Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2011

• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2011, "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," KIER Working Papers, Kyoto University, Institute of Economic Research, number 771, Apr.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Evaluating Individual and Mean Non-Replicable Forecasts," KIER Working Papers, Kyoto University, Institute of Economic Research, number 773, May.
• Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011, "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers, Kyoto University, Institute of Economic Research, number 775, May.
• Michael McAleer & Massimiliano Caporin, 2011, "Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation," KIER Working Papers, Kyoto University, Institute of Economic Research, number 778, Jun.
• Michael McAleer & Philip Hans Franses & Chia-Lin Chang, 2011, "Analyzing Fixed-event Forecast Revisions," KIER Working Papers, Kyoto University, Institute of Economic Research, number 779, Jun.
• Michael McAleer & Paulo Araújo Santos & Juan-à ngel Jiménez-Martín & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," KIER Working Papers, Kyoto University, Institute of Economic Research, number 782, Jul.
• Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 784, Jul.
• Meilin Yan & Maximilian J. B. Hall & Paul Turner, 2011, "A Cost-Benefit Analysis of Basel III: Some Evidence from the UK," Discussion Paper Series, Department of Economics, Loughborough University, number 2011_05, Nov, revised Nov 2011.
• James Mitchell & Richard J. Smith & Martin R. Weale, 2011, "Efficient Aggregation of Panel Qualitative Survey Data," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 11/53, Dec.
• Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2011, "Predictive ability of business cycle indicators under test: A case study for the Euro area industrial production," Munich Reprints in Economics, University of Munich, Department of Economics, number 19953.
• Cecilia Frale & Valentina Raponi, 2011, "Revisions in ocial data and forecasting," Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 1194.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011, "A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models," Cahiers de recherche, CIRPEE, number 1104.
• Ivan Savin & Peter Winker, 2011, "Heuristic model selection for leading indicators in Russia and Germany," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201101.
• Atrianfar, Hamed & Barakchian, Seyed Mahdi, 2011, "Evaluation of Information Content of Economic Variables for Inflation Forecasting in Iran," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 3, issue 8, pages 1-42, September.
• Babazadeh, Mohammad & Farokhnejad, Farshid & Aghababaei, Mohammad Ebrahim, 2011, "Effects of Changes in the Exchange Rates on the Banks' Profitability in Short-Term and Long Term: VECM Approach," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 4, issue 9, pages 205-225, December.
• Mewael F. Tesfaselassie & Eric Schaling & Sylvester Eijffinger, 2011, "Learning about the Term Structure and Optimal Rules for Inflation Targeting," Journal of Money, Credit and Banking, Blackwell Publishing, volume 43, issue 8, pages 1685-1706, December, DOI: j.1538-4616.2011.00463.x.
• Yoichi Okita & Wade Pfau & Giang Long, 2011, "A Stochastic Forecast Model for Japan's Population," The Japanese Political Economy, Taylor & Francis Journals, volume 38, issue 2, pages 19-44, DOI: 10.2753/JES1097-203X380202.
• Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA, 2011, "Forecast evaluation in call centers: combined forecasts, flexible loss functions and economic criteria," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2011-08, Mar.
• Ágnes Horváth & Csaba Köber & Katalin Szilágyi, 2011, "MPM – The Magyar Nemzeti Bank’s monetary policy model," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 6, issue 2, pages 18-24, June.
• Silvia Muzzioli & Bernard De Baets, 2011, "Assessing the information content of option-based volatility forecasts using fuzzy regression methods," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0669, Nov.
• Daisuke Ishikawa & Nobutoshi Kitaura & Junji Ueda & Shintaro Nakagawa, 2011, "Structure of the Forward-Looking Model of the Japanese Economy and Simulation Results," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 7, issue 2, pages 385-454, July.
• Rob J Hyndman & Heather Booth & Farah Yasmeen, 2011, "Coherent mortality forecasting: the product-ratio method with functional time series models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/11, Feb.
• Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011, "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/11, Aug.
• George Athanasopoulos & Rob J Hyndman, 2011, "The value of feedback in forecasting competitions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/11, Feb.
• Jing Tian & Heather M. Anderson, 2011, "Forecasting Under Strucural Break Uncertainty," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/11, Jul.
• Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch, 2011, "Forecasting the Polish zloty with non-linear models," NBP Working Papers, Narodowy Bank Polski, number 81.
• Andrzej Kociecki & Marcin Kolasa & Michal Rubaszek, 2011, "Predictivistic Bayesian Forecasting System," NBP Working Papers, Narodowy Bank Polski, number 87.
• Jan J. J. Groen & Paolo A. Pesenti, 2011, "Commodity Prices, Commodity Currencies, and Global Economic Developments," NBER Chapters, National Bureau of Economic Research, Inc, "Commodity Prices and Markets".
• Jon Faust & Simon Gilchrist & Jonathan H. Wright & Egon Zakrajsek, 2011, "Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 16725, Jan.
• Lieven Baele & Geert Bekaert & Seonghoon Cho & Koen Inghelbrecht & Antonio Moreno, 2011, "Macroeconomic Regimes," NBER Working Papers, National Bureau of Economic Research, Inc, number 17090, May.
• Herbert Brücker & Philipp J.H. Schroeder, 2011, "International Migration with Heterogeneous Agents: Theory and Evidence for Germany, 1967-2009," Norface Discussion Paper Series, Norface Research Programme on Migration, Department of Economics, University College London, number 2011027, Dec.
• Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011, "Tracking India Growth in Real Time," Working Papers, National Institute of Public Finance and Policy, number 11/90, Jul.
• M. Bachelet & M. Beffy & D. Blanchet, 2011, "Simulating the impact of pension reforms on labour force participation for the 55+: a comparison of three models," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2011-08.
• Dean Foster & Rakesh Vohra, 2011, "Calibration: Respice, Adspice, Prospice," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1537, May.
• Chris McDonald & Leif Anders Thorsrud, 2011, "Evaluating density forecasts: model combination strategies versus the RBNZ," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2011/03, Aug.
• Diego Moccero & Shingo Watanabe & Boris Cournède, 2011, "What Drives Inflation in the Major OECD Economies?," OECD Economics Department Working Papers, OECD Publishing, number 854, Apr, DOI: 10.1787/5kgdx1jgvtf8-en.
• Stéphanie Guichard & Elena Rusticelli, 2011, "A Dynamic Factor Model for World Trade Growth," OECD Economics Department Working Papers, OECD Publishing, number 874, May, DOI: 10.1787/5kg9zbvvwqq2-en.
• Cristina Conflitti, 2012, "Measuring Uncertainty and Disagreement in the European Survey of Professional Forecasters," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2011, issue 2, pages 69-103, DOI: 10.1787/jbcma-2011-5kg0p9zzp26k.
• Christiaan Heij & Dick van Dijk & Patrick J.F. Groenen, 2011, "Forecasting with Leading Indicators by means of the Principal Covariate Index," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2011, issue 1, pages 73-92, DOI: 10.1787/jbcma-2011-5kgdwlpzs79v.
• Bolos Marcel & Otgon Cristian & Pop Razvan, 2011, "Substantiation Of The Public Debt Sustainability Using Kalman Filter," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 323-334, December.
• Tiron - Tudor Adriana & Fekete Szilvester & Dragu Ioana - Maria, 2011, "Ifrs Compliance Regarding Information Disclosed By Companies In Consolidated Financial Statements - Case Study On Ias 23 Borrowing Costs Applicability-," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue special, pages 289-295, July.
• Carlo A. Favero & Andrea Tamoni, 2011, "Demographics and US Stock Market Fluctuations ," CESifo Economic Studies, CESifo Group, volume 57, issue 1, pages 25-43, March.
• Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2011, "Forecasting breaks and forecasting during breaks," Economics Series Working Papers, University of Oxford, Department of Economics, number 535, Feb.
• Valero, Diego & Artís, Manuel & Ayuso, Mercedes & García, Jaime, 2011, "Una propuesta de reforma del sistema de pensiones español basada en un modelo de contribución definida nocional = A Proposal for Reforming the Spanish Pension System Based on a Notional Defined Contribution Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 11, issue 1, pages 91-113, June.
• Massimiliano Caporin & Gabriel G. Velo, 2011, "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0128, Feb.
