Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2013

• Peter Stephensen & Tobias Markeprand, 2013, "SBAM: An Algorithm for Pair Matching," DREAM Working Paper Series, Danish Rational Economic Agents Model, DREAM, number 201303, Oct.
• Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2013, "Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-19.
• Sessi Tokpavi, 2013, "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-27.
• Jia Li & Andrew J. Patton, 2013, "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-27.
• Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie, 2013, "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1314, Sep.
• Kratz , Marie, 2013, "There is a VaR Beyond Usual Approximations," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1317, Nov.
• Calvet , Laurent & Czellar, Veronika, 2013, "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series, HEC Paris, number 1048, Nov.
• Laura Coroneo & Domenico Giannone & Michèle Modugno, 2013, "Unspanned Macroeconomic Factors in the Yields Curve," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-07, Jan.
• Matteo Luciani & Lorenzo Ricci, 2013, "Nowcasting Norway," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-10, Feb.
• Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013, "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series, European Central Bank, number 152, Oct.
• Arratibel, Olga & Leiner-Killinger, Nadine & Kamps, Christophe, 2009, "Inflation forecasting in the new EU Member States," Working Paper Series, European Central Bank, number 1015, Feb.
• Amisano, Gianni & Geweke, John, 2009, "Optimal Prediction Pools," Working Paper Series, European Central Bank, number 1017, Mar.
• Hubrich, Kirstin & West, Kenneth D., 2009, "Forecast evaluation of small nested model sets," Working Paper Series, European Central Bank, number 1030, Mar.
• Caggiano, Giovanni & Kapetanios, George & Labhard, Vincent, 2009, "Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK," Working Paper Series, European Central Bank, number 1051, May.
• Jakaitiene, Audrone & Dées, Stéphane, 2009, "Forecasting the world economy in the short-term," Working Paper Series, European Central Bank, number 1059, Jun.
• Dovern, Jonas & Fritsche, Ulrich & Slacalek, Jiri, 2009, "Disagreement among forecasters in G7 countries," Working Paper Series, European Central Bank, number 1082, Aug.
• Kolasa, Marcin & Rubaszek, Michał & Skrzypczyński, Paweł, 2009, "Putting the New Keynesian DSGE model to the real-time forecasting test," Working Paper Series, European Central Bank, number 1110, Nov.
• Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2009, "Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors," Working Paper Series, European Central Bank, number 1115, Nov.
• Fichtner, Ferdinand & Rüffer, Rasmus & Schnatz, Bernd, 2009, "Leading indicators in a globalised world," Working Paper Series, European Central Bank, number 1125, Dec.
• Paredes, Joan & Pedregal, Diego J. & Pérez, Javier J., 2009, "A quarterly fiscal database for the euro area based on intra-annual fiscal information," Working Paper Series, European Central Bank, number 1132, Dec.
• Humphrey, David, 2009, "Payment scale economies, competition, and pricing," Working Paper Series, European Central Bank, number 1136, Dec.
• Ehrmann, Michael & Eijffinger, Sylvester & Fratzscher, Marcel, 2010, "The role of central bank transparency for guiding private sector forecasts," Working Paper Series, European Central Bank, number 1146, Jan.
• Pérez, Javier J. & Sánchez, Jesús, 2010, "Is there a signalling role for public wages? Evidence for the euro area based on macro data," Working Paper Series, European Central Bank, number 1148, Jan.
• Hendry, David F. & Hubrich, Kirstin, 2010, "Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate," Working Paper Series, European Central Bank, number 1155, Feb.
• Ferrucci, Gianluigi & Jiménez-Rodríguez, Rebeca & Onorante, Luca, 2010, "Food price pass-through in the euro area The role of asymmetries and non-linearities," Working Paper Series, European Central Bank, number 1168, Apr.
• Bańbura, Marta & Modugno, Michele, 2010, "Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data," Working Paper Series, European Central Bank, number 1189, May.
• Jacquinot, Pascal & Pisani, Massimiliano & Gomes, Sandra, 2010, "The EAGLE. A model for policy analysis of macroeconomic interdependence in the euro area," Working Paper Series, European Central Bank, number 1195, May.
• Amisano, Gianni & Fagan, Gabriel, 2010, "Money growth and inflation: a regime switching approach," Working Paper Series, European Central Bank, number 1207, Jun.
• Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta, 2010, "Nowcasting," Working Paper Series, European Central Bank, number 1275, Dec.
• Kenny, Geoff & Genre, Véronique & Meyler, Aidan & Timmermann, Allan, 2010, "Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average?," Working Paper Series, European Central Bank, number 1277, Dec.
• Pierluigi, Beatrice & Brůha, Jan & Serafini, Roberta, 2011, "Euro area labour markets: different reaction to shocks?," Working Paper Series, European Central Bank, number 1284, Jan.
• Mohr, Matthias & Jacquinot, Pascal & Pisani, Massimiliano & Gomes, Sandra, 2011, "Structural reforms and macroeconomic performance in the euro area countries: a model-based assessment," Working Paper Series, European Central Bank, number 1323, Apr.
• Modugno, Michele, 2011, "Nowcasting inflation using high frequency data," Working Paper Series, European Central Bank, number 1324, Apr.
• Andersson, Magnus & D'Agostino, Antonello & de Bondt, Gabe & Roma, Moreno, 2011, "The predictive content of sectoral stock prices: a US-euro area comparison," Working Paper Series, European Central Bank, number 1343, May.
• Hubrich, Kirstin & González, Andrés & Teräsvirta, Timo, 2011, "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series, European Central Bank, number 1363, Jul.
• di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011, "Stock market firm-level information and real economic activity," Working Paper Series, European Central Bank, number 1366, Aug.
• Lombardi, Marco J. & Maier, Philipp, 2011, "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series, European Central Bank, number 1379, Sep.
• Mohr, Matthias & Maurin, Laurent & Guérin, Pierre, 2011, "Trend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination," Working Paper Series, European Central Bank, number 1384, Oct.
• Badarinza, Cristian & Gross, Marco, 2011, "Macroeconomic vulnerability and disagreement in expectations," Working Paper Series, European Central Bank, number 1407, Dec.
• Amisano, Gianni & Geweke, John, 2011, "Analysis of variance for bayesian inference," Working Paper Series, European Central Bank, number 1409, Dec.
• Onorante, Luca & Koop, Gary, 2012, "Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters," Working Paper Series, European Central Bank, number 1422, Feb.
• Lombardi, Marco J. & Godbout, Claudia, 2012, "Short-term forecasting of the Japanese economy using factor models," Working Paper Series, European Central Bank, number 1428, Mar.
• Kenny, Geoff & Kostka, Thomas & Masera, Federico, 2012, "How informative are the subjective density forecasts of macroeconomists?," Working Paper Series, European Central Bank, number 1446, Jul.
• Schnatz, Bernd & D'Agostino, Antonello, 2012, "Survey-based nowcasting of US growth: a real-time forecast comparison over more than 40 years," Working Paper Series, European Central Bank, number 1455, Aug.
• Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012, "Prior selection for vector autoregressions," Working Paper Series, European Central Bank, number 1494, Nov.
• Canova, Fabio & Ciccarelli, Matteo, 2013, "Panel vector autoregressive models: a survey," Working Paper Series, European Central Bank, number 1507, Jan.
• Gross, Marco, 2013, "Estimating GVAR weight matrices," Working Paper Series, European Central Bank, number 1523, Mar.
• Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013, "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series, European Central Bank, number 1536, Apr.
• Amisano, Gianni & Geweke, John, 2013, "Prediction using several macroeconomic models," Working Paper Series, European Central Bank, number 1537, Apr.
• Kenny, Geoff & Kostka, Thomas & Masera, Federico, 2013, "Can macroeconomists forecast risk? Event-based evidence from the euro area SPF," Working Paper Series, European Central Bank, number 1540, Apr.
• Warmedinger, Thomas & Paredes, Joan & Asimakopoulos, Stylianos, 2013, "Forecasting fiscal time series using mixed frequency data," Working Paper Series, European Central Bank, number 1550, May.
• Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013, "Now-casting and the real-time data flow," Working Paper Series, European Central Bank, number 1564, Jul.
• Kok, Christoffer & Gross, Marco, 2013, "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series, European Central Bank, number 1570, Aug.
• El-Shagi, Makram & Jung, Alexander, 2013, "Does the Greenspan era provide evidence on leadership in the FOMC?," Working Paper Series, European Central Bank, number 1579, Aug.
• Hubrich, Kirstin & Granziera, Eleonora & Moon, Hyungsik Roger, 2013, "A predictability test for a small number of nested models," Working Paper Series, European Central Bank, number 1580, Aug.
• Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013, "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series, European Central Bank, number 1626, Dec.
• Majid Delavari & Nadiya Gandali Alikhani & Esmaeil Naderi, 2013, "Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 2, pages 466-475.
• Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih, 2013, "Speed of Convergence to Market Efficiency: Example of Top loser Stocks," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 3, pages 591-601.
• Hamidreza Mostafaei & Ali Akbar Rahimzadeh Sani & Samira Askari, 2013, "A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia," International Journal of Energy Economics and Policy, Econjournals, volume 3, issue 2, pages 137-142.
• Mohammad Reza Lotfalipour & Mohammad Ali Falahi & Morteza Bastam, 2013, "Prediction of CO2 Emissions in Iran using Grey and ARIMA Models," International Journal of Energy Economics and Policy, Econjournals, volume 3, issue 3, pages 229-237.
• Gary, Koop & Dimitris, Korobilis, 2013, "A New Index of Financial Conditions," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-48.
• Liu, Yang, 2013, "Labor market matching and unemployment in urban China," China Economic Review, Elsevier, volume 24, issue C, pages 108-128, DOI: 10.1016/j.chieco.2012.10.006.
• Bovi, Maurizio, 2013, "Are the representative agent’s beliefs based on efficient econometric models?," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 3, pages 633-648, DOI: 10.1016/j.jedc.2012.10.005.
• Kurz, Mordecai & Piccillo, Giulia & Wu, Howei, 2013, "Modeling diverse expectations in an aggregated New Keynesian Model," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 8, pages 1403-1433, DOI: 10.1016/j.jedc.2013.01.016.
• Tsuchiya, Yoichi, 2013, "Do corporate executives have accurate predictions for the economy? A directional analysis," Economic Modelling, Elsevier, volume 30, issue C, pages 167-174, DOI: 10.1016/j.econmod.2012.09.029.
• Degiannakis, Stavros & Livada, Alexandra, 2013, "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, volume 30, issue C, pages 212-216, DOI: 10.1016/j.econmod.2012.09.027.
• Zaman, Khalid & Khilji, Bashir Ahmad, 2013, "The relationship between growth and poverty in forecasting framework: Pakistan's future in the year 2035," Economic Modelling, Elsevier, volume 30, issue C, pages 468-491, DOI: 10.1016/j.econmod.2012.07.021.
• Paleologou, Suzanna-Maria, 2013, "Asymmetries in the revenue–expenditure nexus: A tale of three countries," Economic Modelling, Elsevier, volume 30, issue C, pages 52-60, DOI: 10.1016/j.econmod.2012.09.022.
• Gupta, Rangan & Modise, Mampho P., 2013, "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, volume 30, issue C, pages 612-622, DOI: 10.1016/j.econmod.2012.10.015.
• Kato, Takafumi, 2013, "A comparison of spatial error models through Monte Carlo experiments," Economic Modelling, Elsevier, volume 30, issue C, pages 743-753, DOI: 10.1016/j.econmod.2012.10.010.
• Kaya, Huseyin, 2013, "Forecasting the yield curve and the role of macroeconomic information in Turkey," Economic Modelling, Elsevier, volume 33, issue C, pages 1-7, DOI: 10.1016/j.econmod.2013.03.013.
• Gupta, Rangan & Steinbach, Rudi, 2013, "A DSGE-VAR model for forecasting key South African macroeconomic variables," Economic Modelling, Elsevier, volume 33, issue C, pages 19-33, DOI: 10.1016/j.econmod.2013.03.012.
• Öğünç, Fethi & Akdoğan, Kurmaş & Başer, Selen & Chadwick, Meltem Gülenay & Ertuğ, Dilara & Hülagü, Timur & Kösem, Sevim & Özmen, Mustafa Utku & Tekatlı, Necati, 2013, "Short-term inflation forecasting models for Turkey and a forecast combination analysis," Economic Modelling, Elsevier, volume 33, issue C, pages 312-325, DOI: 10.1016/j.econmod.2013.04.001.
• Esteves, Paulo Soares, 2013, "Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice," Economic Modelling, Elsevier, volume 33, issue C, pages 416-420, DOI: 10.1016/j.econmod.2013.04.020.
