Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2009

• Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009, "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, volume 16, issue 5, pages 777-792, December.
• Sanders, Dwight R. & Manfredo, Mark R. & Boris, Keith, 2009, "Evaluating information in multiple horizon forecasts: The DOE's energy price forecasts," Energy Economics, Elsevier, volume 31, issue 2, pages 189-196, DOI: 10.1016/j.eneco.2008.08.010.
• Chevillon, Guillaume & Rifflart, Christine, 2009, "Physical market determinants of the price of crude oil and the market premium," Energy Economics, Elsevier, volume 31, issue 4, pages 537-549, July.
• Bhaskara Rao, B. & Rao, Gyaneshwar, 2009, "Structural breaks and energy efficiency in Fiji," Energy Policy, Elsevier, volume 37, issue 10, pages 3959-3966, October.
• Albertazzi, Ugo & Gambacorta, Leonardo, 2009, "Bank profitability and the business cycle," Journal of Financial Stability, Elsevier, volume 5, issue 4, pages 393-409, December.
• Dahl, Christian M. & Hansen, Henrik & Smidt, John, 2009, "The cyclical component factor model," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 119-127.
• Athanasopoulos, George & Ahmed, Roman A. & Hyndman, Rob J., 2009, "Hierarchical forecasts for Australian domestic tourism," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 146-166.
• Ahoniemi, Katja & Lanne, Markku, 2009, "Joint modeling of call and put implied volatility," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 239-258.
• Carriero, A. & Kapetanios, G. & Marcellino, M., 2009, "Forecasting exchange rates with a large Bayesian VAR," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 400-417.
• Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009, "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, volume 25, issue 4, pages 642-675, October.
• Chen, Shiu-Sheng, 2009, "Predicting the bear stock market: Macroeconomic variables as leading indicators," Journal of Banking & Finance, Elsevier, volume 33, issue 2, pages 211-223, February.
• Croce, Roberto M. & Haurin, Donald R., 2009, "Predicting turning points in the housing market," Journal of Housing Economics, Elsevier, volume 18, issue 4, pages 281-293, December.
• Das, Sonali & Gupta, Rangan & Kabundi, Alain, 2009, "Could we have predicted the recent downturn in the South African housing market?," Journal of Housing Economics, Elsevier, volume 18, issue 4, pages 325-335, December.
• Li, Ming-Yuan Leon, 2009, "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 10, pages 3076-3088, DOI: 10.1016/j.matcom.2009.02.013.
• Fischer, Carolyn & Herrnstadt, Evan & Morgenstern, Richard, 2009, "Understanding errors in EIA projections of energy demand," Resource and Energy Economics, Elsevier, volume 31, issue 3, pages 198-209, August.
• Daniel Buncic, 2009, "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_18, 08.
• Don Harding & Adrian Pagan, 2009, "An econometric analysis of some models for constructed binary time series," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2009-08, Jan.
• Guo Li & Lee Sanning & Sherrill Shaffer, 2009, "Statistical opacity in the US banking sector," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2009-16, Jun.
• Ahmadi, Pooyan Amir & Ritschl, Albrecht, 2009, "Depression econometrics: a FAVAR model of monetary policy during the Great Depression," Economic History Working Papers, London School of Economics and Political Science, Department of Economic History, number 51582.
• Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2009, "How Accurate are Government Forecast of Economic Fundamentals?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-09, Jul.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-17, Aug.
• Groen, J.J.J. & Paap, R., 2009, "Real-time inflation forecasting in a changing world," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-19, Sep.
• McAleer, M.J. & Medeiros, M.C., 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-37, Nov.
• da Veiga, B. & Chan, F. & McAleer, M.J., 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-39, Nov.
• Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009, "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," 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-2004-107-F&A, Jan.
• Walid Ben Omrane & Christian M. Hafner, 2009, "Information Spillover, Volatility and the Currency Markets," International Econometric Review (IER), Economic Research Association, volume 1, issue 1, pages 50-62, April.
• Lake E. A. & Katrakilidis C., 2009, "The Effects of the Increasing Oil Price Returns and its Volatility on Four Emerged Stock Markets," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 149-161.
• P. Jenkins, Stephen & Cappellari, Lorenzo, 2009, "The dynamics of social assistance benefit receipt in Britain," ISER Working Paper Series, Institute for Social and Economic Research, number 2009-29, Sep.
• Bart Baesens, 2009, "Data Mining. New Trends, Applications and Challenges," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, volume 0, issue 1, pages 46-61.
