Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2011

• Hyndman, Rob J. & Ahmed, Roman A. & Athanasopoulos, George & Shang, Han Lin, 2011, "Optimal combination forecasts for hierarchical time series," Computational Statistics & Data Analysis, Elsevier, volume 55, issue 9, pages 2579-2589, September.
• Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011, "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 10, pages 1659-1670, October.
• Hassan, Rubina & Shahzad, Mirza Muhammad, 2011, "A macroeconometric framework for monetary policy evaluation: A case study of Pakistan," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 118-137, January.
• Akanbi, Olusegun A. & Du Toit, Charlotte B., 2011, "Macro-econometric modelling for the Nigerian economy: A growth-poverty gap analysis," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 335-350, January.
• Chevallier, Julien, 2011, "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 557-567, January.
• Varga, Janos & in 't Veld, Jan, 2011, "A model-based analysis of the impact of Cohesion Policy expenditure 2000-06: Simulations with the QUEST III endogenous R&D model," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 647-663, January.
• Hassan, Rubina & Shahzad, Mirza Muhammad, 2011, "A macroeconometric framework for monetary policy evaluation: A case study of Pakistan," Economic Modelling, Elsevier, volume 28, issue 1, pages 118-137, DOI: 10.1016/j.econmod.2010.09.018.
• Akanbi, Olusegun A. & Du Toit, Charlotte B., 2011, "Macro-econometric modelling for the Nigerian economy: A growth–poverty gap analysis," Economic Modelling, Elsevier, volume 28, issue 1, pages 335-350, DOI: 10.1016/j.econmod.2010.08.015.
• Chevallier, Julien, 2011, "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, volume 28, issue 1, pages 557-567, DOI: 10.1016/j.econmod.2010.06.016.
• Varga, Janos & in 't Veld, Jan, 2011, "A model-based analysis of the impact of Cohesion Policy expenditure 2000–06: Simulations with the QUEST III endogenous R&D model," Economic Modelling, Elsevier, volume 28, issue 1, pages 647-663, DOI: 10.1016/j.econmod.2010.06.004.
• Brüggemann, Ralf & Riedel, Jana, 2011, "Nonlinear interest rate reaction functions for the UK," Economic Modelling, Elsevier, volume 28, issue 3, pages 1174-1185, May.
• Yang, Hu & Wu, Xingcui, 2011, "Semiparametric EGARCH model with the case study of China stock market," Economic Modelling, Elsevier, volume 28, issue 3, pages 761-766, DOI: 10.1016/j.econmod.2010.10.015.
• Balcilar, Mehmet & Gupta, Rangan & Shah, Zahra B., 2011, "An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa," Economic Modelling, Elsevier, volume 28, issue 3, pages 891-899, May.
• Tierney, Heather L.R., 2011, "Real-time data revisions and the PCE measure of inflation," Economic Modelling, Elsevier, volume 28, issue 4, pages 1763-1773, July.
• Koop, Gary & Korobilis, Dimitris, 2011, "UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?," Economic Modelling, Elsevier, volume 28, issue 5, pages 2307-2318, September.
• Guo, Zhichao & Feng, Yuanhua & Tan, Xiangyong, 2011, "Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products," Economic Modelling, Elsevier, volume 28, issue 6, pages 2359-2368, DOI: 10.1016/j.econmod.2011.06.007.
• Bloor, Chris & Matheson, Troy, 2011, "Real-time conditional forecasts with Bayesian VARs: An application to New Zealand," The North American Journal of Economics and Finance, Elsevier, volume 22, issue 1, pages 26-42, January.
• Bjørnland, Hilde C. & Gerdrup, Karsten & Jore, Anne Sofie & Smith, Christie & Thorsrud, Leif Anders, 2011, "Weights and pools for a Norwegian density combination," The North American Journal of Economics and Finance, Elsevier, volume 22, issue 1, pages 61-76, January.
• Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011, "Real-time inflation forecast densities from ensemble Phillips curves," The North American Journal of Economics and Finance, Elsevier, volume 22, issue 1, pages 77-87, January.
