Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2012

• Sinha, Pankaj & Singhal, Anushree & Sondhi, Kriti, 2012, "Economic scenario of United States of America before and after 2012 U.S. Presidential Election," MPRA Paper, University Library of Munich, Germany, number 41886, Oct.
• Sinha, Pankaj & Thomas, Ashley Rose & Ranjan, Varun, 2012, "Forecasting 2012 United States Presidential election using Factor Analysis, Logit and Probit Models," MPRA Paper, University Library of Munich, Germany, number 42062, Oct.
• Medel, Carlos A. & Salgado, Sergio C., 2012, "Does BIC Estimate and Forecast Better than AIC?," MPRA Paper, University Library of Munich, Germany, number 42235, Oct.
• Leitao, Joao & Armada, Manuel Rocha & Ferreira, Joaaquim, 2012, "Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?," MPRA Paper, University Library of Munich, Germany, number 42474, Nov.
• Guo, Xu & Lam, Kin & Wong, Wing-Keung & Zhu, Lixing, 2012, "A New Pseudo-Bayesian Model of Investors' Behavior in Financial Crises," MPRA Paper, University Library of Munich, Germany, number 42535, Oct.
• Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal, 2012, "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," MPRA Paper, University Library of Munich, Germany, number 42563, Nov.
• Mezgebo, Taddese, 2012, "The nature of volatility in temporal profit with in Ethiopian commodity exchange: The case of washed export coffee modelled using ARFIMA-M-HYGARCH model," MPRA Paper, University Library of Munich, Germany, number 43345, Feb.
• Albers, Scott, 2012, "Predicting crises: Five essays on the mathematic prediction of economic and social crises," MPRA Paper, University Library of Munich, Germany, number 43484, Dec.
• Slavescu, Ecaterina & Panait, Iulian, 2012, "Improving customer churn models as one of customer relationship management business solutions for the telecommunication industry," MPRA Paper, University Library of Munich, Germany, number 44250.
• du Jardin, Philippe, 2012, "The influence of variable selection methods on the accuracy of bankruptcy prediction models," MPRA Paper, University Library of Munich, Germany, number 44383, Jan.
• Leon, Jorge, 2012, "A Disaggregate Model and Second Round Effects for the CPI Inflation in Costa Rica," MPRA Paper, University Library of Munich, Germany, number 44484, revised 2012.
• Matkovskyy, Roman, 2012, "Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors
  [Forecasting Economic Development of Ukraine based on BVAR models with different priors]," MPRA Paper, University Library of Munich, Germany, number 44725, Jan, revised Nov 2012.
• Lúcio Godeiro, Lucas, 2012, "Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
  [Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carlo Simulation]," MPRA Paper, University Library of Munich, Germany, number 45146, Jun.
• Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012, "Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?," MPRA Paper, University Library of Munich, Germany, number 45977, Sep.
• Doran, Justin & Fingleton, Bernard, 2012, "Economic shocks and growth: spatio-temporal perspectives on Europe's economies in a time of crisis," MPRA Paper, University Library of Munich, Germany, number 47292, Aug.
• Rashid, Abdul & Husain, Fazal, 2012, "On the modeling of exchange rate: some evidence from Pakistan," MPRA Paper, University Library of Munich, Germany, number 47547, Feb.
• Teneng, Dean, 2012, "Modeling and forecasting foreign exchange daily closing prices with normal inverse Gaussian," MPRA Paper, University Library of Munich, Germany, number 47855, Sep.
• Bławat, Bogusław, 2012, "CRI RMI - Nowy model oceny ryzyka wystąpienia trudności finansowych firm
  [CRI RMI - New Approach to Default Probability Calculation]," MPRA Paper, University Library of Munich, Germany, number 49121, Sep, revised Jan 2013.
• Skribans, Valerijs, 2012, "European Union Economy System Dynamic Model Development," MPRA Paper, University Library of Munich, Germany, number 49170.
• Giovanis, Eleftherios, 2012, "Study of Discrete Choice Models and Adaptive Neuro-Fuzzy Inference System in the Prediction of Economic Crisis Periods in USA," MPRA Paper, University Library of Munich, Germany, number 71218, Mar.
• Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012, "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers, University of Pretoria, Department of Economics, number 201209, Mar.