• Janos Varga & Jan in 't Veld, 2009, "A model-based analysis of the impact of Cohesion Policy expenditure 2000-06: simulations with the QUEST III endogenous R&D model," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 387, Oct.
• Matthias Hartmann & Helmut Herwartz, 2009, "Did the introduction of the euro impact on inflation uncertainty? - An empirical assessment," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 396, Dec.
• Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009, "Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP," Economics Working Papers, European University Institute, number ECO2009/13.
• Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2009, "Survey Data as Coicident or Leading Indicators," Economics Working Papers, European University Institute, number ECO2009/19.
• Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009, "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers, European University Institute, number ECO2009/31.
• Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009, "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers, European University Institute, number ECO2009/32.
• António Caleiro, 2009, "Um teste a relacao entre os niveis de confianca e de desemprego em Portugal," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 09_2009.
• Lidia Diappi, 2009, "Models in Understanding and Planning the City," SCIENZE REGIONALI, FrancoAngeli Editore, volume 8, issue 3, pages 151-170.
• Milan Scasny & Vitezslav Pisa & Hector Pollit & Unnada Chewpreecha, 2009, "Analyzing Macroeconomic Effects of Environmental Taxation in the Czech Republic with the Econometric E3ME Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 59, issue 5, pages 460-491, December.
• Andrea Bastianin, 2009, "Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector," Working Papers, Fondazione Eni Enrico Mattei, number 2009.24, Apr.
• Baptista, Ricardo Fuscaldi de Figueiredo & Pereira, Pedro L. Valls, 2009, "Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 173, Jan.
• Pereira, Pedro L. Valls, 2009, "Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 181, Jan.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor, 2009, "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 688, Feb.
• Yuliya Demyanyk & Iftekhar Hasan, 2009, "Financial crises and bank failures: a review of prediction methods," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0904, DOI: 10.26509/frbc-wp-200904.
• Jian Wang & Jason J. Wu, 2009, "The Taylor rule and forecast intervals for exchange rates," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 963.
• Todd E. Clark & Michael W. McCracken, 2009, "In-sample tests of predictive ability: a new approach," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 09-10.
• Todd E. Clark & Michael W. McCracken, 2009, "Nested forecast model comparisons: a new approach to testing equal accuracy," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 09-11.
• Todd E. Clark & Michael W. McCracken, 2009, "Nested forecast model comparisons: a new approach to testing equal accuracy," Working Papers, Federal Reserve Bank of St. Louis, number 2009-050, DOI: 10.20955/wp.2009.050.
• Todd E. Clark & Michael W. McCracken, 2009, "In-sample tests of predictive ability: a new approach," Working Papers, Federal Reserve Bank of St. Louis, number 2009-051, DOI: 10.20955/wp.2009.051.
• Jan J. J. Groen & Paolo Pesenti, 2009, "Commodity prices, commodity currencies, and global economic developments," Staff Reports, Federal Reserve Bank of New York, number 387.
• Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009, "Real-time inflation forecasting in a changing world," Staff Reports, Federal Reserve Bank of New York, number 388, Aug.
• Andres Fernandez & Norman R. Swanson, 2009, "Real-time datasets really do make a difference: definitional change, data release, and forecasting," Working Papers, Federal Reserve Bank of Philadelphia, number 09-28.
• Fabrizio Cipollini & Giampiero M. Gallo, 2009, "Automated Variable Selection in Vector Multiplicative Error Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_02, Feb.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009, "Semiparametric vector MEM," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_03, Feb.
• Delphine Bassilière & Francis Bossier & Frédéric Verschueren, 2009, "Working Paper 11-09 - Hausse de la fiscalité sur l’énergie et baisse d’autres formes de prélèvement : résultats macroéconomiques," Working Papers, Federal Planning Bureau, Belgium, number 200911, Nov.
• Tara M. Sinclair & Fred Joutz & Herman O. Stekler, 2009, "Can the Fed Predict the State of the Economy?," Working Papers, The George Washington University, The Center for Economic Research, number 2009-001, Jun, revised Mar 2010.
• Tara Sinclair & H.O. Stekler & Elizabeth Reid & Edward N. Gamber, 2009, "Jointly Evaluating GDP and Inflation Forcasts in the Context of the Taylor Rule," Working Papers, The George Washington University, Institute for International Economic Policy, number 2008-05, Jun.
• Tara Sinclair & Frederick L. Joutz, 2009, "Can the Fed Predict the State of the Economy?," Working Papers, The George Washington University, Institute for International Economic Policy, number 2008-06, Jun.