• Gian Piero Aielli & Massimiliano Caporin, 2011, "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0133, May.
• Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011, "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0136, Jun.
• Gian Piero Aielli, 2011, "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0142, Nov.
• Vesna Bucevska, 2011, "Growth effect of aid and its volatility: An individual country study in South Asian economies," Business and Economic Horizons (BEH), Prague Development Center, volume 4, issue 1, pages 13-26, January.
• Muhammad Arshad Khan & Musleh ud Din, 2011, "A Dynamic Macroeconometric Model of Pakistan’s Economy," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2011:69.
• Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011, "The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields," PLOS ONE, Public Library of Science, volume 6, issue 8, pages 1-9, August, DOI: 10.1371/journal.pone.0022794.
• Wei-Xing Zhou & Guo-Hua Mu & Wei Chen & Didier Sornette, 2011, "Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts," PLOS ONE, Public Library of Science, volume 6, issue 9, pages 1-9, September, DOI: 10.1371/journal.pone.0024391.
• Marcus Ruge, 2011, "Stimmungen und Erwartungen im System der Märkte : eine Analyse mit DPLS-Modellen = Sentiments and expectations in the system of markets : an analysis with DPLS models," Potsdamer Schriften zu Statistik und Wirtschaft, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 01, Nov.
• Benjamin Kauper & Karl-Kuno Kunze, 2011, "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung," Statistische Diskussionsbeiträge, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 49, Apr.
• NUCU, Anca Elena, 2011, "Managementul riscului de creditare: realizari actuale, analiza critica, sugestii
  [Credit risk management: current achievements, critical analysis, suggestions]," MPRA Paper, University Library of Munich, Germany, number 27932, Jan.
• Iqbal, Javed, 2011, "Forecasting Performance of Alternative Error Correction Models," MPRA Paper, University Library of Munich, Germany, number 29826, Mar, revised 19 Mar 2011.
• Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan, 2011, "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," MPRA Paper, University Library of Munich, Germany, number 30132, Apr.
• Bessonovs, Andrejs, 2011, "GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy," MPRA Paper, University Library of Munich, Germany, number 30211, Apr.
• Lanne, Markku & Nyberg, Henri & Saarinen, Erkka, 2011, "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison," MPRA Paper, University Library of Munich, Germany, number 30254, Apr.
• Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011, "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper, University Library of Munich, Germany, number 30364, Apr.
• Korobilis, Dimitris, 2011, "Hierarchical shrinkage priors for dynamic regressions with many predictors," MPRA Paper, University Library of Munich, Germany, number 30380, Apr.
• Orth, Walter, 2011, "Multi-period credit default prediction with time-varying covariates," MPRA Paper, University Library of Munich, Germany, number 30507, Mar.
• Filippou, Miltiades & Zervopoulos, Panagiotis, 2011, "Developing a short-term comparative optimization forecasting model for operational units’ strategic planning," MPRA Paper, University Library of Munich, Germany, number 30766, Apr.
• Tsyplakov, Alexander, 2011, "Evaluating density forecasts: a comment," MPRA Paper, University Library of Munich, Germany, number 31184, May.
• Wintenberger, Olivier & Cai, Sixiang, 2011, "Parametric inference and forecasting in continuously invertible volatility models," MPRA Paper, University Library of Munich, Germany, number 31767, Jun.
• Tommaso, Proietti & Helmut, Luetkepohl, 2011, "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper, University Library of Munich, Germany, number 32294, Jul.
• Estrada, Fernando & Mutascu, Mihai & Tiwari, Aviral, 2011, "Estabilidad política y tributación
  [Taxation and political stability]," MPRA Paper, University Library of Munich, Germany, number 32414, Jul.
• Kwasnicki, Witold, 2011, "China, India and the future of the global economy," MPRA Paper, University Library of Munich, Germany, number 32558, Jul.
• D'Agostino, Antonello & McQuinn, Kieran & Whelan, Karl, 2011, "Are some forecasters really better than others?," MPRA Paper, University Library of Munich, Germany, number 32938.
