Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2012

• Marcel Aloy & Gilles de Truchis, 2012, "Estimation and Testing for Fractional Cointegration," Working Papers, HAL, number halshs-00793206, Jun.
• Li, Yushu, 2012, "Estimating and Forecasting APARCH-Skew-t Models by Wavelet Support Vector Machines," Working Papers, Lund University, Department of Economics, number 2012:13, May.
• Karlsson, Sune, 2012, "Conditional posteriors for the reduced rank regression model," Working Papers, Örebro University, School of Business, number 2012:11, May.
• Karlsson, Sune, 2012, "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business, number 2012:12, Aug.
• Holmberg, Ulf, 2012, "Essays on Credit Markets and Banking," Umeå Economic Studies, Umeå University, Department of Economics, number 840, Mar.
• Lönnbark, Carl, 2012, "On the role of the estimation error in prediction of expected shortfall," Umeå Economic Studies, Umeå University, Department of Economics, number 844, Aug.
• Liu, Yang, 2012, "Does Internal Immigration Always Lead to Urban Unemployment in Emerging Economies? : A Structural Approach Based on Data from China," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 53, issue 1, pages 85-105, June, DOI: 10.15057/23146.
• Nikola Bokan & Rafael Ravnik, 2012, "Estimating Potential Output in the Republic of Croatia Using a Multivariate Filter," Working Papers, The Croatian National Bank, Croatia, number 35, Nov.
• Logica Banica & Daniela Pirvu & Alina Hagiu, 2012, "Intelligent Financial Forecasting, The key for a Successful Management," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 3, pages 192-206, July.
• Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2012, "International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2012n18, Aug.
• Terrance Jalbert & James E. Briley & Mercedes Jalbert, 2012, "Forecasting Financial Statements Using Risk Management Associates Industry Data," Business Education and Accreditation, The Institute for Business and Finance Research, volume 4, issue 1, pages 123-134.
• Gozde Unal & Derya Korman, 2012, "Analysis of Extreme Dependence Between Istanbul Stock Exchange and Oil Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 113-124.
• Mei-Mei Kuo & Shih-Wen Tai & Bing-Huei Lin, 2012, "Forecasting Term Structure of HIBOR Swap Rates," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 87-100.
• Ana Filipa Dias & António Portugal Duarte, 2012, "Euro Integration Reserve Currency?," Book Chapters, Institute of Economic Sciences, chapter 8, in: João Sousa Andrade & Marta C. N. Simões & Ivan Stosic & Dejan Eric & Hasan Hanic, "Managing Structural Changes - Trends and Requirements".
• Márcio Laurini, 2012, "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-02, Mar.
• Márcio Laurini & João Frois Caldeira, 2012, "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-04, Apr.
• Rodrigo Mariscal & Andrew Powell, 2012, "Forecasting Inflation Risks in Latin America: A Technical Note," Research Department Publications, Inter-American Development Bank, Research Department, number 4785, Jun.
• Omar Chisari & Javier Maquieyra & Sebastian Miller, 2012, "Manual sobre Modelos de Equilibrio General Computado para Economías de LAC con Énfasis en el Análisis Económico del Cambio Climático," Research Department Publications, Inter-American Development Bank, Research Department, number 4802, Sep.
• Raffaella Giacomini & Barbara Rossi, 2012, "Model comparisons in unstable environments," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP13/12, Jun.
• Alejandro Bernales & Massimo Guidolin, 2012, "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 456.
• Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2012, "Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System," Economics Series, Institute for Advanced Studies, number 292, Oct.
• Timur Han GÜR & Hasan Murat ERTUĞRUL, 2012, "Döviz kuru volatilitesi modelleri: Türkiye uygulaması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 310, pages 53-77.
• Gianluigi Ferrucci & Rebeca Jiménez-Rodríguez & Luca Onorantea, 2012, "Food Price Pass-Through in the Euro Area: Non-Linearities and the Role of the Common Agricultural Policy," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 1, pages 179-218, March.
• Malte Knüppel & Guido Schultefrankenfeld, 2012, "How Informative Are Central Bank Assessments of Macroeconomic Risks?," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 3, pages 87-139, September.