• Renee van Eyden & Goodness C. Aye & Rangan Gupta, 2012, "Predictive Ability of Competing Models for South Africa’s Fixed Business Non- Residential Investment Spending," Working Papers, University of Pretoria, Department of Economics, number 201229, Oct.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012, "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers, University of Pretoria, Department of Economics, number 201235, Dec.
• Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012, "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 1, pages 23-44, March.
• Justyna Wróblewska, 2012, "Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 4, pages 253-267, December.
• Mihaela BRATU (SIMIONESCU), 2012, "The Accuracy Of Unemployment Rate Forecasts In Romania And The Actual Economic Crisis," Scientific Bulletin - Economic Sciences, University of Pitesti, volume 11, issue 2, pages 56-67.
• Tian Xie, 2012, "Least Squares Model Averaging By Prediction Criterion," Working Paper, Economics Department, Queen's University, number 1299, Nov.
• Carrera, César, 2012, "Estimating Information Rigidity using Firms’ Survey Data," Working Papers, Banco Central de Reserva del Perú, number 2012-004, Jan.
• Ferreyra, Jesús & Vásquez, José, 2012, "Proyección de precios de exportación utilizando tipos de cambio: Caso peruano," Working Papers, Banco Central de Reserva del Perú, number 2012-008, Feb.
• Barrera, Carlos, 2012, "El ciclo común y los grupos homogéneos en la inflación," Working Papers, Banco Central de Reserva del Perú, number 2012-010, Apr.
• Winkelried, Diego, 2012, "Predicting quarterly aggregates with monthly indicators," Working Papers, Banco Central de Reserva del Perú, number 2012-023, Dec.
• Carol Alexander & Daniel Ledermann, 2012, "ROM Simulation: Applications to Stress Testing and VaR," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-09, May.
• Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012, "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers, Society for Economic Dynamics, number 1196.
• Raffaella Giacomini, 2012, "Incorporating theoretical restrictions into forecasting by projection methods," 2012 Meeting Papers, Society for Economic Dynamics, number 548.
• Yong Song, 2012, "Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model," Working Paper series, Rimini Centre for Economic Analysis, number 28_12, Jun.
• Nikola Gradojevic & Camillo Lento, 2012, "Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability," Working Paper series, Rimini Centre for Economic Analysis, number 31_12, Jun.
• Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012, "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series, Rimini Centre for Economic Analysis, number 34_12, Jun.
• Mark J. Jensen & John M. Maheu, 2012, "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Paper series, Rimini Centre for Economic Analysis, number 45_12, Jun.
• Xin Jin & John M. Maheu, 2012, "Modelling Realized Covariances and Returns," Working Paper series, Rimini Centre for Economic Analysis, number 49_12, Jun.
• Dimitris Korobilis, 2012, "Bayesian Forecasting with Highly Correlated Predictors," Working Paper series, Rimini Centre for Economic Analysis, number 67_12, Nov.
• Anton Semushin & Petr Parshakov, 2012, "Data frequency and mutual fund performance measures," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 25, issue 1, pages 95-114.
• Alexander Tsyplakov, 2012, "Assessment of probabilistic forecasts: Proper scoring rules and moments," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 27, issue 3, pages 115-132.
• EImad A. Moosa & Kelly Burns, 2012, "Can exchange rate models outperform the random walk? Magnitude, direction and profitability as criteria - I modelli di tasso cambio possono battere la “random walk”? Grandezza, direzione e profittabil," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 65, issue 3, pages 473-490.
• Oliver Grothe & Felix M√ºsgens, 2012, "The inÔ¨Çuence of spatial effects on wind power revenues under direct marketing rules," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2012-7, Mar.
• Mihaela BRATU SIMIONESCU, 2012, "Two Quantitative Forecasting Methods For Macroeconomic Indicators In Czech Republic," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, volume 3, issue 1, pages 71-87.
• Biljana Petrevska, 2012, "Forecasting International Tourism Demand: The Evidence Of Macedonia," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 3, issue 1, pages 45-55.
• Matei, Marius, 2012, "Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 95-115, March.
• Cifter, Atilla, 2012, "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 127-142, June.
• Stratan, Alexandru & Chistruga, Marcel, 2012, "The Macromodel of the Moldovan Economy Medium-Term Forecast for Moldova," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 68-84, June.