• Van Hoa, Tran & Limskul, Kitti, 2013, "Economic impact of CO2 emissions on Thailand's growth and climate change mitigation policy: A modelling analysis," Economic Modelling, Elsevier, volume 33, issue C, pages 651-658, DOI: 10.1016/j.econmod.2013.04.019.
• Akanbi, Olusegun Ayodele, 2013, "Macroeconomic effects of fiscal policy changes: A case of South Africa," Economic Modelling, Elsevier, volume 35, issue C, pages 771-785, DOI: 10.1016/j.econmod.2013.08.039.
• Rossi, Barbara, 2013, "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-62731-5.00021-X.
• BaÅ„bura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013, "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00004-9.
• Wieland, Volker & Wolters, Maik, 2013, "Forecasting and Policy Making," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00005-0.
• Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013, "Forecasting the Price of Oil," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00008-6.
• Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013, "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00010-4.
• Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2013, "Prediction Markets for Economic Forecasting," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00011-6.
• Melvin, Michael & Prins, John & Shand, Duncan, 2013, "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-62731-5.00013-0.
• Karlsson, Sune, 2013, "Forecasting with Bayesian Vector Autoregression," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-62731-5.00015-4.
• Henzel, Steffen R. & Mayr, Johannes, 2013, "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, volume 24, issue C, pages 1-24, DOI: 10.1016/j.najef.2012.03.009.
• Caporin, Massimiliano, 2013, "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 261-275, DOI: 10.1016/j.najef.2012.06.004.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013, "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 250-265, DOI: 10.1016/j.najef.2013.02.004.
• Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013, "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 535-551, DOI: 10.1016/j.najef.2013.02.020.
• Zheng, Tingguo & Zuo, Haomiao, 2013, "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 643-662, DOI: 10.1016/j.najef.2013.05.001.
• Ghermandi, Andrea & Nunes, Paulo A.L.D., 2013, "A global map of coastal recreation values: Results from a spatially explicit meta-analysis," Ecological Economics, Elsevier, volume 86, issue C, pages 1-15, DOI: 10.1016/j.ecolecon.2012.11.006.
• Korobilis, Dimitris, 2013, "Bayesian forecasting with highly correlated predictors," Economics Letters, Elsevier, volume 118, issue 1, pages 148-150, DOI: 10.1016/j.econlet.2012.10.003.
• Lahiri, Kajal & Monokroussos, George & Zhao, Yongchen, 2013, "The yield spread puzzle and the information content of SPF forecasts," Economics Letters, Elsevier, volume 118, issue 1, pages 219-221, DOI: 10.1016/j.econlet.2012.10.022.
• Wang, Shin-Huei & Vasilakis, Chrysovalantis, 2013, "Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points," Economics Letters, Elsevier, volume 118, issue 2, pages 389-392, DOI: 10.1016/j.econlet.2012.11.011.
• Sorge, Marco M., 2013, "Generalized adaptive expectations revisited," Economics Letters, Elsevier, volume 120, issue 2, pages 203-205, DOI: 10.1016/j.econlet.2013.04.033.
• Atak, Alev & Kapetanios, George, 2013, "A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors," Economics Letters, Elsevier, volume 120, issue 2, pages 224-228, DOI: 10.1016/j.econlet.2013.03.051.
• Matheson, Troy & Stavrev, Emil, 2013, "The Great Recession and the inflation puzzle," Economics Letters, Elsevier, volume 120, issue 3, pages 468-472, DOI: 10.1016/j.econlet.2013.06.001.
• Kopoin, Alexandre & Moran, Kevin & Paré, Jean-Pierre, 2013, "Forecasting regional GDP with factor models: How useful are national and international data?," Economics Letters, Elsevier, volume 121, issue 2, pages 267-270, DOI: 10.1016/j.econlet.2013.08.007.
• Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013, "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 1-10, DOI: 10.1016/j.jeconom.2012.08.004.
• Arbués, Ignacio, 2013, "Determining the MSE-optimal cross section to forecast," Journal of Econometrics, Elsevier, volume 175, issue 2, pages 61-70, DOI: 10.1016/j.jeconom.2012.02.009.
• Jensen, Mark J. & Maheu, John M., 2013, "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, volume 176, issue 1, pages 3-17, DOI: 10.1016/j.jeconom.2013.03.009.