• Eugenio Zucchelli & Andrew M Jones & Nigel Rice, 2012, "The evaluation of health policies through dynamic microsimulation methods," International Journal of Microsimulation, International Microsimulation Association, volume 5, issue 1, pages 2-20.
• Sabine Zinn, 2012, "A Mate-Matching Algorithm for Continuous-Time Microsimulation Models," International Journal of Microsimulation, International Microsimulation Association, volume 5, issue 1, pages 31-51.
• Wildo González, 2012, "Un Gran VAR Bayesiano para la Economia Chilena," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 27, issue 2, pages 75-119, October.
• Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012, "A Framework for Extracting the Probability of Default from Stock Option Prices," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-14, Oct.
• Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012, "Credit Risk Contagion and the Global Financial Crisis," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-15, Oct.
• Mr. Olivier Coibion & Mr. Yuriy Gorodnichenko, 2012, "Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts," IMF Working Papers, International Monetary Fund, number 2012/296, Dec.
• Katja Rietzler & Sabine Stephan, 2012, "Monthly recession predictions in real time: A density forecast approach for German industrial production," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 94-2012.
• Thomas Theobald, 2012, "Real-time Markov Switching and Leading Indicators in Times of the Financial Crisis," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 98-2012.
• Nidhi Aggarwal & Manish Singh & Susan Thomas, 2012, "Do changes in distance-to-default anticipate changes in the credit rating?," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2012-010, Mar.
• Mihaela BRATU (SIMIONESCU), 2012, "A Strategy To Improve The Gdp Index Forcasts In Romania Using Moving Average Models Of Historical Errors Of The Dobrescu Macromodel," Romanian Journal of Economics, Institute of National Economy, volume 35, issue 2(44), pages 128-138, December.
• Makram El-Shagi & Alexander Jung, 2012, "Does the Greenspan Era Provide Evidence on Leadership in the FOMC?," Working Papers, International Network for Economic Research - INFER, number 2012.6.
• So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012, "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," Operations Research, INFORMS, volume 60, issue 4, pages 739-756, August, DOI: 10.1287/opre.1120.1072.
• Achim Zeileis & Christoph Leitner & Kurt Hornik, 2012, "History Repeating: Spain Beats Germany in the EURO 2012 Final," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2012-09, May.
• Juan Carlos García & Patricia Cortez, 2012, "Análisis de la participación laboral de la mujer en el mercado ecuatoriano," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, volume 4, issue 2, pages 27-53, Diciembre.
• Carrillo-Huerta, Mario M., 2012, "Un modelo de alerta y predicción de crisis cambiarias: el caso de México," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 34, pages 7-54, segundo t.
• Cecilia Frale & Valentina Raponi, 2012, "WP 14 Revisions in official data and forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 14, Mar.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 16, May.
• Cecilia Frale & Valentina Raponi, 2012, "Revisions in official data and forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 3, Mar.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 5, May.
• Paz Rico Belda, 2012, "No linealidad y asimetría en el proceso generador del Índice IBEX35," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2012-09, Dec.
• Esfahani, Hadi Salehi & Mohaddes, Kamiar & Pesaran, M. Hashem, 2012, "An Empirical Growth Model for Major Oil Exporters," IZA Discussion Papers, IZA Network @ LISER, number 6468, Apr.
• Colombino, Ugo, 2012, "Equilibrium Simulation with Microeconometric Models: A New Procedure with an Application to Income Support Policies," IZA Discussion Papers, IZA Network @ LISER, number 6679, Jun.
• Ketzler, Rolf & Zimmermann, Klaus F., 2012, "A Citation-Analysis of Economic Research Institutes," IZA Discussion Papers, IZA Network @ LISER, number 6780, Aug.
• Sauer, Robert M., 2012, "Does It Pay for Women to Volunteer?," IZA Discussion Papers, IZA Network @ LISER, number 6784, Aug.
• Siliverstovs Boriss & Kholodilin Konstantin A., 2012, "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 232, issue 4, pages 429-444, August, DOI: 10.1515/jbnst-2012-0404.