• Buchen, Teresa & Wohlrabe, Klaus, 2011, "Forecasting with many predictors: Is boosting a viable alternative?," Economics Letters, Elsevier, volume 113, issue 1, pages 16-18, October.
• McKenzie, Jordi, 2011, "Mean absolute percentage error and bias in economic forecasting," Economics Letters, Elsevier, volume 113, issue 3, pages 259-262, DOI: 10.1016/j.econlet.2011.08.010.
• Patton, Andrew J., 2011, "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 246-256, January.
• Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011, "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, volume 163, issue 2, pages 215-230, August.
• Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011, "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 116-129, September.
• Geweke, John & Amisano, Gianni, 2011, "Optimal prediction pools," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 130-141, September.
• Rossi, Barbara & Sekhposyan, Tatevik, 2011, "Understanding models' forecasting performance," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 158-172, September.
• Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011, "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 173-187, September.
• Carriero, Andrea & Giacomini, Raffaella, 2011, "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 21-34, September.
• Kiani, Khurshid M., 2011, "Relationship between portfolio diversification and value at risk: Empirical evidence," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 443-459, DOI: 10.1016/j.ememar.2010.12.004.
• Stentoft, Lars, 2011, "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 880-902, DOI: 10.1016/j.jempfin.2011.09.004.
• Serinaldi, Francesco, 2011, "Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape," Energy Economics, Elsevier, volume 33, issue 6, pages 1216-1226, DOI: 10.1016/j.eneco.2011.05.001.
• Regnard, Nazim & Zakoïan, Jean-Michel, 2011, "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1240-1251, DOI: 10.1016/j.eneco.2011.02.004.
• Green, Kesten C. & Armstrong, J. Scott, 2011, "Role thinking: Standing in other people’s shoes to forecast decisions in conflicts," International Journal of Forecasting, Elsevier, volume 27, issue 1, pages 69-80, DOI: 10.1016/j.ijforecast.2010.05.001.
• Proietti, Tommaso, 2011, "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 266-280, DOI: 10.1016/j.ijforecast.2010.05.014.
• Bańbura, Marta & Rünstler, Gerhard, 2011, "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 333-346, DOI: 10.1016/j.ijforecast.2010.01.011.
• Eickmeier, Sandra & Ng, Tim, 2011, "Forecasting national activity using lots of international predictors: An application to New Zealand," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 496-511, DOI: 10.1016/j.ijforecast.2009.10.011.
• Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011, "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 529-542, DOI: 10.1016/j.ijforecast.2010.02.006.
• Athanasopoulos, George & Hyndman, Rob J. & Song, Haiyan & Wu, Doris C., 2011, "The tourism forecasting competition," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 822-844, DOI: 10.1016/j.ijforecast.2010.04.009.
• Athanasopoulos, George & Hyndman, Rob J., 2011, "The value of feedback in forecasting competitions," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 845-849, DOI: 10.1016/j.ijforecast.2011.03.002.
• Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011, "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 887-901, DOI: 10.1016/j.ijforecast.2010.02.014.
• Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2011, "How accurate are government forecasts of economic fundamentals? The case of Taiwan," International Journal of Forecasting, Elsevier, volume 27, issue 4, pages 1066-1075, October.
• Gupta, Rangan & Kabundi, Alain, 2011, "A large factor model for forecasting macroeconomic variables in South Africa," International Journal of Forecasting, Elsevier, volume 27, issue 4, pages 1076-1088, October.
• Green, Kesten C. & Armstrong, J. Scott, 2011, "Role thinking: Standing in other people's shoes to forecast decisions in conflicts," International Journal of Forecasting, Elsevier, volume 27, issue 1, pages 69-80, January.
• Proietti, Tommaso, 2011, "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 266-280, April.
• Banbura, Marta & Rünstler, Gerhard, 2011, "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 333-346, April.
• Eickmeier, Sandra & Ng, Tim, 2011, "Forecasting national activity using lots of international predictors: An application to New Zealand," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 496-511, April.
• Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011, "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 529-542, April.
• Athanasopoulos, George & Hyndman, Rob J. & Song, Haiyan & Wu, Doris C., 2011, "The tourism forecasting competition," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 822-844, July.
• Athanasopoulos, George & Hyndman, Rob J., 2011, "The value of feedback in forecasting competitions," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 845-849, July.
• Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011, "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 887-901, July.
• Berster, Peter & Gelhausen, Marc C. & Wilken, Dieter, 2011, "Business aviation in Germany: An empirical and model-based analysis," Journal of Air Transport Management, Elsevier, volume 17, issue 6, pages 354-359, DOI: 10.1016/j.jairtraman.2011.02.005.
• Bernoth, Kerstin & Pick, Andreas, 2011, "Forecasting the fragility of the banking and insurance sectors," Journal of Banking & Finance, Elsevier, volume 35, issue 4, pages 807-818, April.
• Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011, "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, volume 30, issue 4, pages 623-640, June.
• López-Suárez, Carlos Felipe & Rodríguez-López, José Antonio, 2011, "Nonlinear exchange rate predictability," Journal of International Money and Finance, Elsevier, volume 30, issue 5, pages 877-895, September.
• Mazumder, Sandeep, 2011, "Cost-based Phillips Curve forecasts of inflation," Journal of Macroeconomics, Elsevier, volume 33, issue 4, pages 553-567, DOI: 10.1016/j.jmacro.2011.04.004.
• Bouwman, Kees E. & Jacobs, Jan P.A.M., 2011, "Forecasting with real-time macroeconomic data: The ragged-edge problem and revisions," Journal of Macroeconomics, Elsevier, volume 33, issue 4, pages 784-792, DOI: 10.1016/j.jmacro.2011.04.002.
• Cancelo, José Ramón & Varela, Diego & Sánchez-Santos, José Manuel, 2011, "Interest rate setting at the ECB: Individual preferences and collective decision making," Journal of Policy Modeling, Elsevier, volume 33, issue 6, pages 804-820, DOI: 10.1016/j.jpolmod.2011.08.017.
• Yuan, Chunming, 2011, "Forecasting exchange rates: The multi-state Markov-switching model with smoothing," International Review of Economics & Finance, Elsevier, volume 20, issue 2, pages 342-362, April.
• Prasad S Bhattacharya & Dimitrios D Thomakos, 2011, "Improving Forecasting Performance by Window and Model Averaging," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-05, Mar.
• Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011, "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-16, Jun.
• Bovens, Luc & Rabinowicz, Wlodek, 2011, "Bets on hats: on Dutch books against groups, degrees of belief as betting rates, and group-reflection," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 49667, Oct.
• Roberta Serafini & J. Bruha & B. Pierluigi, 2011, "Euro area labour markets: different reaction to shocks?," EcoMod2011, EcoMod, number 2970, Jul.
• Emmanuel Carré, 2011, "The Banco Central do Brasil's institutional framework after ten years," Brazilian Journal of Political Economy, FGV EAESP, volume 31, issue 4, pages 594-617, October.
• Emmanuel Carré, 2011, "The Banco Central do Brasil's institutional framework after ten years," Brazilian Journal of Political Economy, FGV EAESP, volume 31, issue 4, pages 594-617, October.
• Rafael Ramírez & Madeleine Forssell, 2011, "Incertidumbre, turbulencias y escenarios," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 76, issue 01, pages 92-103.
• Rafael Ramírez & Madeleine Forssell, 2011, "Uncertainty, turbulence and scenarios," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 76, issue 01, pages 92-103.
• Eduardo Bericat Alastuey & José M. Echavarren Fernández, 2011, "Travesía hacia 2020: escenarios predictivos para Andalucía," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 76, issue 01, pages 242-267.
• WanChun Luo & Rui Liu, 2011, "Analysis of meat price volatility in China," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 3, issue 3, pages 402-411, September, DOI: 10.1108/17561371111165815.