• D'Agostino, Antonello & McQuinn, Kieran & O'Brien, Derry, 2011, "Nowcasting Irish GDP," MPRA Paper, University Library of Munich, Germany, number 32941.
• Albers, Scott & Albers, Andrew L., 2011, "The Golden Mean, the Arab Spring and a 10-step analysis of American economic history," MPRA Paper, University Library of Munich, Germany, number 33004, Jul.
• Amiri, Arshia & Ventelou, Bruno, 2011, "Forecasting the role of public expenditure in economic growth Using DEA-neural network approach," MPRA Paper, University Library of Munich, Germany, number 33955, Sep.
• Onour, Ibrahim & Sergi, Bruno, 2011, "Global food and energy markets: volatility transmission and impulse response effects," MPRA Paper, University Library of Munich, Germany, number 34079.
• Amiri, Arshia & Bakhshoodeh, Mohamad & Najafi, Bahaeddin, 2011, "Forecasting seasonality in prices of potatoes and onions: challenge between geostatistical models, neuro fuzzy approach and Winter method," MPRA Paper, University Library of Munich, Germany, number 34093, Oct.
• Tierney, Heather L.R., 2011, "Forecasting and tracking real-time data revisions in inflation persistence," MPRA Paper, University Library of Munich, Germany, number 34439, Nov.
• Skribans, Valerijs, 2011, "Development of System Dynamic Model of Latvia’s Economic Integration in the EU," MPRA Paper, University Library of Munich, Germany, number 34565.
• Shepherd, Ben, 2011, "When are adaptive expectations rational? A generalization," MPRA Paper, University Library of Munich, Germany, number 34644, Oct.
• Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011, "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper, University Library of Munich, Germany, number 35252, Oct.
• Malliaris, A.G. & Malliaris, Mary, 2011, "Are foreign currency markets interdependent? evidence from data mining technologies," MPRA Paper, University Library of Munich, Germany, number 35261, Nov.
• Guzman, Giselle C., 2011, "The case for higher frequency inflation expectations," MPRA Paper, University Library of Munich, Germany, number 36656, Jun.
• Francisco, Ramirez, 2011, "Modelos de Estimación de la Brecha de Producto: Aplicación al PIB de la República Dominicana
  [Models for Estimating the Output Gap: Application to the GDP of Dominican Republic]," MPRA Paper, University Library of Munich, Germany, number 38886.
• Skribans, Valerijs, 2011, "Разработка Модели Системной Динамики Для Энергетического Сектора В Латвии
  [Development of system dynamics model for the energy sector in Latvia]," MPRA Paper, University Library of Munich, Germany, number 39251.
• Kasai, Ndahiriwe & Naraidoo, Ruthira, 2011, "Evaluating the forecasting performance of linear and nonlinear monetary policy rules for South Africa," MPRA Paper, University Library of Munich, Germany, number 40699, Jun.
• Li, Kui-Wai, 2011, "A study on the volatility forecast of the US housing market in the 2008 crisis," MPRA Paper, University Library of Munich, Germany, number 41033.
• Liu, Xiaochun, 2011, "Modeling the time-varying skewness via decomposition for out-of-sample forecast," MPRA Paper, University Library of Munich, Germany, number 41248, Aug.
• Lúcio Godeiro, Lucas, 2011, "Previsão para as Exportações Brasileiras de 2011 utilizando modelos estruturais
  [Forecasts for the Brazilian Exports in 2011 using structural models]," MPRA Paper, University Library of Munich, Germany, number 45182, Dec.
• Fantazzini, Dean & Geraskin, Petr, 2011, "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask," MPRA Paper, University Library of Munich, Germany, number 47869, Feb.
• CHIKHI, Mohamed, 2011, "Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie
  [Analysis of informational shock and conditional heteroscedasticity in cash flows]," MPRA Paper, University Library of Munich, Germany, number 77269, Apr, revised Jun 2011.
• Kasai Ndahiriwe & Ruthira Naraidoo, 2011, "The Opportunistic approach to monetary policy and financial markets," Working Papers, University of Pretoria, Department of Economics, number 201103, Feb.
• Rangan Gupta & Mampho P. Modise, 2011, "Macroeconomic Variables and South African Stock Return Predictability," Working Papers, University of Pretoria, Department of Economics, number 201107, Mar.
• Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011, "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers, University of Pretoria, Department of Economics, number 201122, Oct.
• Riane de Bruyn & Rangan Gupta & Lardo stander, 2011, "Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 201134, Dec.
• Rangan Gupta & Yuxiang Ye & Christopher Sako, 2011, "Financial Variables and the Out-of-Sample Forecastability of the Growth Rate of Indian Industrial Production," Working Papers, University of Pretoria, Department of Economics, number 201135, Dec.
• Boril Šopov & Jakub Seidler, 2011, "Yield Curve Dynamics: Regional Common Factor Model," Prague Economic Papers, Prague University of Economics and Business, volume 2011, issue 2, pages 140-156, DOI: 10.18267/j.pep.393.
• David Havrlant & Roman Hušek, 2011, "Models of Factors Driving the Czech Export," Prague Economic Papers, Prague University of Economics and Business, volume 2011, issue 3, pages 195-215, DOI: 10.18267/j.pep.396.
• Jan Hošek & Luboš Komárek & Martin Motl, 2011, "Měnová politika a cena ropy
  [Monetary Policy and Price of Oil]," Politická ekonomie, Prague University of Economics and Business, volume 2011, issue 1, pages 22-46, DOI: 10.18267/j.polek.770.
• Jiří Trešl, 2011, "Srovnání vybraných metod predikce změn trendu indexu PX
  [Selected Methods of the Prediction of PX Index Trend Reversal]," Politická ekonomie, Prague University of Economics and Business, volume 2011, issue 2, pages 184-204, DOI: 10.18267/j.polek.780.
• Ulrich K. Müller & James H. Stock, 2011, "Forecasts in a Slightly Misspecified Finite Order VAR Model," Working Papers, Princeton University. Economics Department., number 2011-4, Jul.
• Justyna Wróblewska, 2011, "Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 3, issue 3, pages 169-186, September.
• Ying Chen & Bo Li, 2011, "Forecasting Yield Curves in an Adaptive Framework," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 3, issue 4, pages 237-259, December.
• Francesco Carlucci, 2011, "Un'analisi quantitativa delle politiche di rientro dal disavanzo pubblico in Italia," Moneta e Credito, Economia civile, volume 64, issue 254, pages 135-175.
• João Valle e Azevedo, 2011, "Rational vs. professional forecasts," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
• Sandra Gomes & P. Jacquinot, 2011, "Structural reforms and macroeconomic performance in the euro area countries: a model-based assessment," Working Papers, Banco de Portugal, Economics and Research Department, number w201113.
• João Valle e Azevedo & João Tovar Jalles, 2011, "Rational vs. Professional Forecasts," Working Papers, Banco de Portugal, Economics and Research Department, number w201114.
• Paulo M.M. Rodrigues & Nazarii Salish, 2011, "Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns," Working Papers, Banco de Portugal, Economics and Research Department, number w201128.
• Paulo Esteves, 2011, "Direct vs bottom-up approach when forecasting GDP: reconciling literature results with institutional practice," Working Papers, Banco de Portugal, Economics and Research Department, number w201129.
• Michael P. Clements & Ana Beatriz Galvão, 2011, "Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 678, Jun.
• Alexey Balaev, 2011, "Modeling multivariate parametric densities of financial returns (in Russian)," Quantile, Quantile, issue 9, pages 39-60, July.
• Alexei Kolokolov, 2011, "Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)," Quantile, Quantile, issue 9, pages 61-75, July.
• Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith, 2011, "Forecasting Equicorrelation," NCER Working Paper Series, National Centre for Econometric Research, number 72, Apr, revised 29 Aug 2011.
• Armas, Adrián & Vallejos , Lucy & Vega, Marco, 2011, "Indicadores tendenciales de inflación y su relevancia como variables indicativas de política monetaria," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 20, pages 27-56.
• Vladimir Zdorovenin & Jacques Pézier, 2011, "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-03, Jan.
• Seonghoon Cho & Koen Inghelbrecht & Geert Bekaert & Antonio Moreno & Lieven Baele, 2011, "Macroeconomic Regimes," 2011 Meeting Papers, Society for Economic Dynamics, number 817.