• Periklis Gogas & Ioannis Pragidis, 2012, "GDP trend deviations and the yield spread: the case of eight E.U. countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 226-237, January, DOI: 10.1007/s12197-011-9176-9.
• Ángel Cuevas & Enrique Quilis, 2012, "A factor analysis for the Spanish economy," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 3, issue 3, pages 311-338, September, DOI: 10.1007/s13209-011-0060-9.
• Joshua Chan & Gary Koop & Simon Potter, 2012, "A New Model of Trend Inflation," Working Papers, University of Strathclyde Business School, Department of Economics, number 1202, Feb.
• Yu Chen & Kenneth Gibb & Chris Leishman & Robert Wright, 2012, "The Impact of Population Ageing on House Prices: A Micro-simulation Approach," Working Papers, University of Strathclyde Business School, Department of Economics, number 1207, Jun.
• Frantisek Hajnovic & Juraj Zeman, 2012, "Fiscal Space in the Euro zone," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 5/2012, Dec.
• Simeon Vosen & Torsten Schmidt, 2012, "A monthly consumption indicator for Germany based on Internet search query data," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 7, pages 683-687, May, DOI: 10.1080/13504851.2011.595673.
• Kui-Wai Li, 2012, "A study on the volatility forecast of the US housing market in the 2008 crisis," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 22, pages 1869-1880, November, DOI: 10.1080/09603107.2012.687096.
• M. Ali Choudhary & Adnan Haider, 2012, "Neural network models for inflation forecasting: an appraisal," Applied Economics, Taylor & Francis Journals, volume 44, issue 20, pages 2631-2635, July, DOI: 10.1080/00036846.2011.566190.
• Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2012, "Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy," Applied Economics, Taylor & Francis Journals, volume 44, issue 30, pages 3965-3985, October, DOI: 10.1080/00036846.2011.583226.
• Heather L. R. Tierney, 2012, "Examining the ability of core inflation to capture the overall trend of total inflation," Applied Economics, Taylor & Francis Journals, volume 44, issue 4, pages 493-514, February, DOI: 10.1080/00036846.2010.508732.
• M. Ali Choudhary & Adnan Haider, 2012, "Neural network models for inflation forecasting: an appraisal," Applied Economics, Taylor & Francis Journals, volume 44, issue 20, pages 2631-2635, July, DOI: 10.1080/00036846.2011.566190.
• Pierre Courtioux, 2012, "How income contingent loans could affect the returns to higher education: a microsimulation of the French case," Education Economics, Taylor & Francis Journals, volume 20, issue 4, pages 402-429, November, DOI: 10.1080/09645290903546538.
• Andrew Patton & Allan Timmermann, 2012, "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 1-17, DOI: 10.1080/07350015.2012.634337.
• José Rangel & Robert Engle, 2012, "The Factor–Spline–GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, DOI: 10.1080/07350015.2012.643132.
• Barbara Rossi & Atsushi Inoue, 2012, "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 3, pages 432-453, April, DOI: 10.1080/07350015.2012.693850.
• Dungey, Mardi & Jacobs, Jan & Tian, Jing & van Norden, Simon, 2012, "On the correspondence between data revision and trend-cycle decomposition," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 12975, Mar, revised 01 Mar 2012.
• Kurmas Akdogan & Selen Baser & Meltem Gulenay Chadwick & Dilara Ertug & Timur Hulagu & Sevim Kosem & Fethi Ogunc & M. Utku Ozmen & Necati Tekatli, 2012, "Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1209.
• Meltem Gulenay Chadwick & Gonul Sengul, 2012, "Nowcasting Unemployment Rate in Turkey : Let's Ask Google," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1218.
• Huseyin Cagri Akkoyun & Mahmut Gunay, 2012, "Nowcasting Turkish GDP Growth," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1233.
• Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012, "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-020/4, Mar.
• Falk Brauning & Siem Jan Koopman, 2012, "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-042/4, Apr.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012, "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-118/III, Nov.
• Pfajfar, D. & Santoro, E., 2012, "News on Inflation and the Epidemiology of Inflation Expectations," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-048.
• Pfajfar, D. & Santoro, E., 2012, "News on Inflation and the Epidemiology of Inflation Expectations," Other publications TiSEM, Tilburg University, School of Economics and Management, number 515ee09e-b946-439f-afff-d.