• Chang, Chia Lin & Franses, Philip Hans & Mcaleer, Michael, 2012, "Evaluating Individual and Mean Non-Replicable Forecasts," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 22-43, September.
• Zaman, Gheorghe & Dumitrascu, Roxana Arabela & Dumitrascu, Vadim, 2012, "What is Romania’s Wealth? The Foundation of a National Wealth Evaluation Econometric Model," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 80-96, September.
• Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012, "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 83-103, December.
• Mihaela Bratu (Simionescu), 2012, "Improving the accuracy of consensus forecasts for the EURO area," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 4, issue 2, pages 11-15, Decembre.
• V. I. Tinyakova, 2012, "The new approaches in econometric research of financial markets. Distributed volatility," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 4, issue 2, pages 247-255, Decembre.
• Claudio Dicembrino & Pasquale Lucio Scandizzo, 2012, "The Fundamental and Speculative Components of the Oil Spot Price: A Real Option Value Approach," CEIS Research Paper, Tor Vergata University, CEIS, number 229, Apr, revised 18 Apr 2012.
• Leonardo Becchetti & Rocco Ciciretti & Alessandro Giovannelli, 2012, "Corporate Social Responsibility and Earnings Forecasting Unbiasedness," CEIS Research Paper, Tor Vergata University, CEIS, number 233, May, revised 08 Feb 2013.
• Alessandro Giovannelli, 2012, "Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies," CEIS Research Paper, Tor Vergata University, CEIS, number 255, Nov, revised 08 Nov 2012.
• Saad Belghazi, 2012, "Scenarios for the Agricultural Sector in South and East Mediterranean Countries by 2030," CASE Network Reports, CASE-Center for Social and Economic Research, number 0109.
• Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012, "Risk spillovers in international equity portfolios," Working Papers, Swiss National Bank, number 2012-03.
• Katja Drechsel & Rolf Scheufele, 2012, "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," Working Papers, Swiss National Bank, number 2012-16.
• Juthasit Rohitratana & Jorn Altmann, 2012, "Impact of Pricing Schemes on a Market for Software-as-a-Service and Perpetual Software," TEMEP Discussion Papers, Seoul National University; Technology Management, Economics, and Policy Program (TEMEP), number 201288, Mar, revised Mar 2012.
• Matías Mayor & Roberto Patuelli, 2012, "Short-Run Regional Forecasts: Spatial Models through Varying Cross-Sectional and Temporal Dimensions," Advances in Spatial Science, Springer, chapter 0, in: Esteban Fernández Vázquez & Fernando Rubiera Morollón, "Defining the Spatial Scale in Modern Regional Analysis", DOI: 10.1007/978-3-642-31994-5_9.
• Enrique Moral-Benito, 2012, "Bayesian posterior prediction and meta-analysis: an application to the value of travel time savings," The Annals of Regional Science, Springer;Western Regional Science Association, volume 48, issue 3, pages 801-817, June, DOI: 10.1007/s00168-010-0407-3.
• Jae Kim & Geoffrey Hewings, 2012, "Integrating the fragmented regional and subregional socioeconomic forecasting and analysis: a spatial regional econometric input–output framework," The Annals of Regional Science, Springer;Western Regional Science Association, volume 49, issue 2, pages 485-513, October, DOI: 10.1007/s00168-011-0468-y.
• C. Woo & J. Zarnikau & E. Kollman, 2012, "Exact welfare measurement for double-log demand with partial adjustment," Empirical Economics, Springer, volume 42, issue 1, pages 171-180, February, DOI: 10.1007/s00181-010-0416-1.
• Knut Aastveit & Tørres Trovik, 2012, "Nowcasting norwegian GDP: the role of asset prices in a small open economy," Empirical Economics, Springer, volume 42, issue 1, pages 95-119, February, DOI: 10.1007/s00181-010-0429-9.
• Maximiano Pinheiro & Paulo Esteves, 2012, "On the uncertainty and risks of macroeconomic forecasts: combining judgements with sample and model information," Empirical Economics, Springer, volume 42, issue 3, pages 639-665, June, DOI: 10.1007/s00181-010-0447-7.