• Mihaela Bratu, 2011, "Uncertainty of USA GDP Forecasts Determined by The Variables Aggregation," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 42, pages 25-46, December.
• Xin Jin & John M. Maheu, 2011, "Modelling Realized Covariances and Returns," Working Paper series, Rimini Centre for Economic Analysis, number 08_11, Jan.
• Dimitris Korobilis, 2011, "Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors," Working Paper series, Rimini Centre for Economic Analysis, number 21_11, Apr.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011, "The Contribution of Structural Break Models to Forecasting Macroeconomic Series," Working Paper series, Rimini Centre for Economic Analysis, number 38_11, Jul.
• Anatoly Peresetsky & Misak Davtian, 2011, "Russian USE and olympiads as instruments for university admission selection," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 23, issue 3, pages 41-56.
• Oliver Grothe & Julius Schnieders, 2011, "Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2011-5, May.
• G.A. Karathanassis & V.I. Sogiakas, 2011, "The EMU Integration Structure and the Spillover Dynamics Towards the IAS Harmonization," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 26, pages 433-462.
• Kosrow Dehnad, 2011, "Behavioral Finance and Technical Analysis," Journal of Financial Transformation, Capco Institute, volume 32, pages 107-111.
• Peter O'Connor & Qing Yang, 2011, "QSBO as a forecasting tool," NZIER Working Paper, New Zealand Institute of Economic Research, number 2011/5, Oct.
• Matei, Marius, 2011, "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 116-141, June.
• Beum-Jo Park, 2011, "Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 37-58, September.
• Scutaru, Cornelia, 2011, "Possible Evolutions of Investment Rate – Error Correction Models Scenarios," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 141-162, December.
• Jagric, Timotej & Beko, Jani, 2011, "How Good are the Growth and Inflation Forecasts for Slovenia?," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 47-67, December.
• Gabriela IONESCU & Ion IONITA, 2011, "Contributions to the Development of a General Methodology for Innovation and Forecasting," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 14, issue 2, pages 324-331, December.
• Norman R. Swanson & Valentina Corradi & Andres Fernandez, 2011, "Information in the Revision Process of Real-Time Datasets," Departmental Working Papers, Rutgers University, Department of Economics, number 201107, May.
• Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011, "Predictive Inference for Integrated Volatility," Departmental Working Papers, Rutgers University, Department of Economics, number 201108, May.
• Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011, "Predictive Inference for Integrated Volatility," Departmental Working Papers, Rutgers University, Department of Economics, number 201109, May.
• Norman R. Swanson & Andres Fernandez, 2011, "Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting," Departmental Working Papers, Rutgers University, Department of Economics, number 201113, May.
• Wiktor Patena, 2011, "Company Valuation. How to Deal with a Range of Values?," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 3, pages 75-84, November.
• Harpaul Alberto Kohli & Phillip Basil, 2011, "Requirements for Infrastructure Investment in Latin America Under Alternate Growth Scenarios," Global Journal of Emerging Market Economies, Emerging Markets Forum, volume 3, issue 1, pages 59-110, January, DOI: 10.1177/097491011000300103.
• Chandan Sharma & N.R. Bhanumurthy, 2011, "Estimating Infrastructural Investment Needs for India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 5, issue 2, pages 221-243, May, DOI: 10.1177/097380101100500203.
• Carlo Altavilla & Matteo Ciccarelli, 2011, "Monetary Policy Analysis in Real-Time. Vintage combination from a real-time dataset," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 274, Feb.
• Boriss Siliverstovs, 2011, "The Real-Time Predictive Content of the KOF Economic Barometer," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 147, issue III, pages 353-375, September.
• Yu-chin Chen & Wen-Jen Tsay, 2011, "Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 11-A001, Mar, revised May 2011.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011, "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-02-2011, Apr.
• Massimiliano Caporin & Angelo Ranaldo, 2011, "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers, Swiss National Bank, number 2011-11.
• Walter Krämer & Michael Bücker, 2011, "Probleme des Qualitätsvergleichs von Kreditausfallprognosen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 5, issue 1, pages 39-58, March, DOI: 10.1007/s11943-011-0096-0.
