Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2007

• Konstantin A. Kholodilin & Boriss Siliverstovs & Stefan Kooths, 2007, "A Dynamic Panel Data Approach to the Forecasting of the GDP of German Länder," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 664.
• Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007, "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers, Duke University, Department of Economics, number 07-04.
• GOMEZ-SORZANO, Gustavo Alejandro, 2007, "A Structural Model For Net Rental Income In The U.S. Leasing Industry," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, volume 7, issue 1, pages 67-80.
• KIANI, Khurshid M., 2007, "Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 4, issue 1, pages 103-118.
• Chevillon, Guillaume & Rifflart, Christine, 2007, "Physical Market Determinants of the Price of Crude Oil and the Market Premium," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 07020, Jun.
• Mestre, Ricardo, 2007, "Are survey-based inflation expections in the euro area informative?," Working Paper Series, European Central Bank, number 721, Feb.
• Ciccarelli, Matteo & Altavilla, Carlo, 2007, "Inflation Forecasts, monetary policy and unemployment dynamics: evidence from the US and the euro area," Working Paper Series, European Central Bank, number 725, Feb.
• Rünstler, Gerhard & Bańbura, Marta, 2007, "A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series, European Central Bank, number 751, May.
• Amisano, Gianni & Geweke, John, 2007, "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series, European Central Bank, number 831, Nov.
• Leal, Teresa & Pérez, Javier J. & Tujula, Mika & Vidal, Jean-Pierre, 2007, "Fiscal forecasting: lessons from the literature and challenges," Working Paper Series, European Central Bank, number 843, Dec.
• Ciccarelli, Matteo & Altavilla, Carlo, 2007, "Information combination and forecast (st)ability evidence from vintages of time-series data," Working Paper Series, European Central Bank, number 846, Dec.
• Christian Schulz, 2007, "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers, Bank of Estonia, number 2007-09, Sep, revised 04 Sep 2007.
• Hyndman, Rob J. & Shahid Ullah, Md., 2007, "Robust forecasting of mortality and fertility rates: A functional data approach," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 10, pages 4942-4956, June.
• Lux, Thomas & Kaizoji, Taisei, 2007, "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 1808-1843, June.
• Moser, Gabriel & Rumler, Fabio & Scharler, Johann, 2007, "Forecasting Austrian inflation," Economic Modelling, Elsevier, volume 24, issue 3, pages 470-480, May.
• Martens, Martin & van Dijk, Dick, 2007, "Measuring volatility with the realized range," Journal of Econometrics, Elsevier, volume 138, issue 1, pages 181-207, May.
• Clark, Todd E. & West, Kenneth D., 2007, "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, volume 138, issue 1, pages 291-311, May.

2006

• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, New Economic School (NES), number w0071, Aug.
• Stanislav Anatolyev & Grigory Kosenok, 2006, "Tests in contingency tables as regression tests," Working Papers, New Economic School (NES), number w0075, Dec.
• Rod Tyers & Jane Golley & Bu Yongxiang & Ian Bain, 2006, "China's Economic Growth and its Real Exchange Rate," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2006-476, Nov.
• Christopher A. Sims & Tao Zha, 2006, "Were There Regime Switches in U.S. Monetary Policy?," American Economic Review, American Economic Association, volume 96, issue 1, pages 54-81, March.
• Olivier Roodenburg & Ard H.J. den Reijer, 2006, "Dutch GDP Data Revisions: Are They Predictable and Where Do They Come from?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 52, issue 4, pages 337-356.
• Scaramozzino, Pasquale, , "Measuring vulnerability to food insecurity," ESA Working Papers, Food and Agriculture Organization of the United Nations, Agricultural Development Economics Division (ESA), number 289055, DOI: 10.22004/ag.econ.289055.
• Conforti, Piero & Rapsomanikis, George, 2006, "Preferences Erosion and Trade Costs in the Sugar Market: The Impact of the Everything but Arms Initiative and the Reform of the EU Policy," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25641, DOI: 10.22004/ag.econ.25641.