• Daniel Buncic, 2012, "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, volume 43, issue 1, pages 399-426, August, DOI: 10.1007/s00181-011-0460-5.
• Klaus Prettner & Robert Kunst, 2012, "The dynamic interrelations between unequal neighbors: an Austro-German case study," Empirical Economics, Springer, volume 43, issue 2, pages 741-761, October, DOI: 10.1007/s00181-011-0504-x.
• Verónica Cañal-Fernández, 2012, "Accuracy and reliability of Spanish regional accounts (CRE-95)," Empirical Economics, Springer, volume 43, issue 3, pages 1299-1320, December, DOI: 10.1007/s00181-011-0513-9.
• Mercedes Ayuso & Miguel Santolino, 2012, "Forecasting the Maximum Compensation Offer in the Automobile BI Claims Negotiation Process," Group Decision and Negotiation, Springer, volume 21, issue 5, pages 663-676, September, DOI: 10.1007/s10726-011-9241-y.
• Langrock, Roland & MacDonald, Iain L. & Zucchini, Walter, 2012, "Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 147-161, DOI: 10.1016/j.jempfin.2011.09.003.
• Wu, Zhengxiao, 2012, "On the intraday periodicity duration adjustment of high-frequency data," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 282-291, DOI: 10.1016/j.jempfin.2011.12.004.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 610-625, DOI: 10.1016/j.jempfin.2012.04.002.
• Benavides, Guillermo & Capistrán, Carlos, 2012, "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 627-639, DOI: 10.1016/j.jempfin.2012.07.001.
• Wu, Chih-Chiang & Chung, Huimin & Chang, Yu-Hsien, 2012, "The economic value of co-movement between oil price and exchange rate using copula-based GARCH models," Energy Economics, Elsevier, volume 34, issue 1, pages 270-282, DOI: 10.1016/j.eneco.2011.07.007.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, volume 34, issue 1, pages 283-293, DOI: 10.1016/j.eneco.2011.10.015.
• Hickey, Emily & Loomis, David G. & Mohammadi, Hassan, 2012, "Forecasting hourly electricity prices using ARMAX–GARCH models: An application to MISO hubs," Energy Economics, Elsevier, volume 34, issue 1, pages 307-315, DOI: 10.1016/j.eneco.2011.11.011.
• Xu, Bing & Ouenniche, Jamal, 2012, "A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models," Energy Economics, Elsevier, volume 34, issue 2, pages 576-583, DOI: 10.1016/j.eneco.2011.12.005.
• Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012, "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, volume 34, issue 5, pages 1700-1712, DOI: 10.1016/j.eneco.2012.02.008.
• Chevallier, Julien & Sévi, Benoît, 2012, "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, volume 34, issue 6, pages 1896-1909, DOI: 10.1016/j.eneco.2012.08.024.
• Gianfreda, Angelica & Grossi, Luigi, 2012, "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, volume 34, issue 6, pages 2228-2239, DOI: 10.1016/j.eneco.2012.06.024.
• He, Kaijian & Yu, Lean & Lai, Kin Keung, 2012, "Crude oil price analysis and forecasting using wavelet decomposed ensemble model," Energy, Elsevier, volume 46, issue 1, pages 564-574, DOI: 10.1016/j.energy.2012.07.055.
• Yan, Meilan & Hall, Maximilian J.B. & Turner, Paul, 2012, "A cost–benefit analysis of Basel III: Some evidence from the UK," International Review of Financial Analysis, Elsevier, volume 25, issue C, pages 73-82, DOI: 10.1016/j.irfa.2012.06.009.
• Kozhan, Roman & Salmon, Mark, 2012, "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 1-28, DOI: 10.1016/j.finmar.2011.07.002.
• Siriopoulos, Costas & Fassas, Athanasios, 2012, "An investor sentiment barometer — Greek Implied Volatility Index (GRIV)," Global Finance Journal, Elsevier, volume 23, issue 2, pages 77-93, DOI: 10.1016/j.gfj.2012.03.001.
• Grajek, Michał & Kretschmer, Tobias, 2012, "Identifying critical mass in the global cellular telephony market," International Journal of Industrial Organization, Elsevier, volume 30, issue 6, pages 496-507, DOI: 10.1016/j.ijindorg.2012.06.003.
