Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2011

• 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.
• Temesgen T. Deressa, 2011, "Effects of climatic conditions and agro-ecological settings on the productive efficiencies of small-holder farmers in Ethopia," ERSA Working Paper Series, Economic Research Southern Africa, number 223, Jun.
• 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.
• Antonis A Michis, 2011, "Denoised least squars forecasting of GDP changes using indexes of consumer and business sentiment," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements, "Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010".
• Fernanda Cuitiño & Fiorella Tramontin & Leonardo Vicente, 2011, "Evaluación de indicadores de inflación subyacente para Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2011011, Dec.
• Jamie Hall & Jarkko P. Jääskelä, 2011, "Inflation Volatility and Forecast Accuracy," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, volume 44, issue 4, pages 404-417, December, DOI: j.1467-8462.2011.00656.x.
• Edda Claus, 2011, "Seven Leading Indexes of New Zealand Employment," The Economic Record, The Economic Society of Australia, volume 87, issue 276, pages 76-89, March.
• Alfredo García‐Hiernaux, 2011, "Forecasting linear dynamical systems using subspace methods," Journal of Time Series Analysis, Wiley Blackwell, volume 32, issue 5, pages 462-468, September.
• Rod Tyers & Ying Zhang, 2011, "Appreciating the Renminbi," The World Economy, Wiley Blackwell, volume 34, issue 2, pages 265-297, February.
• Kjetil Martinsen & Francesco Ravazzolo & Fredrik Wulfsberg, 2011, "Forecasting macroeconomic variables using disaggregate survey data," Working Paper, Norges Bank, number 2011/04, Apr.
• Andrea Monticini & Francesco Ravazzolo, 2011, "Forecasting the intraday market price of money," Working Paper, Norges Bank, number 2011/06, Jun.
• Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011, "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper, Norges Bank, number 2011/19, Dec.
• Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011, "Nowcasting GDP in Real-Time: A Density Combination Approach," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 1/2011, Sep.
• Francesco Ravazzolo & Philip Rothman, 2011, "Oil and US GDP: A Real-Time out-of Sample Examination," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 2/2011, Nov.
• Do-wan Kim, 2011, "Analysis on the Effect of Foreign Factors on the Korean Bond market and Prediction using Two-country Nelson-Siegel Model (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 17, issue 3, pages 89-130, September.
• Pierre Perron & Rasmus T. Varneskov, 2011, "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2011-050, Jan.
• Kock Anders Bredahl, 2011, "Forecasting with Universal Approximators and a Learning Algorithm," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 3, pages 1-32, October, DOI: 10.2202/1941-1928.1084.
• Paulo Sérgio Ceretta & Fernanda Galvão de Barba & Kelmara Mendes Vieira & Fernando Casarin, 2011, "Intraday volatility forecasting: analysis of alternative distributions," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 209-226.
• Pesaran, M.H. & Pick, A. & Timmermann, A., 2009, "Variable Selection and Inference for Multi-period Forecasting Problems," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0901, Jan.
• Pesaran, M.H. & Pick, A. & Pranovich, M., 2011, "Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1163, Oct.
• Mohaddes, K. & Raissi, M., 2011, "Oil Prices, External Income, and Growth: Lessons from Jordan," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1164, Dec.
• Liebermann, Joelle, 2011, "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers, Central Bank of Ireland, number 3/RT/11, Mar.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/05, Jan.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/12, Feb.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Evaluating Individual and Mean Non-Replicable Forecasts," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/16, Apr.
• 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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/22, May.
• Massimiliano Caporin & Michael McAleer, 2011, "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/23, May.
• Philip Hans Franses & Chia-Lin Chang & Michael McAleer, 2011, "Analyzing Fixed-event Forecast Revisions," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/25, Jun.
• Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/26, Jul.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/28, Jul.
• Pami Dua & Rajiv Ranjan, 2011, "Modelling and Forecasting the Indian Re/US Dollar Exchange Rate," Working papers, Centre for Development Economics, Delhi School of Economics, number 197, Feb.
• Carlo Altavilla & Matteo Ciccarelli, 2011, "Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset," CESifo Working Paper Series, CESifo, number 3372.
• Geoff Kenny & Thomas Kostka & Federico Masera, 2011, "How Informative are the Subjective Density Forecasts of Macroeconomists?," CESifo Working Paper Series, CESifo, number 3671.
• Christian Grimme & Steffen Henzel & Elisabeth Wieland, 2011, "Inflation uncertainty revisited: A proposal for robust measurement," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 111.