• Harpaul Alberto Kohli & Phillip Basil, 2011, "Requirements for Infrastructure Investment in Latin America Under Alternate Growth Scenarios: 2011–2040," Global Journal of Emerging Market Economies, Emerging Markets Forum, volume 3, issue 1, pages 59-110, January.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011, "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-04, Jan.
• Asai, M. & McAleer, M.J. & Medeiros, M., 2011, "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-05, Jan.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-11, Feb.
• Caporin, M. & McAleer, M.J., 2011, "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-18, May.
• Franses, Ph.H.B.F. & Chang, C-L. & McAleer, M.J., 2011, "Analyzing Fixed-event Forecast Revisions," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-22, Jun.
• Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J., 2011, "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-17, Jun.
• Santos, P.A. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-27, Jul.
• Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-29, Jul.
• Legerstee, R. & Franses, Ph.H.B.F., 2011, "Do experts' SKU forecasts improve after feedback?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-31, Sep.
• Legerstee, R. & Franses, Ph.H.B.F. & Paap, R., 2011, "Do experts incorporate statistical model forecasts and should they?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-32, Sep.
• de Bruijn, L.P. & Franses, Ph.H.B.F., 2011, "Evaluating the Rationality of Managers' Sales Forecasts," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-36, Nov.
• Franses, Ph.H.B.F. & Legerstee, R. & Paap, R., 2011, "Estimating Loss Functions of Experts," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-42, Dec.
• Stelios Bekiros, 2011, "Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics," Economics Working Papers, European University Institute, number ECO2011/21.
• Jan Brùha, 2011, "An Empirical Small Labor Market Model for the Czech Economy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 5, pages 434-449, November.
• Martin Rezac & Frantisek Rezac, 2011, "How to Measure the Quality of Credit Scoring Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 5, pages 486-507, November.
• Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011, "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 6, pages 566-583, December.
• Robert Flasza & Milan Rippel & Jan Šolc, 2011, "Modelling Long-Term Electricity Contracts at EEX," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/08, Mar, revised Mar 2011.
• Milan Rippel & Ivo Jánský, 2011, "Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/27, Jul, revised Jul 2011.
• Andrea Ghermandi & Paulo A.L.D. Nunes, 2011, "A Global Map of Coastal Recreation Values: Results From a Spatially Explicit Based Meta-Analysis," Working Papers, Fondazione Eni Enrico Mattei, number 2011.39, May.
• Andries Richter & Paulo A.L.D. Nunes, 2011, "Towards the Optimal Management of the Northeast Arctic Cod Fishery," Working Papers, Fondazione Eni Enrico Mattei, number 2011.40, May.
• Andrea Bastianin & Matteo Manera & Anil Markandya & Elisa Scarpa, 2011, "Oil Price Forecast Evaluation with Flexible Loss Functions," Working Papers, Fondazione Eni Enrico Mattei, number 2011.91, Dec.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011, "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 713, Jan.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2011, "Bayesian VARs: specification choices and forecast accuracy," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1112.
• Timothy Bianco & Ryan Eiben & Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong & Jing Wang, 2011, "SAFE: An early warning system for systemic banking risk," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1129.
• Ippei Fujiwara & Yasuo Hirose, 2011, "Indeterminacy and forecastability," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 91.
• Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011, "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-19.
• Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011, "Forecasting the price of oil," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1022.
• Atsushi Inoue & Barbara Rossi, 2011, "Out-of-sample forecast tests robust to the choice of window size," Working Papers, Federal Reserve Bank of Philadelphia, number 11-31.
• Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011, "Can oil prices forecast exchange rates?," Working Papers, Federal Reserve Bank of Philadelphia, number 11-34.
• Michael Dotsey & Shigeru Fujita & Tom Stark, 2011, "Do Phillips curves conditionally help to forecast inflation?," Working Papers, Federal Reserve Bank of Philadelphia, number 11-40.