• O’Hare, Colin & Li, Youwei, 2012, "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 12-25, DOI: 10.1016/j.insmatheco.2011.09.005.
• Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J., 2012, "A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 85-93, DOI: 10.1016/j.insmatheco.2011.10.002.
• Mizen, Paul & Tsoukas, Serafeim, 2012, "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," International Journal of Forecasting, Elsevier, volume 28, issue 1, pages 273-287, DOI: 10.1016/j.ijforecast.2011.07.005.
• Clements, Michael P., 2012, "Do professional forecasters pay attention to data releases?," International Journal of Forecasting, Elsevier, volume 28, issue 2, pages 297-308, DOI: 10.1016/j.ijforecast.2011.09.001.
• Sinclair, Tara M. & Gamber, Edward N. & Stekler, Herman & Reid, Elizabeth, 2012, "Jointly evaluating the Federal Reserve’s forecasts of GDP growth and inflation," International Journal of Forecasting, Elsevier, volume 28, issue 2, pages 309-314, DOI: 10.1016/j.ijforecast.2011.05.003.
• Naraidoo, Ruthira & Paya, Ivan, 2012, "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, volume 28, issue 2, pages 446-455, DOI: 10.1016/j.ijforecast.2011.04.006.
• Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012, "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, volume 28, issue 3, pages 557-574, DOI: 10.1016/j.ijforecast.2011.12.004.
• Kim, Hyeongwoo & Durmaz, Nazif, 2012, "Bias correction and out-of-sample forecast accuracy," International Journal of Forecasting, Elsevier, volume 28, issue 3, pages 575-586, DOI: 10.1016/j.ijforecast.2012.02.009.
• Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2012, "Optimal forecasting of noncausal autoregressive time series," International Journal of Forecasting, Elsevier, volume 28, issue 3, pages 623-631, DOI: 10.1016/j.ijforecast.2011.08.003.
• Lee, Jong-Wha & Francisco, Ruth, 2012, "Human capital accumulation in emerging Asia, 1970–2030," Japan and the World Economy, Elsevier, volume 24, issue 2, pages 76-86, DOI: 10.1016/j.japwor.2012.01.008.
• Cipollini, Andrea & Fiordelisi, Franco, 2012, "Economic value, competition and financial distress in the European banking system," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3101-3109, DOI: 10.1016/j.jbankfin.2012.07.014.
• Avouyi-Dovi, Sanvi & Idier, Julien, 2012, "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 428-438, DOI: 10.1016/j.jbankfin.2011.07.019.
• Guidolin, Massimo & Hyde, Stuart, 2012, "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 695-716, DOI: 10.1016/j.jbankfin.2011.10.011.
• Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012, "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2026-2047, DOI: 10.1016/j.jbankfin.2012.03.008.
• Lee, Bong Soo & Li, Ming-Yuan Leon, 2012, "Diversification and risk-adjusted performance: A quantile regression approach," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2157-2173, DOI: 10.1016/j.jbankfin.2012.03.020.
• Kelly, David L. & Letson, David & Nelson, Forrest & Nolan, David S. & Solís, Daniel, 2012, "Evolution of subjective hurricane risk perceptions: A Bayesian approach," Journal of Economic Behavior & Organization, Elsevier, volume 81, issue 2, pages 644-663, DOI: 10.1016/j.jebo.2011.10.004.
• Kato, Takafumi, 2012, "Prediction in the lognormal regression model with spatial error dependence," Journal of Housing Economics, Elsevier, volume 21, issue 1, pages 66-76, DOI: 10.1016/j.jhe.2012.01.003.
• Felipe, Jesus & Kumar, Utsav & Abdon, Arnelyn, 2012, "Using capabilities to project growth, 2010–2030," Journal of the Japanese and International Economies, Elsevier, volume 26, issue 1, pages 153-166, DOI: 10.1016/j.jjie.2011.11.001.
• Kozicki, Sharon, 2012, "Macro has progressed," Journal of Macroeconomics, Elsevier, volume 34, issue 1, pages 23-28, DOI: 10.1016/j.jmacro.2011.07.005.
• Klein, Lawrence R. & Kushnirsky, Fyodor I. & Maksymenko, Svitlana V., 2012, "Macroeconometric study of Ukraine's growth and reform," Journal of Policy Modeling, Elsevier, volume 34, issue 3, pages 325-340, DOI: 10.1016/j.jpolmod.2012.02.003.
• Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012, "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, volume 34, issue 6, pages 864-878, DOI: 10.1016/j.jpolmod.2012.01.010.
• Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012, "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 402-412, DOI: 10.1016/j.qref.2012.08.002.
• Chen, Sichong, 2012, "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 284-304, DOI: 10.1016/j.iref.2011.10.009.
• Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012, "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 78-91, DOI: 10.1016/j.iref.2011.08.007.
• Loek Groot, 2012, "An Olympic Level Playing Field? The Contest for Olympic Success as a Public Good," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 55, issue 2, pages 25-50.
• Mardi Dungey & Jan PAM Jacobs & Jing Tian & Simon van Norden, 2012, "On the Correspondence Between Data Revision and Trend-Cycle Decomposition," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-16, Mar.
• Yin Liao, 2012, "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-26, Jun.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2012, "Prediction Markets for Economic Forecasting," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-33, Jul.
• Pierre L. Siklos, 2012, "Sources of Disagreement in Inflation Forecasts: An International Empirical Investigation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-42, Sep.
• Ippei Fujiwara & Yasuo Hirose, 2012, "Indeterminacy and Forecastability," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-48, Nov.
• Mehmet KARACUKA & A.Nazif CATIK, 2012, "Diffusion of Telecommunication Services in Turkey," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 4, pages 497-510.
• Nuray GUNERI TOSUNOGLU & Yasemin KESKIN BENLI, 2012, "Morgan Stanley Capital International Turkiye Endeksinin Yapay Sinir Aglari ile Ongorusu," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 4, pages 541-547.
• Boriss Siliverstovs, 2012, "Are GDP Revisions Predictable? Evidence for Switzerland," EcoMod2012, EcoMod, number 4219, Jul.
• Javier J. Perez & Rossana Merola, 2012, "Fiscal forecast errors: governments vs independent agencies?," EcoMod2012, EcoMod, number 4694, Jul.
• Pincheira, Pablo & García, Álvaro, 2012, "En busca de un buen marco de referencia predictivo para la inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 313, pages 85-123, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Faruk Balli & Elsayed Mousa Elsamadisy, 2012, "Modelling the currency in circulation for the State of Qatar," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 5, issue 4, pages 321-339, November, DOI: 10.1108/17538391211282827.
• Ndahiriwe Kasaï & Ruthira Naraidoo, 2012, "Financial assets, linear and nonlinear policy rules," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 161-177, May, DOI: 10.1108/01443581211222644.
• George Karathanasis & Vasilios Sogiakas & Kenellos Toudas, 2012, "Derivatives listing strategy," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 20, issue 3, pages 307-321, July, DOI: 10.1108/13581981211237990.
• Caporin, M. & McAleer, M.J., 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2012-13, Apr.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-29, Oct.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-34, Oct.
• Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C., 2012, "Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2012-018-F&A, Oct.
• Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran, 2012, "An Empirical Growth Model for Major Oil Exporters," Working Papers, Economic Research Forum, number 680, revised 2012.
• Kamiar Mohaddes & Mehdi Raissi, 2012, "Oil Prices, External Income, and Growth: Lessons from Jordan," Working Papers, Economic Research Forum, number 688, revised 2012.
• Jan R. Magnus & Karen Poghosyan, 2012, "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia," International Econometric Review (IER), Economic Research Association, volume 4, issue 1, pages 40-58, April.
• Colombino, Ugo, 2012, "Equilibrium policy simulation with random utility models of labor supply," EUROMOD Working Papers, EUROMOD at the Institute for Social and Economic Research, number EM5/12, Apr.
• Christian Buelens, 2012, "Inflation forecasting and the crisis: assessing the impact on the performance of different forecasting models and methods," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 451, Mar.
• João Medeiros, 2012, "Stochastic debt simulation using VAR models and a panel fiscal reaction function – results for a selected number of countries," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 459, Jul.
• Matthieu Droumaguet & Tomasz Wozniak, 2012, "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers, European University Institute, number ECO2012/06.
• Claudia FORONI & Massimiliano MARCELLINO, 2012, "A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables," Economics Working Papers, European University Institute, number ECO2012/07.