• Pfajfar, D. & Santoro, E., 2012, "News on Inflation and the Epidemiology of Inflation Expectations," Other publications TiSEM, Tilburg University, School of Economics and Management, number 87fa5f59-4918-4fe4-ad6e-c.
• Maritta Paloviita and Matti Viren, 2012, "Analyzing the relationships between survey forecasts for different variables and countries," Discussion Papers, Aboa Centre for Economics, number 76, Nov.
• Maritta Paloviita and Matti Viren, 2012, "Are individual survey expectations internally consistent?," Discussion Papers, Aboa Centre for Economics, number 77, Nov.
• Masayoshi Hayashi, 2012, "Forecasting Welfare Caseloads: The Case of the Japanese Public Assistance Program," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-846, Apr.
• Mark J Jensen & John M Maheu, 2012, "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Papers, University of Toronto, Department of Economics, number tecipa-453, Apr.
• Mark J Jensen & John M Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," Working Papers, University of Toronto, Department of Economics, number tecipa-458, Jun.
• Maximilian Auffhammer & Ralf Steinhauser, 2012, "Forecasting The Path of U.S. CO_2 Emissions Using State-Level Information," The Review of Economics and Statistics, MIT Press, volume 94, issue 1, pages 172-185, February.
• Ivana Komunjer & Michael T. Owyang, 2012, "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, volume 94, issue 4, pages 1066-1080, November.
• Jonas Dovern & Ulrich Fritsche & Jiri Slacalek, 2012, "Disagreement Among Forecasters in G7 Countries," The Review of Economics and Statistics, MIT Press, volume 94, issue 4, pages 1081-1096, November.
• Müller-Plantenberg, Nikolas, 2012, "Balance of payments flows and exchange rate prediction in Japan," Working Papers in Economic Theory, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History), number 2012/09, Mar.
• Massimiliano Caporin & Michael McAleer, 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-06, revised Apr 2012.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012, "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-07, revised Feb 2012.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012, "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-14, Jun.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-26, revised Oct 2012.
• Cristiano Cantore & Filippo Ferroni & Miguel A León-Ledesma, 2012, "Interpreting the Hours-Technology time-varying relationship," Studies in Economics, School of Economics, University of Kent, number 1201, Jan.
• Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2012, "Nowcasting," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/204908, Sep.
• Lieven Baele & et al., 2012, "Macroeconomic Regimes," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/12, Jul.
• Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012, "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 019, Jan, DOI: 10.26481/umamet.2012019.
• Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012, "Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data)," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 021, Jan, DOI: 10.26481/umamet.2012021.
• Barbara Rossi & Atsushi Inoue, 2012, "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1404, Apr.
• Barbara Rossi, 2012, "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1405, Oct.
• Audrino, Francesco & Meier, Pirmin, 2012, "Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1210, Apr.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012, "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance, University of St. Gallen, School of Finance, number 1211, Nov.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012, "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance, University of St. Gallen, School of Finance, number 1213, Feb.
• Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012, "Risk Spillovers in International Equity Portfolios," Working Papers on Finance, University of St. Gallen, School of Finance, number 1214, Feb.
• Colombino Ugo, 2012, "Equilibrium simulation with microeconometric models. A new procedure with an application to income support policies," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 201209, Jun.
• Richiardi Matteo & Poggi Ambra, 2012, "Imputing Individual Effects in Dynamic Microsimulation Models. An application of the Rank Method," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 201213, Sep.
• Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012, "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012:35.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2012, "Bayesian Graphical Models for Structural Vector Autoregressive Processes," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012:36.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012, "Combination schemes for turning point predictions," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_15.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012, "Combining predictive densities using Bayesian filtering with applications to US economic data," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_16.
• Albert Mafusire & Zuzana Brixiova, 2012, "Macroeconomic Shock Synchronization in the East African Community," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1031, Mar.
• Peter Huber & Harald Oberhofer & Michael Pfaffermayr, 2012, "Who Creates Jobs? Estimating Job Creation Rates at the Firm Level," WIFO Working Papers, WIFO, number 435, Aug.