• Dr. Ulrike Lehr & Dr. Marc Ingo Wolter & Anett Großmann, 2009, "Economic impacts of the RES Obligations in Austria – an Application of the Macro-Econometric Model e3.at," GWS Discussion Paper Series, GWS - Institute of Economic Structures Research, number 09-1.
• Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2009, "Forecasting electricity spot market prices with a k-factor GIGARCH process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00307606, Apr, DOI: 10.1016/j.apenergy.2008.07.005.
• Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009, "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00344839, Nov.
• Dominique Guegan & Patrick Rakotomarolahy, 2009, "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00423871, Dec.
• Dominique Guegan & Justin Leroux, 2009, "Forecasting chaotic systems: The role of local Lyapunov exponents," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00431726, Sep, DOI: 10.1016/j.chaos.2008.09.017.
• Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2009, "Forecasting electricity spot market prices with a k-factor GIGARCH process," Post-Print, HAL, number halshs-00307606, Apr, DOI: 10.1016/j.apenergy.2008.07.005.
• Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2009, "Forecasting electricity spot market prices with a k-factor GIGARCH process," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00307606, Apr, DOI: 10.1016/j.apenergy.2008.07.005.
• Heinen, Florian & Sibbertsen, Philipp & Kruse, Robinson, 2009, "Forecasting long memory time series under a break in persistence," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-433, Nov.
• Joerg Doepke & Ulrich Fritsche & Boriss Siliverstovs, 2009, "Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200905, Jul.
• Jonas Dovern & Ulrich Fritsche & Jiri Slacalek, 2009, "Disagreement among Forecasters in G7 Countries," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200906, Sep.
• Tsiaras, Leonidas, 2009, "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2009-02, Mar.
• Li, Feng & Villani, Mattias & Kohn, Robert, 2009, "Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 233, Oct.
• Giordani, Paolo & Villani, Mattias, 2009, "Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 234, Oct.
• Zagaglia, Paolo, 2009, "Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model," Research Papers in Economics, Stockholm University, Department of Economics, number 2009:7, Feb.
• Lönnbark, Carl, 2009, "Uncertainty of Multiple Period Risk Measures," Umeå Economic Studies, Umeå University, Department of Economics, number 768, Apr.
• Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2009, "Value at Risk for Large Portfolios," Umeå Economic Studies, Umeå University, Department of Economics, number 769, Apr.
• Lönnbark, Carl, 2009, "On risk prediction," Umeå Economic Studies, Umeå University, Department of Economics, number 770, May.
• Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009, "A High-Low Model of Daily Stock Price Ranges," Working Papers, Hong Kong Institute for Monetary Research, number 032009, Jan.
• Teresa Leal Linares & Javier J. Pérez, 2009, "Un sistema ARIMA con agregación temporal para la previsión y el seguimiento del déficit del Estado," Hacienda Pública Española / Review of Public Economics, IEF, volume 190, issue 3, pages 27-58, June.
• Isao Ishida & Toshiaki Watanabe, 2009, "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-032, Feb.
• Fulvio Corsi & Davide Pirino & Roberto Reno, 2009, "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-036, Mar.
• C. L. Chua & G. C. Lim & Sarantis Tsiaplias, 2009, "A Latent Variable Approach to Forecasting the Unemployment Rate," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2009n19, Jul.
• Costantini, Mauro & Pappalardo, Carmine, 2009, "A Hierarchical Procedure for the Combination of Forecasts ; This is a revised version of Working Paper 228, Economics Series, October 2008, which includes some changes. The most important change regards the reference of Kisinbay (2007), which was not," Economics Series, Institute for Advanced Studies, number 240, Jul.
• Costantini, Mauro & Kunst, Robert M., 2009, "Combining Forecasts Based on Multiple Encompassing Tests in a Macroeconomic Core System," Economics Series, Institute for Advanced Studies, number 243, Sep.
• Mehmet Emin YILDIZ & Abdullah YALAMA & Güven SEVİL, 2009, "Sermaye yapısı teorilerinin geçerliliğinin test edilmesi: Panel veri analizi kullanılarak İMKB-imalat sektörü üzerinde ampirik bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 278, pages 25-45.
• Khurshid M. Kiani, 2009, "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 8, issue 1, pages 37-54, April.
• Per Asberg Sommar & Hovick Shahnazarian, 2009, "Interdependencies between Expected Default Frequency and the Macro Economy," International Journal of Central Banking, International Journal of Central Banking, volume 5, issue 3, pages 83-110, September.