• Andrea CARRIERO & Todd E. CLARK & Massimiliano MARCELLINO, 2012, "Common Drifting Volatility in Large Bayesian VARs," Economics Working Papers, European University Institute, number ECO2012/08.
• Peter Reinhard HANSEN & Allan TIMMERMANN, 2012, "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers, European University Institute, number ECO2012/10.
• Tomasz Wozniak, 2012, "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers, European University Institute, number ECO2012/19.
• Tomasz Wozniak, 2012, "Testing Causality Between Two Vectors in Multivariate GARCH Models," Economics Working Papers, European University Institute, number ECO2012/20.
• Peter Reinhard Hansen & Allan Timmermann, 2012, "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers, European University Institute, number ECO2012/24.
• Frédéric Karamé, 2012, "An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 12-04.
• Metin BAYRAK & Ömer ESEN, 2012, "Bütçe Açıklarının Cari İşlemler Dengesi Üzerine Etkileri: İkiz Açıklar Hipotezinin Türkiye Açısından Değerlendirilmesi," Ekonomik Yaklasim, Ekonomik Yaklasim Association, volume 23, issue 82, pages 23-49, DOI: 10.5455/ey.20001.
• Laura Eboli & Gabriella Mazzulla, 2012, "The Influence of Service Quality Factors in the Preferences Concerning the Use of Car and Bus," SCIENZE REGIONALI, FrancoAngeli Editore, volume 2012, issue 3, pages 75-91.
• J?rome Massiani, 2012, "Using Stated Preferences to Forecast the Market Diffusion of Alternative Fuel Vehicles," SCIENZE REGIONALI, FrancoAngeli Editore, volume 2012, issue 3, pages 93-121.
• Ales Kresta & Tomas Tichy, 2012, "International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 141-161, May.
• Erik Lindström & Fredric Regland, 2012, "Independent Spike Models: Estimation and Validation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 180-196, May.
• Jakub Rysanek & Jaromir Tonner & Stanislav Tvrz & Osvald Vasicek, 2012, "Monetary Policy Implications of Financial Frictions in the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 5, pages 413-429, November.
• Paul COLLIER, 2012, "Savings from Natural Resource Revenues in Developing Countries : Principles and Policy Rules," Working Papers, FERDI, number P55, Nov.
• Joël CARIOLLE, 2012, "Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005," Working Papers, FERDI, number I14, Mar.
• Joël CARIOLLE, 2012, "Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005," Working Papers, FERDI, number I14, Mar.
• Mark J. Jensen & John M. Maheu, 2012, "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-06.
• Mark J. Jensen & John M. Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-09.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012, "Common drifting volatility in large Bayesian VARs," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1206, DOI: 10.26509/frbc-wp-201206.
• Todd E. Clark & Francesco Ravazzolo, 2012, "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1218, DOI: 10.26509/frbc-wp-201218.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012, "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1227, DOI: 10.26509/frbc-wp-201227.
• Òscar Jordà & Malte Knuppel & Massimiliano Marcellino, 2012, "Empirical simultaneous prediction regions for path-forecasts," Working Paper Series, Federal Reserve Bank of San Francisco, number 2012-05.
• Edward P. Herbst & Frank Schorfheide, 2012, "Evaluating DSGE model forecasts of comovements," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-11.
• Jon Faust & Simon Gilchrist & Jonathan H. Wright & Egon Zakrajšek, 2012, "Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-77.
• Lutz Kilian & Robert J. Vigfusson, 2012, "Do oil prices help forecast U.S. real GDP? the role of nonlinearities and asymmetries," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1050.
• Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2012, "Forecasting national recessions using state level data," Working Papers, Federal Reserve Bank of St. Louis, number 2012-013, DOI: 10.20955/wp.2012.013.
• Frank Schorfheide & Dongho Song, 2012, "Real-time forecasting with a mixed-frequency VAR," Working Papers, Federal Reserve Bank of Minneapolis, number 701.
• Carlos Madeira & Basit Zafar, 2012, "Heterogeneous inflation expectations and learning," Staff Reports, Federal Reserve Bank of New York, number 536.
• Marco Del Negro & Marc Giannoni & Christina Patterson, 2012, "The forward guidance puzzle," Staff Reports, Federal Reserve Bank of New York, number 574.