• Hendrik Hansen & Peter Pflaumer, 2011, "Zur Prognose der Lebenserwartung in Deutschland: Ein Vergleich verschiedener Verfahren," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 5, issue 3, pages 203-219, December, DOI: 10.1007/s11943-011-0108-0.
• Javier Pérez & A. Sánchez, 2011, "Is there a signalling role for public wages? Evidence for the euro area based on macro data," Empirical Economics, Springer, volume 41, issue 2, pages 421-445, October, DOI: 10.1007/s00181-010-0380-9.
• Roxana Halbleib & Valeri Voev, 2011, "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-03, Jan.
• Rasmus Tangsgaard Varneskov & Pierre Perron, 2011, "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-26, Jun.
• Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-27, Aug.
• Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-28, Aug.
• Stefano Grassi & Tommaso Proietti, 2011, "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-30, Sep.
• Christian Bach, 2011, "Conservatism in Corporate Valuation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-32, Sep.
• Lars Stentoft, 2011, "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-34, Sep.
• Manuel Lukas, 2011, "Return Predictability, Model Uncertainty, and Robust Investment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-42, Nov.
• Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011, "Forecasting with Option Implied Information," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-46, Dec.
• Lars Stentoft, 2011, "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-52, Dec.
• Spencer D. Krane, 2011, "Professional Forecasters' View of Permanent and Transitory Shocks to GDP," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 1, pages 184-211, January.
• Devin G. Pope & Justin R. Sydnor, 2011, "Implementing Anti-discrimination Policies in Statistical Profiling Models," American Economic Journal: Economic Policy, American Economic Association, volume 3, issue 3, pages 206-231, August.
• Dean Croushore, 2011, "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, volume 49, issue 1, pages 72-100, March.
• John Mwamba, 2011, "Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach," The African Finance Journal, Africagrowth Institute, volume 13, issue 1, pages 14-27.
• Chaitip, Prasert & Balogh, Peter & Kovacs, Sandor & Chaiboonsri, Chukiat, 2011, "On Tests For Long-Term Dependence: India’S International Tourism Market," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, volume 5, issue 01-2, pages 1-6, DOI: 10.22004/ag.econ.104649.
• Iglesias, Ana & Quiroga, Sonia & Diz, Agustin & Garrote, Luis, 2011, "Adapting agriculture to climate change," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 11, issue 02, pages 1-14, December, DOI: 10.22004/ag.econ.120200.
• Ghermandi, Andrea & Nunes, Paulo A.L.D., 2011, "A Global Map of Costal Recreation Values: Results From a Spatially Explicit Based Meta-Analysis," Climate Change and Sustainable Development, Fondazione Eni Enrico Mattei (FEEM), number 108205, May, DOI: 10.22004/ag.econ.108205.
• Richter, Andries & Eikeset, Anne Maria & Stenseth, Nils Chr. & van Soest, Daan P., 2011, "Towards the Optimal Management of the Northeast Arctic Cod Fishery," Climate Change and Sustainable Development, Fondazione Eni Enrico Mattei (FEEM), number 108249, May, DOI: 10.22004/ag.econ.108249.
• Bastianin, Andrea & Manera, Matteo & Markandya, Anil & Scarpa, Elisa, 2011, "Oil Price Forecast Evaluation with Flexible Loss Functions," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 120042, Dec, DOI: 10.22004/ag.econ.120042.
• Clements, Michael P., , "Do Professional Forecasters Pay Attention to Data Releases?," Economic Research Papers, University of Warwick - Department of Economics, number 270768, DOI: 10.22004/ag.econ.270768.
• Constanta Iacob & Maria Criveanu & Oana Staiculescu, 2011, "Measuring The Impact Of Creative Management Control On The Smes And Free Enterprises (Professions) Performances," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 39, pages 76-83.
• Bauwens, L. & Hafner, C. & Pierret, D., 2011, "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011013, Jan.
• M. Y. L. Li & S. M. F. Yen, 2011, "Re-examining covariance risk dynamics in international stock markets using quantile regression analysis," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 61, issue 1, pages 33-59, March.
• H. Heidari, 2011, "Alternative bvar models for forecasting inflation," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 61, issue 1, pages 61-75, March.