• Pablo Pincheira, 2011, "A Bunch of Models, a Bunch of Nulls and Inference About Predictive Ability," Working Papers Central Bank of Chile, Central Bank of Chile, number 607, Jan.
• Monique JEANBLANC & Didier SORNETTE, 2011, "Follow the money: The monetary roots of bubbles and crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-62, Nov.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011, "A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models," CIRANO Working Papers, CIRANO, number 2011s-13, Jan.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2011, "An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices," CIRANO Working Papers, CIRANO, number 2011s-22, Feb.
• Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2011, "Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility," CIRANO Working Papers, CIRANO, number 2011s-27, Feb.
• Zhihong Chen & Azhar Iqbal & Huiwen Lai, 2011, "Forecasting the probability of US recessions: a Probit and dynamic factor modelling approach," Canadian Journal of Economics, Canadian Economics Association, volume 44, issue 2, pages 651-672, May, DOI: 10.1111/j.1540-5982.2011.01648.x.
• Luis García-Álvarez & Richard Luger, 2011, "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers, CEMFI, number wp2011_1103, Apr, revised Sep 2011.
• Jakub Rysanek & Jaromir Tonner & Osvald Vasicek, 2011, "Monetary Policy Implications of Financial Frictions in the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2011/12, Dec.
• Fredy Alejandro Gamboa Estrada, 2011, "Determinants of the Exchange Rate in Colombia under Inflation Targeting," Borradores de Economia, Banco de la Republica, number 7870, Jan.
• Juan Manuel Julio Rom�n, 2011, "Modeling Data Revisions," Borradores de Economia, Banco de la Republica, number 7929, Feb.
• Juan Manuel Julio, 2011, "Data Revisions and the Output Gap," Borradores de Economia, Banco de la Republica, number 7956, Feb.
• Eliana Gonz�lez, 2011, "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia, Banco de la Republica, number 7996, Feb.
• Carlos Le�n Rinc�n & Alejandro Reveiz, 2011, "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia, Banco de la Republica, number 8277, Apr.
• Andr�s Felipe Garc�a-Suaza & Jose Eduardo G�mez-Gonz�lez & Andr�s Murcia pab�n & Feenando tenjo Galarza, 2011, "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," Borradores de Economia, Banco de la Republica, number 8305, Apr.
• H�ctor Z�rate & Katherine S�nchez & Margarita Mar�n, 2011, "Cuantificaci�n de Encuestas Ordinales y Pruebas de Racionalidad: Una aplicaci�n a la Encuesta Mensual de Expectativas Econ�micas," Borradores de Economia, Banco de la Republica, number 8327, Apr.
• Viviana Alejandra Alfonso & Luis Eduardo Arango Thomas & Fernando Arias & Jos� David Pulido, 2011, "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia, Banco de la Republica, number 8328, Apr.
• Rafael Puyana & Mario Andr�s Ramos & H�ctor Z�rate, 2011, "Determinantes del subempleo en Colombia: Un enfoque a trav�s de la compensaci�n salarial," Borradores de Economia, Banco de la Republica, number 8337, Apr.
• Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011, "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia, Banco de la Republica, number 8576, May.
• Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011, "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia, Banco de la Republica, number 8577, May.
• Javier G�mez Restrepo & Juan Manuel Hern�ndez Herrera, 2011, "Composici�n cambiaria y poder adquisitivo de las reservas internacionales," Borradores de Economia, Banco de la Republica, number 8578, May.
• Andr�s Gonz�lez & Lavan Mahadeva & Juan D. Prada & Diego Rodr�guez, 2011, "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," Borradores de Economia, Banco de la Republica, number 8698, May.
• Milena Hoyos & Mario Galindo, 2011, "Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 8347, Apr.
• Ivan Savin & Peter Winker, 2011, "Heuristic model selection for leading indicators in Russia and Germany," Working Papers, COMISEF, number 046, Jan.
• G.A.Meagher & Felicity Pang, 2011, "Labour Market Forecasting, Reliability and Workforce Development," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-225, Sep.
• BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen V. K., 2011, "A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011003, Jan.
• BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011, "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011011, Feb.
• KOROBILIS, Dimitris, 2011, "Hierarchical shrinkage priors for dynamic regressions with many predictors," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011021, May.
• KOROBILIS, Dimitris, 2011, "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011022, May.
• Coen Teulings & Nick Zubanov, 2011, "Is economic recovery a myth? Robust estimation of impulse responses," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 131, May.