• Edward P. Herbst & Frank Schorfheide, 2011, "Evaluating DSGE model forecasts of comovements," Working Papers, Federal Reserve Bank of Philadelphia, number 11-5.
• Maciel, Leandro S., 2011, "Pricing Brazilian exchange rate options using an adaptive network-based fuzzy inference system," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 59-73, November.
• Paul Mizen & Serafeim Tsoukas, 2011, "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," Working Papers, Business School - Economics, University of Glasgow, number 2011_19, Aug.
• Rui Pascoal & Jorge Marques, 2011, "Fitting Broadband Diffusion by Cable Modem in Portugal," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2011-20, Nov.
• Jason West, 2011, "A Note on the Presence of Inconvenience Yields in Bulk Commodity Markets," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201102, Feb.
• Jason West, 2011, "Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201107, Jul.
• Tara M. Sinclair & H.O. Stekler, 2011, "Examining the Quality of Early GDP Component Estimates," Working Papers, The George Washington University, The Center for Economic Research, number 2011-001, Feb, revised Dec 2011.
• Yueqing Jia, 2011, "A New Look at China’s Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach," Working Papers, The George Washington University, The Center for Economic Research, number 2011-006, Dec.
• Tara M. Sinclair & H.O. Stekler, 2011, "Differences in Early GDP Component Estimates Between Recession and Expansion," Working Papers, The George Washington University, Institute for International Economic Policy, number 2011-05, Feb.
• Peter Fuleky & Carl S. Bonham, 2011, "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201110, Jun.
• Dominique Guegan & Justin Leroux, 2011, "Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00644500.
• M. Ali Choudhary, 2011, "Neural Network Models for Inflation Forecasting: An Appraisal," Post-Print, HAL, number hal-00704670, Jun, DOI: 10.1080/00036846.2011.566190.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011, "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print, HAL, number hal-00834423, Jun, DOI: 10.1016/j.jeconom.2011.04.001.
• Andrea Carriero & Raffaella Giacomini, 2011, "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Post-Print, HAL, number hal-00844809, Jul, DOI: 10.1016/j.jeconom.2011.02.010.
• Julien Chevallier, 2011, "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Post-Print, HAL, number hal-00991961, DOI: 10.1016/j.econmod.2010.06.016.
• Thierry Foucault & Ailsa Roell & Patrik Sandas, 2011, "Imperfect Market Monitoring and SOES Trading," Working Papers, HAL, number hal-00607040, Jul.
• Michael Funke & Hao Yu & Aaron Mehrota, 2011, "Tracking Chinese CPI inflation in real time," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 21112, Dec.
• Breitung, Jörg & Schmeling, Maik, 2011, "Quantifying survey expectations: What's wrong with the probability approach?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-485, Dec.
• John Sutherland Earle & Almos Telegdy, 2011, "Long-Term Industrial Labor Demand Forecast for Hungary," Budapest Working Papers on the Labour Market, Institute of Economics, Centre for Economic and Regional Studies, number 1110, Aug.
• John Sutherland Earle & Almos Telegdy, 2011, "Medium-Term Industrial Labor Demand Forecast for Hungary," Budapest Working Papers on the Labour Market, Institute of Economics, Centre for Economic and Regional Studies, number 1111, Aug.
• Månsson, Kristofer & Kibria, B. M. Golam & Sjölander, Pär & Shukur, Ghazi, 2011, "New Liu Estimators for the Poisson Regression Model: Method and Application," HUI Working Papers, HUI Research, number 51, Jun.
• Yanuar Nugroho & Ozcan Saritas, 2011, "Seeing the Invisible and Making Sense of It. Scanning, Networks and Scenario Analysis," Foresight and STI Governance, National Research University Higher School of Economics, volume 5, issue 3, pages 58-69.
• Matthew S. Yiu & Kenneth K. Chow, 2011, "Nowcasting Chinese GDP: Information Content of Economic and Financial Data," Working Papers, Hong Kong Institute for Monetary Research, number 042011, Feb.