• Tamás Nagy, 2011, "Simulation of carbon-dioxide emission by option model," Society and Economy, Akadémiai Kiadó, Hungary, volume 33, issue 1, pages 219-236, April.
• Mihaela Bratu, 2011, "The Assessement Of Uncertainty In Predictions Determined By The Variables Aggregation," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 13, pages 1-31.
• Anufriev, M. & Hommes, C.H., 2011, "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-06.
• Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2011, "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-12.
• Luca RICCETTI, 2011, "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 355, Jan.
• Rosangela Cavaleri & Eduardo Pontual Ribeiro, 2011, "Combinação de Previsões de Volatilidade: Um Estudo," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 12, issue 2, pages 239-261.
• Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011, "The US stock market leads the Federal funds rate and Treasury bond yields," Papers, arXiv.org, number 1102.2138, Feb.
• Wanfeng Yan & Ryan Woodard & Didier Sornette, 2011, "Role of Diversification Risk in Financial Bubbles," Papers, arXiv.org, number 1107.0838, Jul.
• Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011, "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Papers, arXiv.org, number 1107.3171, Jul, revised Jun 2013.
• Rob J Hyndman & Heather Booth & Farah Yasmeen, 2011, "Coherent Mortality Forecasting The Product-ratio Method with Functional Time Series Models," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201116, Feb.
• Van Vuuren, Gary, 2011, "Modelling systemic liquidity risk with feedback effects in the UK banking sector," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 5, issue 1, pages 36-59, December.
• Philipp Maier, 2011, "Mixed Frequency Forecasts for Chinese GDP," Staff Working Papers, Bank of Canada, number 11-11, DOI: 10.34989/swp-2011-11.
• Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011, "Forecasting the Price of Oil," Staff Working Papers, Bank of Canada, number 11-15, DOI: 10.34989/swp-2011-15.
• Christiane Baumeister & Lutz Kilian, 2011, "Real-Time Forecasts of the Real Price of Oil," Staff Working Papers, Bank of Canada, number 11-16, DOI: 10.34989/swp-2011-16.
• Laura D’Amato & Lorena Garegnani & Emilio Blanco, 2011, "Using the Flow of High Frequency Information for Short Term Forecasting of Economic Activity in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 64, pages 7-33, October -.
• Cecilia Frale & Libero Monteforte, 2011, "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 788, Jan.
• Sandra Gomes & Pascal Jacquinot & Matthias Mohr & Massimiliano Pisani, 2011, "Structural reforms and macroeconomic performance in the euro area countries: a model-based assessment," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 830, Oct.
• Leandro D�Aurizio & Stefano Iezzi, 2011, "Investment forecasting with business survey data," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 832, Nov.
• Mirko Đukić & Jelena Momčilović & Ljubica Trajčev, 2011, "Structure And Use Of The Medium-Term Projection Model In The National Bank Of Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 56, issue 188, pages 32-61, January –.
• Djurdjica Stojanović & Svetlana Nikoličić & Milica Miličić, 2011, "Transport Fleet Sizing By Using Make And Buy Decision-Making," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 56, issue 190, pages 77-102, July – Se.
• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2011, "Forecast Evaluation in Call Centers: Combined Forecasts, Flexible Loss Functions and Economic Criteria," UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano, number unimi-1109, Mar.
• Audrino, Francesco & Trojani, Fabio, 2011, "A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 1, pages 138-149.
• Harding, Don & Pagan, Adrian, 2011, "An Econometric Analysis of Some Models for Constructed Binary Time Series," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 1, pages 86-95.
• Hendry, David F. & Hubrich, Kirstin, 2011, "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 2, pages 216-227.
• Wegmann, Bertil & Villani, Mattias, 2011, "Bayesian Inference in Structural Second-Price Common Value Auctions," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 382-396.
• Sanvi Avouyi-Dovi & Julien Idier., 2011, "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Working papers, Banque de France, number 339.
• L. Ferrara., 2011, "Forecasting the business cycle. Summary of the 8th International Institute of Forecasters workshop hosted by the Banque de France on 1-2 December 2011 in Paris," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 24, pages 135-144, Winter.