• Hiroshi Sakamoto, 2012, "Future Prediction of the Prefectural Economy in Japan: Using a Stochastic Model," ERSA conference papers, European Regional Science Association, number ersa12p139, Oct.
• Lucian-Liviu Albu, 2012, "Quantifying The Impact Of Current Crisis On The Convergence In Eu And Post-Crisis Scenarios," ERSA conference papers, European Regional Science Association, number ersa12p433, Oct.
• Gary Koop & Dimitris Korobilis, 2012, "Forecasting Inflation Using Dynamic Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 53, issue 3, pages 867-886, August, DOI: 10.1111/j.1468-2354.2012.00704.x.
• Martin Ellison & Thomas J. Sargent, 2012, "A Defense Of The Fomc," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 53, issue 4, pages 1047-1065, November, DOI: j.1468-2354.2012.00711.x.
• Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2012, "Asset allocation in the Athens stock exchange: a variance sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 17, issue 2, pages 167-181, April.
• Jean‐Thomas Bernard & Jean‐Marie Dufour & Lynda Khalaf & Maral Kichian, 2012, "An identification‐robust test for time‐varying parameters in the dynamics of energy prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 4, pages 603-624, June.
• Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012, "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 934-955, September.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 956-977, September.
• Carlo A. Favero & Linlin Niu & Luca Sala, 2012, "Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set," Journal of Forecasting, John Wiley & Sons, Ltd., volume 31, issue 2, pages 124-156, March.
• Chew Lian Chua & G. C. Lim & Sarantis Tsiaplias, 2012, "A latent variable approach to forecasting the unemployment rate," Journal of Forecasting, John Wiley & Sons, Ltd., volume 31, issue 3, pages 229-244, April.
• Martin Feldkircher, 2012, "Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., volume 31, issue 4, pages 361-376, July.
• Christina Beneki & Bruno Eeckels & Costas Leon, 2012, "Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 31, issue 5, pages 391-400, August.
• Chris Brooks & Alešs Černý & Joëlle Miffre, 2012, "Optimal hedging with higher moments," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 10, pages 909-944, October.
• Antonello D’Agostino & Kieran Mcquinn & Karl Whelan, 2012, "Are Some Forecasters Really Better Than Others?," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue 4, pages 715-732, June, DOI: 10.1111/j.1538-4616.2012.00507.x.
• Marcin Kolasa & Michał Rubaszek & Paweł Skrzypczyński, 2012, "Putting the New Keynesian DSGE Model to the Real‐Time Forecasting Test," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue 7, pages 1301-1324, October, DOI: 10.1111/j.1538-4616.2012.00533.x.
• Adam Jêdrzejczyk, 2012, "Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 63, Sep.
• Chen Yu-Chin & Rogoff Kenneth, 2012, "Are The Commodity Currencies An Exception To The Rule?," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-28, DOI: 10.1142/S2251361212500048.
• Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012, "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/06.
• Mihaela Bratu, 2012, "Econometric Models or Smoothing Exponential Techniques to Predict Macroeconomic Indicators in Romania," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 15, issue 2, pages 87-100, November.
• Nyberg, Henri & Saikkonen, Pentti, 2012, "Forecasting with a noncausal VAR model," Bank of Finland Research Discussion Papers, Bank of Finland, number 33/2012.
• Paloviita, Maritta & Virén, Matti, 2012, "Inflation and output growth uncertainty in individual survey expectations," Bank of Finland Research Discussion Papers, Bank of Finland, number 37/2012.
• Jang, Tae-Seok & Sacht, Stephen, 2012, "Identification of animal spirits in a bounded rationality model: An application to the euro area," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-12.
• Vosen, Simeon & Schmidt, Torsten, 2012, "A monthly consumption indicator for Germany based on Internet search query data," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 19, issue 7, pages 683-687.
• Croonenbroeck, Carsten & Stadtmann, Georg, 2012, "Evaluating Phillips curve based inflation forecasts in Europe: A note," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 329.
• Jang, Tae-Seok & Sacht, Stephen, 2012, "Identification of animal spirits in a bounded rationality model: An application to the euro area," Kiel Working Papers, Kiel Institute for the World Economy, number 1798.