• Sanders, Dwight R. & Manfredo, Mark R., 2006, "Forecasting Basis Levels in the Soybean Complex: A Comparison of Time Series Methods," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 38, issue 3, pages 1-11, December, DOI: 10.22004/ag.econ.43790.
• Eggerman, Chris R. & McMahon, Sarah A. & Richardson, James W. & Outlaw, Joe L., 2006, "Impact of Fuel Price Increases on Texas Crops," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida, Southern Agricultural Economics Association, number 35303, DOI: 10.22004/ag.econ.35303.
• Clements, Michael P., , "Internal consistency of survey respondentsíforecasts: Evidence based on the Survey of Professional Forecasters," Economic Research Papers, University of Warwick - Department of Economics, number 269742, DOI: 10.22004/ag.econ.269742.
• Clements, Michael P. & Galvao, Ana Beatriz, , "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation," Economic Research Papers, University of Warwick - Department of Economics, number 269743, DOI: 10.22004/ag.econ.269743.
• Clements, Michael P. & Harvey, David I., , "Forecast Encompassing Tests and Probability Forecasts," Economic Research Papers, University of Warwick - Department of Economics, number 269744, DOI: 10.22004/ag.econ.269744.
• Clements, Michael P. & Galvao, Ana Beatriz & Kim, Jae H., , "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," Economic Research Papers, University of Warwick - Department of Economics, number 269747, DOI: 10.22004/ag.econ.269747.
• Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., , "Uncertainty and disagreement in economic prediction: the Bank of England Survey of External Forecasters," Economic Research Papers, University of Warwick - Department of Economics, number 269751, DOI: 10.22004/ag.econ.269751.
• Riccardo LUCCHETTI & Giulio PALOMBA, 2006, "Forecasting US bond yields at weekly frequency," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 261, May.
• Giulio PALOMBA, 2006, "Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 267, Sep.
• Vamerson Schwingel Ribeiro & Joilson Dias, 2006, "Ìndice de Atividade Econômica: Construção e Testes de Previsão dos Modelos de Filtro de Kalman e Box-Jenkins," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 7, issue 3, pages 453-483.
• Anthony Garratt & Kevin Lee, 2006, "Investing Under Model Uncertainty: Decision Based Evaluation of Exchange Rate and Interest Rate Forecasts in the US, UK and Japan," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0616, Dec.
• Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006, "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0617, Dec.
• Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006, "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Staff Working Papers, Bank of Canada, number 06-14, DOI: 10.34989/swp-2006-14.
• Anna Piretti & Charles St-Arnaud, 2006, "Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies," Staff Working Papers, Bank of Canada, number 06-22, DOI: 10.34989/swp-2006-22.
• Greg Tkacz & Carolyn A. Wilkins, 2006, "Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices," Staff Working Papers, Bank of Canada, number 06-25, DOI: 10.34989/swp-2006-25.
• Yi Zheng & James Rossiter, 2006, "Using Monthly Indicators to Predict Quarterly GDP," Staff Working Papers, Bank of Canada, number 06-26, DOI: 10.34989/swp-2006-26.
• Jean-Marie Dufour & David Tessier, 2006, "Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices," Staff Working Papers, Bank of Canada, number 06-39, DOI: 10.34989/swp-2006-39.
• Ugo Albertazzi & Leonardo Gambacorta, 2006, "Bank profitability and the business cycle," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 601, Sep.
• Benavides Guillermo, 2006, "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models," Working Papers, Banco de México, number 2006-04, Apr.
• Timmermann Allan & Capistrán Carlos, 2006, "Disagreement and Biases in Inflation Expectations," Working Papers, Banco de México, number 2006-07, Jun.
• Timmermann Allan & Capistrán Carlos, 2006, "Forecast Combination with Entry and Exit of Experts," Working Papers, Banco de México, number 2006-08, Sep.
• Capistrán Carlos, 2006, "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," Working Papers, Banco de México, number 2006-14, Dec.
• Munir A. Jalil B. & Martha Misas A, 2006, "Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de perdida asimétricas," Borradores de Economia, Banco de la Republica de Colombia, number 376, Feb, DOI: 10.32468/be.376.
