742/2018-4-3-104-114.
• Stavros Degiannakis & George Filis, 2018, "Forecasting European Economic Policy Uncertainty," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES15, Mar.
• Antonio Stasi & Francesco Diotallevi & Andrea Marchini & Gianluca Nardone, 2018, "Italian Extra-Virgin Olive Oil: Impact on Demand on Being Market Leaders, Private Labels or Small Producers," Review of Economics & Finance, Better Advances Press, Canada, volume 13, pages 39-54, August.
• Stephen Wright & James Mitchell & Donald Robertson, 2018, "R2 bounds for predictive models: what univariate properties tell us about multivariate predictability," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1804, Apr.
• Tony Chernis & Rodrigo Sekkel, 2018, "Nowcasting Canadian Economic Activity in an Uncertain Environment," Discussion Papers, Bank of Canada, number 18-9, DOI: 10.34989/sdp-2018-9.
• Lise Pichette & Marie-Noëlle Robitaille & Mohanad Salameh & Pierre St-Amant, 2018, "Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation," Staff Working Papers, Bank of Canada, number 18-10, DOI: 10.34989/swp-2018-10.
• Luis Uzeda, 2018, "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Staff Working Papers, Bank of Canada, number 18-14, DOI: 10.34989/swp-2018-14.
• Patrick Rizzetto, 2018, "GDP by Industry in Real Time: Are Revisions Well Behaved?," Staff Analytical Notes, Bank of Canada, number 2018-40, DOI: 10.34989/san-2018-40.
• Fiorella Dogliolo, 2018, "Investment Nowcasting. A Real-Time Estimate with High Frequency Indicators," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201878, Apr.
• Lorena Garegnani & Mauricio Gómez Aguirre, 2018, "Forecasting Inflation in Argentina," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201879, May.
• Mar Delgado-Téllez & Javier J. Pérez, 2018, "Institutional and economic determinants of regional public debt in Spain," Occasional Papers, Banco de España, number 1807, Jul.
• Pablo Aguilar & Jesús Vázquez, 2018, "Term structure and real-time learning," Working Papers, Banco de España, number 1803, Jan.
• Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018, "Confidence intervals for bias and size distortion in IV and local projections — IV models," Working Papers, Banco de España, number 1841, Dec.
• María Gil & Javier J. Pérez & A. Jesús Sánchez & Alberto Urtasun, 2018, "Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data," Working Papers, Banco de España, number 1842, Dec.
• Simone Emiliozzi & Elisa Guglielminetti & Michele Loberto, 2018, "Forecasting house prices in Italy," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 463, Oct.
• Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018, "The global component of inflation volatility," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1170, Apr.
• Libero Monteforte & Valentina Raponi, 2018, "Short term forecasts of economic activity: are fortnightly factors useful?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1177, Jun.
• Gálvez-Soriano Oscar de Jesús, 2018, "Nowcasting Mexican GDP using Factor Models and Bridge Equations," Working Papers, Banco de México, number 2018-06, Jun.
• Carlos León & Fabio Ortega, 2018, "Nowcasting economic activity with electronic payments data: A predictive modeling approach," Borradores de Economia, Banco de la Republica de Colombia, number 1037, Feb, DOI: 10.32468/be.1037.
• Sophie Béreau & Faubert Violaine & Katia Schmidt, 2018, "Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors," Working papers, Banque de France, number 663.
• Timothée Stumpf-Fétizon & Omiros Papaspiliopoulos & José García-Montalvo, 2018, "Bayesian Forecasting of Electoral Outcomes with new Parties' Competition," Working Papers, Barcelona School of Economics, number 1065, Dec.
• Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2019, "Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models," Working Papers, Barcelona School of Economics, number 1077, Mar.
• Atsushi Inoue & Barbara Rossi, 2019, "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates," Working Papers, Barcelona School of Economics, number 1078, Mar.
• Benjamin K Johannsen & Elmar Mertens, 2018, "A time series model of interest rates with the effective lower bound," BIS Working Papers, Bank for International Settlements, number 715, Apr.
• Michael Brei & Ramon Moreno, 2018, "Reserve requirements and capital flows in Latin America," BIS Working Papers, Bank for International Settlements, number 741, Aug.
• Erzsebet Eva Nagy & Veronika Tengely, 2018, "External and Domestic Drivers of Inflation: The Case Study of Hungary," Russian Journal of Money and Finance, Bank of Russia, volume 77, issue 3, pages 49-64, September, DOI: 10.31477/rjmf.201803.49.
• Mikhail Mamonov & Renat Akhmetov & Vera Pankova & Oleg Solntsev & Anna Pestova & Artem Deshko, 2018, "Identification of Financial Sector Optimal Depth and Structure from the Perspective of Economic Growth, Macroeconomic and Financial Stability," Russian Journal of Money and Finance, Bank of Russia, volume 77, issue 3, pages 89-123, September, DOI: 10.31477/rjmf.201803.89.
• Ivan Baybuza, 2018, "Inflation Forecasting Using Machine Learning Methods," Russian Journal of Money and Finance, Bank of Russia, volume 77, issue 4, pages 42-59, December, DOI: 10.31477/rjmf.201804.42.