• Tin Cheuk Leung & Kwok Ping Tsang, 2011, "Can Anchoring and Loss Aversion Explain the Predictability in the Housing Market?," Working Papers, Hong Kong Institute for Monetary Research, number 162011, May.
• Toshiaki Watanabe, 2011, "Quantile Forecasts of Financial Returns Using Realized GARCH Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-195, Jul.
• Daisuke Nagakura & Toshiaki Watanabe, 2011, "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-200, Aug.
• Chew Lian Chua & Sandy Suardi & Sarantis Tsiaplias, 2011, "Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2011n01, Jan.
• Rajesh Mohnot, 2011, "Forecasting Forex Volatility In Turbulent Times," Global Journal of Business Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 27-38.
• Iwan Hermawan, SP. MSi, 2011, "Analisis Dampak Kebijakan Makroekonomi Terhadap Perkembangan Industri Tekstil Dan Produk Tekstil Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 13, issue 4, pages 343-408, April, DOI: https://doi.org/10.21098/bemp.v13i4.
• Iwan Hermawan, SP. MSi, 2011, "Analisis Dampak Kebijakan Makroekonomi Terhadap Perkembangan Industri Tekstil Dan Produk Tekstil Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 13, issue 4, pages 373-408, April, DOI: https://doi.org/10.21098/bemp.v13i4.
• Iwan Hermawan, SP. MSi, 2011, "Analysis Of The Impact Of Macroeconomic Policies On Textile Industry And Its Products In Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 13, issue 4, pages 357-390, April, DOI: https://doi.org/10.21098/bemp.v13i4.
• Andrea Carriero, 2011, "Forecasting The Yield Curve Using Priors From No‐Arbitrage Affine Term Structure Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 2, pages 425-459, May.
• Nuno Boavida, 2011, "A selecção de indicadores no estudo prospectivo “Forecasting the carbon footprint to road freight transport in 2020” [Indicator selection in the foresight study “Forecasting the carbon footprint to road freight transport in 2020”]," IET Working Papers Series, Universidade Nova de Lisboa, IET/CICS.NOVA-Interdisciplinary Centre on Social Sciences, Faculty of Science and Technology, number 06/2011, Jun.
• Charles F. Manski, 2011, "Policy analysis with incredible certitude," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP04/11, Feb.
• Massimo Guidolin & Stuart Hyde, 2011, "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 414.
• 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 Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 416.
• Tómasson, Helgi, 2011, "Some Computational Aspects of Gaussian CARMA Modelling," Economics Series, Institute for Advanced Studies, number 274, Sep.
• Costantini, Mauro & Kunst, Robert M., 2011, "On the Usefulness of the Diebold-Mariano Test in the Selection of Prediction Models," Economics Series, Institute for Advanced Studies, number 276, Nov.
• Charles A. E. Goodhart & Charles Wen Bin Lim, 2011, "Interest Rate Forecasts: A Pathology," International Journal of Central Banking, International Journal of Central Banking, volume 7, issue 2, pages 135-171, June.
• Mr. Troy D Matheson, 2011, "New Indicators for Tracking Growth in Real Time," IMF Working Papers, International Monetary Fund, number 2011/043, Feb.
• Mr. Philip Liu & Rafael Romeu & Mr. Troy D Matheson, 2011, "Real-time Forecasts of Economic Activity for Latin American Economies," IMF Working Papers, International Monetary Fund, number 2011/098, Apr.
• Mr. Mehdi Raissi & Mr. Kamiar Mohaddes, 2011, "Oil Prices, External Income, and Growth: Lessons From Jordan," IMF Working Papers, International Monetary Fund, number 2011/291, Dec.
• Mihaela BRATU, 2011, "Modeling And Forecasting The Exchange Rate In Romania," Romanian Journal of Economics, Institute of National Economy, volume 33, issue 2(bis)(42, pages 56-72, December.
• Andrés Galvis, 2011, "Potencia Operativa de los Negocios en función de la estructura de inversiones y financiación: caso ecuatoriano," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, volume 2, issue 2, pages 55-65, Diciembre.
