Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2012

• 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.
• Milton A. Iyoha & Patricia A. Adamu & Robert D. Korsu, 2012, "Towards Inflation Forecasting: Evidence From Nigeria Data," West African Financial and Economic Review (WAFER), WEST AFRICAN INSTITUTE FOR FINANCIAL AND ECONOMIC MANAGEMENT (WAIFEM), volume 9, issue 1, pages 57-90, June.
• 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.
• Mohamed El Hedi Arouri & Amine Lahiani & Aldo Levy & 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, Jan, 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.
• 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.
• 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.
• 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.