• Ramis Khabibullin & Alexey Ponomarenko & Sergei Seleznev, 2018, "Forecasting the implications of foreign exchange reserve accumulation with an agent-based model," Bank of Russia Working Paper Series, Bank of Russia, number wps37, Nov.
• Konstantin Styrin, 2018, "Forecasting inflation in Russia by Dynamic Model Averaging," Bank of Russia Working Paper Series, Bank of Russia, number wps39, Dec.
• Angela Abbate & Massimiliano Marcellino, 2018, "Point, interval and density forecasts of exchange rates with time varying parameter models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 181, issue 1, pages 155-179, January, DOI: 10.1111/rssa.12273.
• Giampiero M. Gallo & Edoardo Otranto, 2018, "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 67, issue 3, pages 549-573, April, DOI: 10.1111/rssc.12253.
• Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2018, "On the Comparison of Interval Forecasts," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 6, pages 953-965, November, DOI: 10.1111/jtsa.12426.
• Daniela Bragoli & Jack Fosten, 2018, "Nowcasting Indian GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 80, issue 2, pages 259-282, April, DOI: 10.1111/obes.12219.
• Lasse Bork & Stig V. Møller, 2018, "Housing Price Forecastability: A Factor Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, volume 46, issue 3, pages 582-611, September, DOI: 10.1111/1540-6229.12185.
• Laura Bisio & Filippo Moauro, 2018, "Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 72, issue 4, pages 471-494, November, DOI: 10.1111/stan.12156.
• Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018, "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics, Boston College Department of Economics, number 952, Jun, revised 29 May 2019.
• Rickard Nyman & Sujit Kapadia & David Tuckett & David Gregory & Paul Ormerod & Robert Smith, 2018, "News and narratives in financial systems: exploiting big data for systemic risk assessment," Bank of England working papers, Bank of England, number 704, Jan.
• Ching-Wai (Jeremy) Chiu & simon hayes & george kapetanios & Konstantinos Theodoridis, 2018, "A new approach for detecting shifts in forecast accuracy," Bank of England working papers, Bank of England, number 721, Apr.
• Matei Demetrescu & Sinem Hacioglu Hoke, 2018, "Predictive regressions under asymmetric loss: factor augmentation and model selection," Bank of England working papers, Bank of England, number 723, May.
• Nikoleta Anesti & Ana Galvão & Silvia Miranda-Agrippino, 2018, "Uncertain Kingdom: nowcasting GDP and its revisions," Bank of England working papers, Bank of England, number 764, Nov.
• Kyosuke Chikamatsu, Naohisa Hirakata, Yosuke Kido, Kazuki Otaka, 2018, "Nowcasting Japanese GDPs," Bank of Japan Working Paper Series, Bank of Japan, number 18-E-18, Nov.
• Bulut Levent & Dogan Can, 2018, "Google Trends and Structural Exchange Rate Models for Turkish Lira–US Dollar Exchange Rate," Review of Middle East Economics and Finance, De Gruyter, volume 14, issue 2, pages 1-12, August, DOI: 10.1515/rmeef-2017-0026.
• Wang Cindy Shin-Huei & Hafner Christian M., 2018, "A simple solution of the spurious regression problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 3, pages 1-14, June, DOI: 10.1515/snde-2015-0040.
• Nicoleta Valentina FLOREA & Anisoara DUICA, 2018, "Improving Relationship With Customers By Reducing Complaints - Using Modelling And Pareto Diagram," Contemporary Economy Journal, Constantin Brancoveanu University, volume 3, issue 1, pages 79-87.
• Lustenberger, Thomas & Rossi, Enzo, 2018, "Does Central Bank Transparency and Communication Affect Financial and Macroeconomic Forecasts?," Working papers, Faculty of Business and Economics - University of Basel, number 2018/06.
• Kuhlmey, Florian & Minke, Matthias, 2018, "Estimating Survival Times Using Swiss Hospital Data," Working papers, Faculty of Business and Economics - University of Basel, number 2018/14.
• Angelica Gianfreda & Derek Bunn, 2018, "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS46, Jan.
• Matus Kubik & Pavol Majher, 2018, "Budgetary Traffic Lights," Discussion Papers, Council for Budget Responsibility, number Discussion Paper No. 2/20, Dec.
• Dunne, Peter G., 2018, "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Research Technical Papers, Central Bank of Ireland, number 5/RT/18, Feb.
• Congressional Budget Office, 2018, "The Accuracy of CBO’s Outlay Projections for Fiscal Year 2017," Reports, Congressional Budget Office, number 53923, Jun.
• Congressional Budget Office, 2018, "The Accuracy of CBO's Baseline Estimates for Fiscal Year 2018," Reports, Congressional Budget Office, number 54872, Dec.
• Chiu,Ching-Wai & Hayes, Simon & Kapetanios, George & Theodoridis, Konstantinos, 2018, "A New Approach for Detecting Shifts in Forecast Accuracy," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/24, Nov.
• Jonas Dovern & Hans Manner, 2018, "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series, CESifo, number 7023.