• Claudiu Tiberiu Albulescu, 2009, "Forecasting Romanian Financial System Stability using a Stochastic Simulation Model," Working Papers, International Network for Economic Research - INFER, number 2009.4.
• Youssef Boulaksil & Philip Hans Franses, 2009, "Experts' Stated Behavior," Interfaces, INFORMS, volume 39, issue 2, pages 168-171, April, DOI: 10.1287/inte.1080.0421.
• Klaus Schmidt-Hebbel., 2009, "Inflation Targeting Twenty Years on: Where, When, Why, With what Effects, What lies ahead?," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 360.
• Benavides, Guillermo, 2009, "Predictive Accuracy of Futures Options Implied Volatility: the Case of the Exchange Rate Futures Mexican Peso-Us Dollar," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 09, pages 55-95, segundo s.
• Giancarlo Bruno, 2009, "Non-linear relation between industrial production and business surveys data," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 119, Sep.
• Namýk Kemal ERDOGAN & Nevin UZGOREN, 2009, "Box-Jenkins ve Nonparametrik Regresyon Yöntemlerinin Etkinliklerinin Karsilastirilmasi: IMKB-100 Endeksine Yonelik Bir Uygulama," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 10, issue 1, pages 1-19, November.
• Ebru Caglayan & Tugba Dayioglu, 2009, "Doviz Kuru Getiri Volatilitesinin Kosullu Degisen Varyans Modelleri ile Ongorusu," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 9, issue 1, pages 1-16, May.
• Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag, 2009, "Forecasting The Exchange Rate Series With Ann: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 9, issue 1, pages 17-29, May.
• Esfahani, Hadi Salehi & Mohaddes, Kamiar & Pesaran, M. Hashem, 2009, "Oil Exports and the Iranian Economy," IZA Discussion Papers, IZA Network @ LISER, number 4537, Oct.
• Gael M. Martin & Andrew Reidy & Jill Wright, 2009, "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 1, pages 77-104, DOI: 10.1002/jae.1033.
• Ming-Yuan Leon Li, 2009, "Reexamining asymmetric effects of monetary and government spending policies on economic growth using quantile regression," Journal of Developing Areas, Tennessee State University, College of Business, volume 43, issue 1, pages 137-154, September.
• Ching-Chuan Tsong, 2009, "Assessing the Accuracy of Event Forecasts," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 5, issue 2, pages 219-240, July.
• Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009, "A high-low model of daily stock price ranges," Journal of Forecasting, John Wiley & Sons, Ltd., volume 28, issue 2, pages 103-119, DOI: 10.1002/for.1087.
• Mu-Chun Wang, 2009, "Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment," Journal of Forecasting, John Wiley & Sons, Ltd., volume 28, issue 2, pages 167-182, DOI: 10.1002/for.1081.
• Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2009, "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Journal of Forecasting, John Wiley & Sons, Ltd., volume 28, issue 3, pages 194-217, DOI: 10.1002/for.1118.
• Margherita Velucchi, 2009, "Regime switching: Italian financial markets over a century," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 18, issue 1, pages 67-86, March, DOI: 10.1007/s10260-007-0075-3.
• Khurshid Kiani, 2009, "Inflation in Transition Economies: An Empirical Analysis," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 16, issue 1, pages 34-46, May, DOI: 10.1007/s11300-009-0057-2.
• Gary Koop & Dimitris Korompilis, 2009, "UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?," Working Papers, University of Strathclyde Business School, Department of Economics, number 0917, Aug.
• Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard, 2009, "A State Space Approach to Extracting the Signal From Uncertain Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 173-180, March, DOI: 10.1198/jbes.2009.08171.
• Jeroen Rombouts & Marno Verbeek, 2009, "Evaluating portfolio Value-at-Risk using semi-parametric GARCH models," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 6, pages 737-745, DOI: 10.1080/14697680902785284.
• Adnan Kasman, 2009, "Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 9, issue 1, pages 1-14.
• Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009, "Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-061/4, Jul.
• Tim Willems, 2009, "Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-074/2, Aug, revised 26 Mar 2010.
• Jan G. de Gooijer & Cees G.H. Diks & Lukasz T. Gatarek, 2009, "Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-107/4, Nov.
• Isao Ishida & Toshiaki Watanabe, 2009, "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-608, Jan.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-636, Aug.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2009, "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-637, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-643, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-644, Aug.
• Jose Angelo Divino & Michael McAleer, 2009, "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-650, Aug.