• Zhang, Xinyu & Lu, Zudi & Zou, Guohua, 2013, "Adaptively combined forecasting for discrete response time series," Journal of Econometrics, Elsevier, volume 176, issue 1, pages 80-91, DOI: 10.1016/j.jeconom.2013.04.019.
• Chan, Joshua C.C., 2013, "Moving average stochastic volatility models with application to inflation forecast," Journal of Econometrics, Elsevier, volume 176, issue 2, pages 162-172, DOI: 10.1016/j.jeconom.2013.05.003.
• Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013, "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 134-152, DOI: 10.1016/j.jeconom.2013.04.002.
• Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013, "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 171-184, DOI: 10.1016/j.jeconom.2013.04.006.
• Rossi, Barbara & Sekhposyan, Tatevik, 2013, "Conditional predictive density evaluation in the presence of instabilities," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 199-212, DOI: 10.1016/j.jeconom.2013.04.008.
• Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013, "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 213-232, DOI: 10.1016/j.jeconom.2013.04.009.
• Varneskov, Rasmus & Voev, Valeri, 2013, "The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 83-95, DOI: 10.1016/j.jempfin.2012.11.002.
• Orth, Walter, 2013, "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 214-222, DOI: 10.1016/j.jempfin.2013.01.006.
• Byun, Suk Joon & Kim, Jun Sik, 2013, "The information content of risk-neutral skewness for volatility forecasting," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 142-161, DOI: 10.1016/j.jempfin.2013.05.006.
• Bunn, Derek W. & Chen, Dipeng, 2013, "The forward premium in electricity futures," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 173-186, DOI: 10.1016/j.jempfin.2013.06.002.
• Miller, Thomas W. & Rapach, David E., 2013, "An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 10-23, DOI: 10.1016/j.jempfin.2013.07.002.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013, "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 121-137, DOI: 10.1016/j.jempfin.2013.09.005.

2012

• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012, "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-04, Jan.
• Cristina Amado & Timo Teräsvirta, 2012, "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-07, 02.
• Peter Exterkate, 2012, "Model Selection in Kernel Ridge Regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-10, Feb.
• Lasse Bork & Stig V. Møller, 2012, "Housing price forecastability: A factor analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-27, May.
• Johannes Tang Kristensen, 2012, "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-28, Jun.
• Anders Bredahl Kock & Laurent A.F. Callot, 2012, "Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-38, Jan.
• Peter Reinhard Hansen & Allan Timmermann, 2012, "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-43, Feb.
• Peter Reinhard Hansen & Allan Timmermann, 2012, "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-45, Oct.
• Matthew T. Holt & Timo Teräsvirta, 2012, "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-54, Nov.
• Joshua C C Chan, 2012, "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2012-591, Oct.
• Sergey Slobodyan & Raf Wouters, 2012, "Learning in a Medium-Scale DSGE Model with Expectations Based on Small Forecasting Models," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 2, pages 65-101, April.
• Olivier Coibion & Yuriy Gorodnichenko, 2012, "Why Are Target Interest Rate Changes So Persistent?," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 4, pages 126-162, October, DOI: 10.1257/mac.4.4.126.
• Mikhail Anufriev & Cars Hommes, 2012, "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," American Economic Journal: Microeconomics, American Economic Association, volume 4, issue 4, pages 35-64, November, DOI: 10.1257/mic.4.4.35.
• Boriss Siliverstovs, 2012, "Are GDP Revisions Predictable? Evidence for Switzerland," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 58, issue 4, pages 299-326, DOI: 10.3790/aeq.58.4.299.
• Faruk ALPASLAN & Ozge CAGCAG, 2012, "A Seasonal Fuzzy Time Series Forecasting Method Based On Gustafson-Kessel Fuzzy Clustering," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 1, issue 2, pages 1-13, DECEMBER.
• Liviu-Stelian BEGU & Silvia Spataru & Erika Marin, 2012, "Investigating The Evolution Of Ron/Eur Exchange Rate: The Choice Of Appropriate Model," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 1, issue 2, pages 23-39, DECEMBER.
• Dharmasena, Senarath & Capps, Oral, Jr. & Bessler, David A., 2012, "Modeling Advertising Expenditures and Spillover Effects Applied to the U.S. Non-Alcoholic Beverage Industry: Vector Autoregression (VAR) and Polynomial Distributed Lag (PDL) Approaches," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124363, Jun, DOI: 10.22004/ag.econ.124363.