• Cristina Sattarhoff & Marc Gronwald, 2018, "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series, CESifo, number 7102.
• Florian Urbschat, 2018, "The Good, the Bad, and the Ugly: Impact of Negative Interest Rates and QE on the Profitability and Risk-Taking of 1600 German Banks," CESifo Working Paper Series, CESifo, number 7358.
• Magnus Reif, 2018, "Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 265.
• Markus Heinrich & Magnus Reif, 2018, "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 273.
• Nikoleta Anesti & Ana Beatriz Galvao & Silvia Miranda-Agrippino, 2018, "Uncertain Kingdom: Nowcasting GDP and its Revisions," Discussion Papers, Centre for Macroeconomics (CFM), number 1824, Aug.
• Spencer Wheatley & Didier Sornette & Tobias Huber & Max Reppen & Robert N. Gantner, 2018, "Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-22, Mar, revised Mar 2018.
• Jerome L Kreuser & Didier Sornette, 2018, "Bitcoin Bubble Trouble," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-24, Mar, revised Jun 2018.
• J-C Gerlach & Guilherme Demos & Didier Sornette, 2018, "Dissection of Bitcoin's Multiscale Bubble History," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-30, Apr.
• Feng Zhou & Zhang Qun & Didier Sornette & Liu Jiang, 2018, "Cascading Logistic Regression Onto Gradient Boosted Decision Trees to Predict Stock Market Changes Using Technical Analysis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-50, Jul, revised Aug 2018.
• Michael Mayer & Steven C. Bourassa & Martin Hoesli & Donato Flavio Scognamiglio, 2018, "Estimation and Updating Methods for Hedonic Valuation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-76, Dec.
• Tomas Adam & Filip Novotny, 2018, "Assessing the External Demand of the Czech Economy: Nowcasting Foreign GDP Using Bridge Equations," Working Papers, Czech National Bank, Research and Statistics Department, number 2018/18, Dec.
• J Gallego & G Rivero & J.D. MartÔøΩnez, 2018, "Preventing rather than Punishing: An Early Warning Model of Malfeasance in Public Procurement," Documentos de Trabajo, Universidad del Rosario, number 16724, Sep.
• Carlos León & Fabio Ortega, 2018, "Nowcasting Economic Activity with Electronic Payments Data: A Predictive Modeling Approach," Revista de Economía del Rosario, Universidad del Rosario, volume 21, issue 2, pages 381-407.
• Carlos Andrés Yanes Guerra, 2018, "La reforma laboral de 2002 y la dinámica del empleo industrial en Colombia," Revista Economía y Región, Universidad Tecnológica de Bolívar, volume 12, issue 1, pages 7-35.
• Astrid Martínez Ortiz, 2018, "Estudio sobre el impacto de la actividad petrolera en las regiones productoras de Colombia. Caracterización departamental Santander," Cuadernos de Fedesarrollo, Fedesarrollo, number 16813, Sep.
• WEBER Matthias, & STRIAUKAS Jonas, & SCHUMACHER Martin, & HARALD Binder,, 2018, "Network constrained covariate coefficient and connection sign estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018018, Jun.
• Reichlin, Lucrezia & Hasenzagl, Thomas & Pellegrino, Filippo & Ricco, Giovanni, 2018, "A Model of the Fed's View on Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12564, Jan.
• Petrella, Ivan & Antolin-Diaz, Juan & Rubio-Ramírez, Juan Francisco, 2018, "Structural Scenario Analysis with SVARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12579, Jan.
• Giannone, Domenico & Tambalotti, Andrea & Sbordone, Argia & Bok, Brandyn & Caratelli, Daniele, 2018, "Macroeconomic Nowcasting and Forecasting with Big Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12589, Jan.
• Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John, 2018, "Risk Everywhere: Modeling and Managing Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12687, Feb.
• Giannone, Domenico & Ferrara, Laurent & Delle Chiaie, Simona, 2018, "Common Factors of Commodity Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12767, Mar.
• Broer, Tobias & Kohlhas, Alexandre, 2018, "Forecaster (Mis-)Behavior," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12898, Apr.
• Forni, Mario & Di Bonaventura, Luca & Pattarin, Francesco, 2018, "The Forcasting Performance of Dynamic Factor Models with Vintage Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13034, Jul.
• Till Weigt & Bernd Wilfling, 2018, "An approach to increasing forecast-combination accuracy through VAR error modeling," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6818, Feb.
• Chernozhukov, V. & Härdle, W.K. & Huang, C. & Wang, W., 2018, "LASSO-Driven Inference in Time and Space," Working Papers, Department of Economics, City St George's, University of London, number 18/04.
• Moses Tule & Afees A. Salisu & Charles Chimeke, 2018, "You are what you eat: The role of oil price in Nigeria inflation forecast," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 040, Jan.
• Afees A. Salisu & Raymond Swaray & Idris Adediran, 2018, "Improving the predictability of commodity prices in US inflation: The role of coffee price," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 041, Jan.
• Afees A. Salisu & Lateef O. Akanni & Ahamuefula Ephraim Ogbonna, 2018, "Forecasting CO2 emissions: Does the choice of estimator matter?," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 045, Feb.