• Gómez-Ramos, Elsy L. & Venegas-Martínez, Francisco & Allier-Campuzano, Héctor, 2011, "Análisis comparativo entre modelos GARCH y redes neuronales en el pronóstico de los índices bursatiles IPC y Dow Jones," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 32, pages 3-22, cuarto tr.
• Zhou, Qun & Tesfatsion, Leigh & Liu, Chen-Ching, 2011, "Short-term congestion forecasting in wholesale power markets," ISU General Staff Papers, Iowa State University, Department of Economics, number 201101010800001091, Jan.
• Zhou, Qun & Tesfatsion, Leigh & Liu, Chen-Ching, 2011, "Short-term congestion forecasting in wholesale power markets," ISU General Staff Papers, Iowa State University, Department of Economics, number 201101170800001091, Jan.
• Osamu Nakamura, 2011, "Aggregate Demand, Aggregate Supply and Economic Growth of Vietnam: Theory and evidence on an econometric analysis," Working Papers, Research Institute, International University of Japan, number EMS_2011_08, Mar.
• Colombino, Ugo, 2011, "Five Issues in the Design of Income Support Mechanisms: The Case of Italy," IZA Discussion Papers, IZA Network @ LISER, number 6059, Oct.
• Halbleib Roxana & Voev Valeri, 2011, "Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 1, pages 134-152, February, DOI: 10.1515/jbnst-2011-0109.
• Hofer Helmut & Weyerstraß Klaus & Schmidt Torsten, 2011, "Practice and Prospects of Medium-term Economic Forecasting," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 1, pages 153-171, February, DOI: 10.1515/jbnst-2011-0110.
• Schumacher Christian, 2011, "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 1, pages 28-49, February, DOI: 10.1515/jbnst-2011-0104.
• Krüger Fabian & Pohlmeier Winfried & Mokinski Frieder, 2011, "Combining Survey Forecasts and Time Series Models: The Case of the Euribor," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 1, pages 63-81, February, DOI: 10.1515/jbnst-2011-0106.
• Carstensen Kai & Wohlrabe Klaus & Ziegler Christina, 2011, "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 1, pages 82-106, February, DOI: 10.1515/jbnst-2011-0107.
• Döhrn Roland & Schmidt Christoph M., 2011, "Information or Institution?: On the Determinants of Forecast Accuracy," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 1, pages 9-27, February, DOI: 10.1515/jbnst-2011-0103.

2010

• Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010, "Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 345-361, June.
• Zagaglia, Paolo, 2010, "Macroeconomic factors and oil futures prices: A data-rich model," Energy Economics, Elsevier, volume 32, issue 2, pages 409-417, March.
• Geweke, John & Amisano, Gianni, 2010, "Comparing and evaluating Bayesian predictive distributions of asset returns," International Journal of Forecasting, Elsevier, volume 26, issue 2, pages 216-230, April.
• Hoogerheide, Lennart & van Dijk, Herman K., 2010, "Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling," International Journal of Forecasting, Elsevier, volume 26, issue 2, pages 231-247, April.
• Giordani, Paolo & Villani, Mattias, 2010, "Forecasting macroeconomic time series with locally adaptive signal extraction," International Journal of Forecasting, Elsevier, volume 26, issue 2, pages 312-325, April.
• Schorfheide, Frank & Sill, Keith & Kryshko, Maxym, 2010, "DSGE model-based forecasting of non-modelled variables," International Journal of Forecasting, Elsevier, volume 26, issue 2, pages 348-373, April.
• Pedregal, Diego J. & Pérez, Javier J., 2010, "Should quarterly government finance statistics be used for fiscal surveillance in Europe?," International Journal of Forecasting, Elsevier, volume 26, issue 4, pages 794-807, October.
• Bauwens, Luc & Sucarrat, Genaro, 2010, "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, volume 26, issue 4, pages 885-907, October.
• Schanne, N. & Wapler, R. & Weyh, A., 2010, "Regional unemployment forecasts with spatial interdependencies," International Journal of Forecasting, Elsevier, volume 26, issue 4, pages 908-926, October.