• Timmermann, Allan & Patton, Andrew, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8194, Jan.
• Marcellino, Massimiliano, 2011, "Markov-switching MIDAS models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8234, Feb.
• Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2011, "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8273, Feb.
• Marcellino, Massimiliano & Eickmeier, Sandra & Lemke, Wolfgang, 2011, "Classical time-varying FAVAR models - Estimation, forecasting and structural analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8321, Apr.
• Kollmann, Robert & Zeugner, Stefan, 2011, "Leverage as a Predictor for Real Activity and Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8327, Apr.
• Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011, "Forecasting the Price of Oil," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8388, May.
• Kilian, Lutz & Baumeister, Christiane, 2011, "Real-Time Forecasts of the Real Price of Oil," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8414, Jun.
• Rossi, Barbara & Inoue, Atsushi, 2011, "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8542, Aug.
• Giacomini, Raffaella & Ragusa, Giuseppe, 2011, "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8604, Oct.
• Rogoff, Kenneth & Rossi, Barbara & Ferraro, Domenico, 2011, "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8635, Nov.
• Kilian, Lutz & Baumeister, Christiane, 2011, "Real-Time Analysis of Oil Price Risks Using Forecast Scenarios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8698, Dec.
• Cuevas Rumín, Ángel & Quilis, Enrique M. & Espasa, Antoni, 2011, "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws114130, Dec.
• Eklund, J. & Kapetanios, G. & Price, S., 2011, "Forecasting in the presence of recent structural change," Working Papers, Department of Economics, City St George's, University of London, number 11/05.
• Favero, Carlo A. & Gozluklu, Arie E. & Tamoni, Andrea, 2011, "Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 46, issue 5, pages 1493-1520, October.
• Ansgar Belke & Christian Gokus, 2011, "Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1107.
• Prasad S Bhattacharya & Dimitrios D Thomakos, 2011, "Improving forecasting performance by window and model averaging," Working Papers, Deakin University, Department of Economics, number 2011_1, Feb.
• Julien Chevallier & Benoît Sévi, 2011, "On the volatility-volume relationship in energy futures markets using intraday data," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-16.
• Rangan Gupta & Alain Kabundi, 2011, "Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 46, issue 1, pages 23-40.
• Mihaela BRATU, 2011, "The Uncertainty of USA GDP Forecasts Determined by the Variables Aggregation," EuroEconomica, Danubius University of Galati, issue 30, pages 109-122, November.
• Barbara Rossi & Atsushi Inoue, 2011, "Out-of-Sample Forecast Tests Robust to Window Size Choice," Working Papers, Duke University, Department of Economics, number 11-04.
• Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011, "Can Oil Prices Forecast Exchange Rates?," Working Papers, Duke University, Department of Economics, number 11-05.
• Barbara Rossi & Tatevik Sekhposyan, 2011, "Forecast Optimality Tests in the Presence of Instabilities," Working Papers, Duke University, Department of Economics, number 11-18.
• Barbara Rossi, 2011, "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics, number 11-20.
• Franziska Ohnsorge & Yevgeniya, 2011, "Forecasting growth in eastern Europe and central Asia," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 137, Dec.
• Roxana Halbleib & Valerie Voev, 2011, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011-002, Jan.
• Robert Kollmann & Stefan Zeugner, 2011, "Leverage as a Predictor for Real Activity and Volatility," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011-009, Apr.
• Matteo Luciani, 2011, "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011‐022, Jul.
• Charles F. Manski, 2011, "Policy Analysis with Incredible Certitude," Economic Journal, Royal Economic Society, volume 121, issue 554, pages 261-289, August.
• Peter R. Hansen & Asger Lunde & James M. Nason, 2011, "The Model Confidence Set," Econometrica, Econometric Society, volume 79, issue 2, pages 453-497, March.
• Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011, "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, volume 14, issue 1, pages 25-44, February.
• Koop, Gary & Onorante, Luca, 2011, "Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-19.
• Koop, Gary & Tole, Lise, 2011, "Forecasting the European Carbon Market," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-20.
• Bauwens, Luc & Korobilis, Dimitris & Koop, Gary & Rombouts, Jeroen V.K., 2011, "A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-25.
• Koop, Gary, 2011, "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-38.
• Koop, Gary & Korobilis, Dimitris, 2011, "UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-39.
• Koop, Gary & Korobilis, Dimitris, 2011, "Forecasting Inflation Using Dynamic Model Averaging," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-40.
• Mizen, Paul & Tsoukas, Serafeim, 2011, "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-69.