• Wolters, Maik Hendrik, 2012, "Evaluating point and density forecasts of DSGE models," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 59.
• Wieland, Volker & Wolters, Maik Hendrik, 2012, "Forecasting and policy making," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 62.
• Holtemöller, Oliver & Irrek, Maike & Schultz, Birgit, 2012, "A Federal Long-run Projection Model for Germany," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2012.
• El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2012, "Does Central Bank Staff Beat Private Forecasters?," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 5/2012.
• Holtemöller, Oliver & Irrek, Maike, 2012, "Wachstumsprojektion 2025 für die deutschen Länder: Produktion je Einwohner divergiert," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), volume 18, issue 4, pages 132-140.
• Holtemöller, Oliver & Drechsel, Katja & Loose, Brigitte, 2012, "Mittelfristige Projektion der wirtschaftlichen Entwicklung," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), volume 18, issue 8-9, pages 259-262.
• Quaas, Georg & Köster, Robert, 2012, "Ein Modell für die Wirtschaftszweige der deutschen Volkswirtschaft: Das "MOGBOT" (Model of Germany's Branches of Trade)," Working Papers, University of Leipzig, Faculty of Economics and Management Science, number 106.
• Schmidt, Torsten & Vosen, Simeon, 2012, "Using Internet Data to Account for Special Events in Economic Forecasting," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 382, DOI: 10.4419/86788437.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012, "Quantile regression in risk calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-006.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-031.
• Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012, "Copula dynamics in CDOs," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-032.
• Zolotko, Mikhail & Okhrin, Ostap, 2012, "Modelling general dependence between commodity forward curves," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-060.
• Sacht, Stephen & Jang, Tae-Seok, 2012, "Identification of Animal Spirits in a Bounded Rationality Model: An Application to the Euro Area," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62071.
• Michael Wolf & Dan Wunderli, 2012, "Bootstrap joint prediction regions," ECON - Working Papers, Department of Economics - University of Zurich, number 064, Feb, revised May 2013.

2011

• Volker Wieland & Maik Wolters, 2011, "The diversity of forecasts from macroeconomic models of the US economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 247-292, June, DOI: 10.1007/s00199-010-0549-7.
• Teresa Leal & Diego Pedregal & Javier Pérez, 2011, "Short-term monitoring of the Spanish government balance," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 2, issue 1, pages 97-119, March, DOI: 10.1007/s13209-010-0018-3.
• Maria Gonzalez-Perez & Alfonso Novales, 2011, "The information content in a volatility index for Spain," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 2, issue 2, pages 185-216, June, DOI: 10.1007/s13209-010-0031-6.
• Gonzalo Fernández-de-Córdoba & José Torres, 2011, "Forecasting the Spanish economy with an augmented VAR–DSGE model," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 2, issue 3, pages 379-399, September, DOI: 10.1007/s13209-010-0036-1.
• Gary Koop & Luca Onorante, 2011, "Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters," Working Papers, University of Strathclyde Business School, Department of Economics, number 1109, Mar.
• Gary Koop & Lise Tole, 2011, "Forecasting the European Carbon Market," Working Papers, University of Strathclyde Business School, Department of Economics, number 1110, Apr.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011, "A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models," Working Papers, University of Strathclyde Business School, Department of Economics, number 1113, Apr.
• Gary Koop, 2011, "Forecasting with Medium and Large Bayesian VARs," Working Papers, University of Strathclyde Business School, Department of Economics, number 1117, Apr.
• Gary Koop & Dimitris Korobilis, 2011, "UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?," Working Papers, University of Strathclyde Business School, Department of Economics, number 1118, Apr.
• Gary Koop & Dimitris Korobilis, 2011, "Forecasting Inflation Using Dynamic Model Averaging," Working Papers, University of Strathclyde Business School, Department of Economics, number 1119, Apr.
• Rachida Ouysse, 2011, "Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models," Discussion Papers, School of Economics, The University of New South Wales, number 2012-03, Apr.
• Grassi, Stefano & Proietti, Tommaso, 2011, "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 07/2011, Sep.