• Jose Angelo Divino & Michael McAleer, 2009, "Modelling and Forecasting Daily International Mass Tourism to Peru," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-651, Aug.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-652, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-667, Sep.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009, "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-669, Sep.
• Bernardo da Veiga & Felix Chan & Michael McAleer, 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-683, Oct.
• Michael McAleer & Marcelo C. Medeiros, 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-686, Oct.
• Victor Aguirregabiria, 2009, "A Method for Implementing Counterfactual Experiments in Models with Multiple Equilibria," Working Papers, University of Toronto, Department of Economics, number tecipa-381, Oct.
• Xin Jin & John M Maheu, 2009, "Modelling Realized Covariances," Working Papers, University of Toronto, Department of Economics, number tecipa-382, Nov.
• Fabio Canova, 2009, "What Explains The Great Moderation in the U.S.? A Structural Analysis," Journal of the European Economic Association, MIT Press, volume 7, issue 4, pages 697-721, June.
• David Woods & Mary Farrugia & Mitchell Pirie, 2009, "The Australian Treasury’s fiscal aggregate projection model," Economic Roundup, The Treasury, Australian Government, issue 3, pages 37-46, September.
• Marmer, Vadim, 2009, "Nonlinearity, Nonstationarity, and Spurious Forecasts," Microeconomics.ca working papers, Vancouver School of Economics, number vadim_marmer-2009-60, Nov, revised 03 Nov 2009.
• Alfredo García-Hiernaux, 2009, "Forecasting linear dynamical systems using subspace methods," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-02.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-07.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-10.
• Jose Angelo Divino & Michael McAleer, 2009, "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-13.
• Jose Angelo Divino & Michael McAleer, 2009, "Modelling the Growth and Volatility in Daily International Mass Tourism to Peru," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-15.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-18.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-19.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-20.
• Aslanidis, Nektarios & Cipollini, Andrea, 2009, "Leading indicator properties of US high-yield credit spreads," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/15810.
• Francesco Audrino & Kameliya Filipova, 2009, "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-10, May.
• Francesco Audrino & Dominik Colangelo, 2009, "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-24, Aug.
• Ivan O. KITOV & Oleg I. KITOV & Svetlana A. DOLINSKAYA, 2009, "Modelling Real Gdp Per Capita In The Usa:Cointegration Tests," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 4, issue 1(7)_ Spr.
• Klaus Prettner & Robert M. Kunst, 2009, "The Dynamic Interrelations between Unequal Neighbors: An Austro-German Case Study," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0913, Aug.
• Antonello D'Agostino & Paolo Surico, 2009, "Does Global Liquidity Help to Forecast U.S. Inflation?," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 2‐3, pages 479-489, March, DOI: 10.1111/j.1538-4616.2009.00216.x.
• Monika Oleksiak, 2009, "Satisfaction Drivers in Retail Banking: Comparison of Partial Least Squares and Covariance Based Methods," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 34, Mar.
• Sebastian Orzel & Aleksander Weron, 2009, "Calibration of the subdiffusive Black–Scholes model," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/09/02.
• Lee, Jim & Crowley, Patrick M., 2009, "Evaluating the stresses from ECB monetary policy in the euro area," Bank of Finland Research Discussion Papers, Bank of Finland, number 11/2009.
• Demyanyk, Yuliya & Hasan, Iftekhar, 2009, "Financial crises and bank failures: a review of prediction methods," Bank of Finland Research Discussion Papers, Bank of Finland, number 35/2009.
• Knüppel, Malte, 2009, "Efficient estimation of forecast uncertainty based on recent forecast errors," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,28.
• Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009, "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,03.
• Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009, "MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,07.
• Eickmeier, Sandra & Ng, Tim, 2009, "Forecasting national activity using lots of international predictors: an application to New Zealand," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,11.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/18.
• Sucarrat, Genaro, 2009, "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-33, DOI: 10.5018/economics-ejournal.ja.2009-.
• Ghonghadze, Jaba & Lux, Thomas, 2009, "Modeling the dynamics of EU economic sentiment indicators: an interaction-based approach," Kiel Working Papers, Kiel Institute for the World Economy, number 1487.
• Schmidt, Torsten & Vosen, Simeon, 2009, "Forecasting Private Consumption: Survey-based Indicators vs. Google Trends," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 155.
• Amendola, Alessandra & Storti, Giuseppe, 2009, "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-007.