• Albertazzi, Ugo & Gambacorta, Leonardo, 2010, "Bank profitability and taxation," Journal of Banking & Finance, Elsevier, volume 34, issue 11, pages 2801-2810, November.
• Pfajfar, Damjan & Santoro, Emiliano, 2010, "Heterogeneity, learning and information stickiness in inflation expectations," Journal of Economic Behavior & Organization, Elsevier, volume 75, issue 3, pages 426-444, September.
• Clements, Kenneth W. & Lan, Yihui, 2010, "A new approach to forecasting exchange rates," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1424-1437, November.
• Aslanidis, Nektarios & Cipollini, Andrea, 2010, "Leading indicator properties of US high-yield credit spreads," Journal of Macroeconomics, Elsevier, volume 32, issue 1, pages 145-156, March.
• Xanthopoulos, Apostolos, 2010, "Market Value Signal Extraction and the Misapplication of SFAS 133 in the U.S. GSE's," The Journal of Economic Asymmetries, Elsevier, volume 7, issue 2, pages 57-75, DOI: 10.1016/j.jeca.2010.02.004.
• Demyanyk, Yuliya & Hasan, Iftekhar, 2010, "Financial crises and bank failures: A review of prediction methods," Omega, Elsevier, volume 38, issue 5, pages 315-324, October.
• Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2010, "The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area," Journal of Policy Modeling, Elsevier, volume 32, issue 1, pages 98-119, January.
• Blair, Andrew R. & Mandelker, Gershon N. & Saaty, Thomas L. & Whitaker, Rozann, 2010, "Forecasting the resurgence of the U.S. economy in 2010: An expert judgment approach," Socio-Economic Planning Sciences, Elsevier, volume 44, issue 3, pages 114-121, September.
• Divino, Jose Angelo & McAleer, Michael, 2010, "Modelling and forecasting daily international mass tourism to Peru," Tourism Management, Elsevier, volume 31, issue 6, pages 846-854, DOI: 10.1016/j.tourman.2009.09.002.
• Agostini, Claudio A. & Brown, Philip H. & Roman, Andrei C., 2010, "Poverty and Inequality Among Ethnic Groups in Chile," World Development, Elsevier, volume 38, issue 7, pages 1036-1046, July.
• Boppana Nagarjuna & Varadi Vijay Kumar, 2010, "Heat waves or Meteor showers: Empirical evidence from the stock markets," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 53, issue 2, pages 57-74.
• Francesco Ravazzolo & Shaun P. Vahey, 2010, "Forecast Densities for Economic Aggregates from Disaggregate Ensembles," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-10, Apr.
• Don Harding, 2010, "Applying Shape and Phase Restrictions in Generalized Dynamic Categorical Models of the Business Cycle," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-25, Sep.
• Rod Tyers & Ying Zhang, 2010, "Appreciating the Renminbi," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-30, Oct.
• Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010, "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-34, Dec.
• Guillermo Benavides, 2010, "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 4, issue 2, pages 1-27.
• Ritschl, Albrecht & Salferaz, Samad, 2010, "Crisis?: What crisis?: currency vs. banking in the financial crisis of 1931," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 28726.
• Aron, Janine & Muellbauer, John, 2010, "Modelling and forecasting UK mortgage arrears and possessions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 58520, Aug.
• Bentancor, Andrea & Pincheira, Pablo, 2010, "Predicción de errores de proyección de inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 305, pages 129-154, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Capistrán, Carlos & López-Moctezuma, Gabriel, 2010, "Las expectativas macroeconómicas de los especialistas. Una evaluación de pronósticos de corto plazo en México," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 306, pages 275-312, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Chaovanapoonphol, Y. & Lim, C. & McAleer, M.J. & Wiboonpongse, A., 2010, "Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-18, Mar.
• Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R., 2010, "Evaluating Macroeconomic Forecast: A Review of Some Recent Developments," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-19, Mar.