• Lütkepohl, Helmut & Proietti, Tommaso, 2011, "Does the Box-Cox transformation help in forecasting macroeconomic time series?," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 08/2011, Oct.
• Philip Hans Franses, 2011, "Model selection for forecast combination," Applied Economics, Taylor & Francis Journals, volume 43, issue 14, pages 1721-1727, DOI: 10.1080/00036840902762753.
• Bram van Dijk & Philip Hans Franses & Richard Paap & Dick van Dijk, 2011, "Modelling regional house prices," Applied Economics, Taylor & Francis Journals, volume 43, issue 17, pages 2097-2110, DOI: 10.1080/00036840903085089.
• Chia-Lin Chang & Michael McAleer & Les Oxley, 2011, "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 6, pages 583-619, DOI: 10.1080/07474938.2011.586614.
• A. Nazif Çatik & Mehmet Karaçuka, 2011, "A comparative analysis of alternative univariate time series models in forecasting Turkish inflation," Journal of Business Economics and Management, Taylor & Francis Journals, volume 13, issue 2, pages 275-293, April, DOI: 10.3846/16111699.2011.620135.
• Francesco Audrino & Fabio Trojani, 2011, "A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 1, pages 138-149, January, DOI: 10.1198/jbes.2010.08117.
• Don Harding & Adrian Pagan, 2011, "An Econometric Analysis of Some Models for Constructed Binary Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 1, pages 86-95, January, DOI: 10.1198/jbes.2009.08005.
• David F. Hendry & Kirstin Hubrich, 2011, "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 2, pages 216-227, April, DOI: 10.1198/jbes.2009.07112.
• Bertil Wegmann & Mattias Villani, 2011, "Bayesian Inference in Structural Second-Price Common Value Auctions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 382-396, July, DOI: 10.1198/jbes.2011.08289.
• Andrew J. Patton & Allan Timmermann, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 1-17, June, DOI: 10.1080/07350015.2012.634337.
• José Gonzalo Rangel & Robert F. Engle, 2011, "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, May, DOI: 10.1080/07350015.2012.643132.
• Christiane Baumeister & Lutz Kilian, 2011, "Real-Time Forecasts of the Real Price of Oil," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 326-336, September, DOI: 10.1080/07350015.2011.648859.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011, "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-003/4, Jan.
• Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011, "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-007/4, Jan.
• Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011, "Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-020/4, Jan.
• Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011, "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-023/4, Feb.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011, "Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-082/4, May.
• Sjoerd van den Hauwe & Dick van Dijk & Richard Paap, 2011, "Bayesian Forecasting of Federal Funds Target Rate Decisions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-093/4, Jul.
• Christophe Croux & Peter Exterkate, 2011, "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-122/4, Aug.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011, "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-123/4, Aug.
• Oleg Sokolinskiy & Dick van Dijk, 2011, "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-125/4, Sep.
• Lennart F. Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk, 2011, "Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-131/4, Sep.
• Rianne Legerstee & Philip Hans Franses, 2011, "Do Experts' SKU Forecasts improve after Feedback?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-135/4, Sep.
• Peter Exterkate, 2011, "Modelling Issues in Kernel Ridge Regression," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-138/4, Sep.
• Rianne Legerstee & Philip Hans Franses & Richard Paap, 2011, "Do Experts incorporate Statistical Model Forecasts and should they?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-141/4, Oct.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011, "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-172/4, Dec.
• Philip Hans Franses & Rianne Legerstee & Richard Paap, 2011, "Estimating Loss Functions of Experts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-177/4, Dec.
• Poghosyan, K. & Magnus, J.R., 2011, "WALS estimation and forecasting in factor-based dynamic models with an application to Armenia," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-054.
• Poghosyan, K. & Boldea, O., 2011, "Structural versus Matching Estimation : Transmission Mechanisms in Armenia," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-104.
• Poghosyan, K. & Magnus, J.R., 2011, "WALS estimation and forecasting in factor-based dynamic models with an application to Armenia," Other publications TiSEM, Tilburg University, School of Economics and Management, number 419d588e-7827-4cdd-b989-4.
• Yong Song, 2011, "Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model," Working Papers, University of Toronto, Department of Economics, number tecipa-427, Apr.