• Jorge E. Restrepo & Hernán Rincón, 2006, "Identifying Fiscal Policy Shocks In Chile And Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 397, Jun, DOI: 10.32468/be.397.
• Jean-Stéphane Mésonnier, 2006, "The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area," Working papers, Banque de France, number 157.
• Bardos, M. & Stili, D., 2006, "La contagion du risque via les impayés sur effets de commerce," Bulletin de la Banque de France, Banque de France, issue 148, pages 51-65.
• Bardos, M. & Stili, D., 2006, "Risk contagion through defaults on trade bills," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 06, pages 49-71, Winter.
• Bardos, M., 2006, "Banque de France scores: development, applications, and maintenance," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 05, pages 79-94, Autumn.
• Tilman Brück & Andreas Stephan, 2006, "Do Eurozone Countries Cheat with their Budget Deficit Forecasts?," Kyklos, Wiley Blackwell, volume 59, issue 1, pages 3-15, February, DOI: 10.1111/j.1467-6435.2006.00317.x.
• Raffaella Giacomini & Barbara Rossi, 2006, "How Stable is the Forecasting Performance of the Yield Curve for Output Growth?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 783-795, December, DOI: 10.1111/j.1468-0084.2006.00456.x.
• Q. Farooq Akram & Øyvind Eitrheim, 2006, "Flexible inflation targeting and financial stability: Is it enough to stabilise inflation and output?," Working Paper, Norges Bank, number 2006/07, Aug.
• Q. Farooq Akram & Gunnar Bårdsen & Kjersti-Gro Lindquist, 2006, "Pursuing financial stability under an inflation-targeting regime," Working Paper, Norges Bank, number 2006/08, Sep.
• Theodore M. Mitrakos & Nicholas G. Zonzilos, 2006, "The impact of exogenous shocks on the dynamics and persistence of inflation: a macroeconomic model-based approach for Greece," Economic Bulletin, Bank of Greece, issue 26, pages 37-57, January.
• Andreas S. Andreou & George A. Zombanakis, 2006, "Computational Intelligence in Exchange-Rate Forecasting," Working Papers, Bank of Greece, number 49, Nov.
• Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza, 2006, "Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 1, pages 55-77.
• Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006, "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, volume 72, issue 2, pages 177-194.
• Carole Chevallier & Arnaud Fougeyrollas & Pierre Le Mouël & Paul Zagamé, 2006, "A Time to Sow, A Time to Reap for the European countries: A Macro-Econometric Glance at the RTD National Action Plans," Revue de l'OFCE, Presses de Sciences-Po, volume 97, issue 5, pages 235-257.
• Neuhoff, K. & Ehrenmann, A. & Butler, L. & Cust, J. & Hoexter, H. & Keats, K. & Kreczko,A. & Sinden, G., 2006, "Space and Time: Wind in an Investment Planning Model," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0620, Feb.
• D'Agostino, Antonello & Giannone, Domenico, 2006, "Comparing Alternative Predictors Based on Large-Panel Factor Models," Research Technical Papers, Central Bank of Ireland, number 14/RT/06, Dec.
• McQuinn, Kieran & O'Reilly, Gerard, 2006, "Assessing the Role of Income and Interest Rates in Determining House Prices," Research Technical Papers, Central Bank of Ireland, number 15/RT/06, Dec.
• D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006, "(Un)Predictability and Macroeconomic Stability," Research Technical Papers, Central Bank of Ireland, number 5/RT/06, Jun.
• Carlo Altavilla & Paul De Grauwe, 2006, "Forecasting and Combining Competing Models of Exchange Rate Determination," CESifo Working Paper Series, CESifo, number 1747.
• Hans-Werner Sinn & Klaus Abberger, 2006, "Zur Prognosekraft des ifo Indikators," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 59, issue 04, pages 35-36, February.