• Härdle, Wolfgang Karl & Myšičková, Alena, 2009, "Stochastic population forecast for Germany and its consequence for the German pension system," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-009.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-044.
• Ahmadi, Pooyan Amir & Ritschl, Albrecht, 2009, "Depression econometrics: A FAVAR model of monetary policy during the Great Depression," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-054.

2008

• Solveig Erlandsen & Ragnar Nymoen, 2008, "Consumption and population age structure," Journal of Population Economics, Springer;European Society for Population Economics, volume 21, issue 3, pages 505-520, July, DOI: 10.1007/s00148-006-0088-5.
• Wei Li, 2008, "Property tax and speculative bubble: An empirical analysis of Tianjin," Psychometrika, Springer;The Psychometric Society, volume 3, issue 4, pages 627-643, December, DOI: 10.1007/s11459-008-0031-7.
• Trino-Manuel Ñíguez, 2008, "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, volume 10, issue 3, pages 169-196, September, DOI: 10.1007/s10108-007-9030-6.
• Roger Hammersland, 2008, "Classical identification: A viable road for data to inform structural modeling," Discussion Papers, Statistics Norway, Research Department, number 562, Oct.
• Roger Hammersland & Dag Henning Jacobsen, 2008, "The Financial Accelerator: Evidence using a procedure of Structural Model Design," Discussion Papers, Statistics Norway, Research Department, number 569, Dec.
• Ali Choudhary & Adnan Haider, 2008, "Neural Network Models for Inflation Forecasting: An Appraisal," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0808, Nov.
• Young-Bae Kim, 2008, "Is There A Trade-off Between Regional Growth and National Income? Theory and Evidence from the EU," School of Economics Discussion Papers, School of Economics, University of Surrey, number 1008, Nov.
• Daniel Buncic, 2008, "A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)," Discussion Papers, School of Economics, The University of New South Wales, number 2008-02, Feb.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers, School of Economics, The University of New South Wales, number 2008-10, May.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers, School of Economics, The University of New South Wales, number 2008-23, Oct.
• Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008, "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, volume 40, issue 23, pages 3051-3067, DOI: 10.1080/00036840600994039.
• Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008, "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 46-78, DOI: 10.1080/07474930701853616.
• Stavros Degiannakis, 2008, "ARFIMAX and ARFIMAX-TARCH realized volatility modeling," Journal of Applied Statistics, Taylor & Francis Journals, volume 35, issue 10, pages 1169-1180, DOI: 10.1080/02664760802271017.
• Stavros Degiannakis & Evdokia Xekalaki, 2008, "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor & Francis Journals, volume 4, issue 6, pages 419-423, DOI: 10.1080/17446540701765258.
• Rod Tyers & Jane Golley & Bu Yongxiang & Iain Bain, 2008, "China's economic growth and its real exchange rate," China Economic Journal, Taylor & Francis Journals, volume 1, issue 2, pages 123-145, DOI: 10.1080/17538960802076455.
• Konstantin Arkadievich Kholodilin & Boriss Siliverstovs & Stefan Kooths, 2008, "A Dynamic Panel Data Approach to the Forecasting of the GDP of German Länder," Spatial Economic Analysis, Taylor & Francis Journals, volume 3, issue 2, pages 195-207, DOI: 10.1080/17421770801996656.
• V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008, "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-008/4, Jan.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-050/4, May.
• Lennart Hoogerheide & Herman K. van Dijk, 2008, "Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-092/4, Oct.
• Frank A.G. den Butter & Pieter W. Jansen, 2008, "Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-102/3, Oct.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-105/4, Nov.
• Alonso Gomez & John M Maheu & Alex Maynard, 2008, "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers, University of Toronto, Department of Economics, number tecipa-319, May.
• Zhongfang He & John M Maheu, 2008, "Real Time Detection of Structural Breaks in GARCH Models," Working Papers, University of Toronto, Department of Economics, number tecipa-336, Sep.
• Graham Elliott & Ivana Komunjer & Allan Timmermann, 2008, "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Journal of the European Economic Association, MIT Press, volume 6, issue 1, pages 122-157, March.
• Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008, "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, volume 6, issue 2-3, pages 621-633, 04-05.
• Karl Whelan & Antonello D'Agostino, 2008, "Federal Reserve information during the great moderation," Open Access publications, School of Economics, University College Dublin, number 10197/252, Apr.
• Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008, "Can Exchange Rates Forecast Commodity Prices?," Working Papers, University of Washington, Department of Economics, number UWEC-2008-11-FC, Feb, revised Oct 2009.