• Taha, Fawzi A. & Hahn, William F., 2012, "Modeling South Africa’s Meat Import Demand System," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124582, DOI: 10.22004/ag.econ.124582.
• Schmitz, Jochen & Ledebur, Oliver von, 2012, "The 2007 emerging corn price surge revisited – Was it expected or a large surprise?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists, number 123971, DOI: 10.22004/ag.econ.123971.
• Xie, Tian, 2012, "Least Squares Model Averaging by Prediction Criterion," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274619, Nov, DOI: 10.22004/ag.econ.274619.
• Clements, Michael P., , "Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth," Economic Research Papers, University of Warwick - Department of Economics, number 270629, DOI: 10.22004/ag.econ.270629.
• Clements, Michael P., , "US inflation expectations and heterogeneous loss functions, 1968–2010," Economic Research Papers, University of Warwick - Department of Economics, number 270653, DOI: 10.22004/ag.econ.270653.
• Clements, Michael P., , "Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation," Economic Research Papers, University of Warwick - Department of Economics, number 270748, DOI: 10.22004/ag.econ.270748.
• Rabeh Khalfaoui & Mohammed Boutahar, 2012, "Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1208, Mar.
• Marcel Aloy & Gilles de Truchis, 2012, "Estimation and Testing for Fractional Cointegration," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1215, Jun.
• Zoltán Kovács, 2012, "The key to competitiveness: Forecast," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 62, issue 4, pages 505-518, December.
• Metin Bas & Zeki Cakmak, 2012, "Determining the Financial Failure in Enterprises Using Grey Relational Analysis and Logistic Regression Analysis & an Application," Anadolu University Journal of Social Sciences, Anadolu University, volume 12, issue 3, pages 63-82, September.
• Conrad, Christian & Loch, Karin, 2012, "Anticipating Long-Term Stock Market Volatility," Working Papers, University of Heidelberg, Department of Economics, number 0535, Oct.
• Raffaella Giacomini & Barbara Rossi, 2012, "Model comparisons in unstable environments," CeMMAP working papers, Institute for Fiscal Studies, number 13/12, Jun, DOI: 10.1920/wp.cem.2012.1312.
• Georg Struch, 2012, "Entwicklung des integrierten Mikrosimulationsmodells EITDsim," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 122, Aug.
• Christiane Baumeister & Lutz Kilian, 2012, "Real-Time Analysis of Oil Price Risks Using Forecast Scenarios," Staff Working Papers, Bank of Canada, number 12-1, DOI: 10.34989/swp-2012-1.
• Claudia Godbout & Marco J. Lombardi, 2012, "Short-Term Forecasting of the Japanese Economy Using Factor Models," Staff Working Papers, Bank of Canada, number 12-7, DOI: 10.34989/swp-2012-7.
• Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012, "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series, Central Bank of Brazil, Research Department, number 288, Jul.
• Concha Artola & Enrique Galán, 2012, "Tracking the future on the web: construction of leading indicators using internet searches," Occasional Papers, Banco de España, number 1203, Apr.
• Rossana Merola & Javier J. Pérez, 2012, "Fiscal forecast errors: governments vs independent agencies?," Working Papers, Banco de España, number 1233, Sep.
• Cristiano Cantore & Filippo Ferroni & Miguel A. León-Ledesma, 2012, "The dynamics of hours worked and technology," Working Papers, Banco de España, number 1238, Nov.
• Guido Bulligan & Massimiliano Marcellino & Fabrizio Venditti, 2012, "Forecasting economic activity with higher frequency targeted predictors," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 847, Jan.
• Alessandro Borin & Riccardo Cristadoro & Roberto Golinelli & Giuseppe Parigi, 2012, "Forecasting world output: the rising importance of emerging economies," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 853, Feb.
• Lorenzo Bencivelli & Massimiliano Marcellino & Gianluca Moretti, 2012, "Selecting predictors by using Bayesian model averaging in bridge models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 872, Jul.
• Mario Porqueddu & Fabrizio Venditti, 2012, "Do food commodity prices have asymmetric effects on Euro-Area inflation?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 878, Sep.
• Francesco D'Amuri & Juri Marcucci, 2012, "The predictive power of Google searches in forecasting unemployment," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 891, Nov.
• Sara Cecchetti & Giovanna Nappo, 2012, "A dynamic default dependence model," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 892, Nov.