• Amelia BUCUR, 2012, "Aspects Regarding The Optimization Of The Quality Of Managerial Decisions - Solving An Optimization Problem In The Sense Of Sustainability With Winqsb," Review of General Management, Spiru Haret University, Faculty of Management Brasov, volume 15, issue 1, pages 194-202, Mai.
• Ludovic Dobbelaere & Igor Lebrun, 2012, "Working Paper 03-12 - Track record of the FPB’s short-term forecasts : An update," Working Papers, Federal Planning Bureau, Belgium, number 201203, Feb.
• Sergey Tsukhlo, 2012, "Russian Industrial Enterprises in 2011," Published Papers, Gaidar Institute for Economic Policy, number 42, revised 2012.
• Dimitris Korobilis, 2012, "Bayesian forecasting with highly correlated predictors," Working Papers, Business School - Economics, University of Glasgow, number 2012_12, Jul.
• Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012, "Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle," Working Papers, University of Guelph, Department of Economics and Finance, number 1206.
• Tara M. Sinclair, 2012, "Forecasting Data Vintages," Working Papers, The George Washington University, The Center for Economic Research, number 2012-001, Jan.
• Paul E. Carrillo & Erik Robert De Wit & William D. Larson, 2012, "Can Tightness in the Housing Market Help Predict Subsequent Home Price Appreciation? Evidence from the U.S. and the Netherlands," Working Papers, The George Washington University, Institute for International Economic Policy, number 2012-11, Nov.
• Prof. Dr. Bernd Meyer, 2012, "Macroeconomic Modelling of Sustainable Development and the Links between the Economy and the Environment," GWS Research Report Series, GWS - Institute of Economic Structures Research, number 12-1.
• Pierre Courtioux, 2012, "How income contingent loans could affect the returns to higher education: a microsimulation of the French case," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00718386, Sep.
• Christophe Boucher & Bertrand Maillet, 2012, "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00820714, May, DOI: 10.3917/reco.633.0581.
• Christophe Boucher & Bertrand Maillet, 2012, "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00662771, Jan.
• Verónica Acurio Vasconez & Gaël Giraud & Florent Mc Isaac & Ngoc Sang Pham, 2012, "Energy and Capital in a New-Keynesian Framework," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00827666, Dec.
• Pierre Courtioux, 2012, "How income contingent loans could affect the returns to higher education: a microsimulation of the French case," Post-Print, HAL, number hal-00718386, Sep.
• Julien Chevallier & Benoît Sévi, 2012, "On the volatility-volume relationship in energy futures markets using intraday data," Post-Print, HAL, number hal-00988926, DOI: 10.1016/j.eneco.2012.08.024.
• Mathieu Plane, 2012, "Evaluation de l'impact economique du credit d'impôt pour la competivité et l'emploi (CICE)," Post-Print, HAL, number hal-01024678, Dec, DOI: 10.3917/reof.126.0141.
• Christophe Boucher & Bertrand Maillet, 2012, "Prévoir sans persistance," Post-Print, HAL, number hal-01386006.
• Sanvi Avouyi-Dovi & Julien Idier, 2012, "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Post-Print, HAL, number hal-01511935, DOI: 10.1016/j.jbankfin.2011.07.019.
• F. Karamé, 2012, "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Post-Print, HAL, number hal-02877971, Oct, DOI: 10.1016/j.econlet.2012.04.089.
• Verónica Acurio Vasconez & Gaël Giraud & Florent Mc Isaac & Ngoc Sang Pham, 2012, "Energy and Capital in a New-Keynesian Framework," Post-Print, HAL, number halshs-00827666, Dec.
• Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print, HAL, number halshs-01279906, DOI: 10.1016/j.eneco.2011.10.015.
• Mathieu Plane, 2012, "Evaluation de l'impact economique du credit d'impôt pour la competivité et l'emploi (CICE)," Sciences Po Economics Publications (main), HAL, number hal-01024678, Dec, DOI: 10.3917/reof.126.0141.
• Benoît Chèze & Julien Chevallier & Pascal Gastineau, 2012, "Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term?," Working Papers, HAL, number hal-04141052.
• R. Khalfaoui & M. Boutahar, 2012, "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers, HAL, number halshs-00793068, Mar.