• Klaus Abberger & Klaus Wohlrabe, 2006, "Einige Prognoseeigenschaften des ifo Geschäftsklimas - Ein Überblick über die neuere wissenschaftliche Literatur," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 59, issue 22, pages 19-26, November.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, Center for Economic and Financial Research (CEFIR), number w0071, Aug.
• Stanislav Anatolyev & Grigory Kosenok, 2006, "Tests in contingency tables as regression tests," Working Papers, Center for Economic and Financial Research (CEFIR), number w0075, Dec.
• Jorge E. Restrepo & Hernán Rincón, 2006, "Identifying Fiscal Policy Shocks in Chile and Colombia," Working Papers Central Bank of Chile, Central Bank of Chile, number 370, Aug.
• Ali Dib & Mohamed Gammoudi & Kevin Moran, 2006, "Forecasting Canadian Time Series With the New-Keynesian Model," Working Papers Central Bank of Chile, Central Bank of Chile, number 382, Dec.
• Marc S. Paoletta & Luca Taschini, 2006, "An Econometric Analysis of Emission Trading Allowances," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-26, Nov.
• Munir A. Jalil. B & Martha Misas, 2006, "Evaluaci�n de pron�sticos del tipo de cambio utilizando," Borradores de Economia, Banco de la Republica, number 2636, Feb.
• Jorge E. Restrepo & Hern�n Rinc�n, 2006, "Identifying Fiscal Policy Shocks In Chile And Colombia," Borradores de Economia, Banco de la Republica, number 2800, Jul.
• Andr�s Gonz�lez & Luis Fernando Melo & Carlos Esteban Posada, 2006, "Inflaci�n y dinero en Colombia: otro modelo P-estrella," Borradores de Economia, Banco de la Republica, number 2851, Nov.
• Constanza MARTINEZ VENTURA, 2006, "Pronósticos de producción agrícola," Archivos de Economía, Departamento Nacional de Planeación, number 3394, Apr.
• Julio César Alonso & Mauricio Alejandro Arcos, 2006, "Valor en Riesgo: Evaluación del desempeno de diferentes metodologías para 7 países latinoamericanos," Borradores de Economía y Finanzas, Universidad Icesi, number 3744, Sep.
• María Clara Aristizábal, 2006, "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Fabia A de Carvalho & Mauricio S. Bugarin, 2006, "Inflation Expectations in Latin America," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 101-145.
• BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006, "Intra-daily FX optimal portfolio allocation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006010, Feb.
• BAUWENS, Luc & SUCARRAT, Genaro, 2006, "General to specific modelling of exchange rate volatility: a forecast evaluation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006021, Mar.
• PREMINGER, Arie & HAFNER, Christian, 2006, "Deciding between GARCH and stochastic volatility via strong decision rules," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006042, May.
• CORONEO, Laura & VEREDAS, David, 2006, "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006077, Sep.
• Bert Smid, 2006, "Athena; a multi-sector model of the Dutch economy," CPB Document, CPB Netherlands Bureau for Economic Policy Analysis, number 105, Jan.
• Canova, Fabio & Gambetti, Luca, 2006, "Structural Changes in the US Economy: Bad Luck or Bad Policy?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5457, Jan.
• Canova, Fabio, 2006, "Monetary Policy and the Evolution of the US Economy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5467, Jan.
• Hendry, David & Hubrich, Kirstin, 2006, "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5485, Jan.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Prediction Markets in Theory and Practice," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5578, Mar.
• Reichlin, Lucrezia & Giannone, Domenico & De Mol, Christine, 2006, "Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5829, Sep.
• Schaling, Eric & Eijffinger, Sylvester & Tesfaselassie, Mewael F., 2006, "Learning About the Term Structure and Optimal Rules for Inflation Targeting," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5896, Oct.
• Marcellino, Massimiliano, 2006, "A Simple Benchmark for Forecasts of Growth and Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6012, Dec.
• Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006, "Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange," Working Papers, University of Crete, Department of Economics, number 0601, Jan.
• Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006, "Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis," Working Papers, University of Crete, Department of Economics, number 0602, Feb.
• Yiannis Kamarianakis & Anastasios Xepapadeas, 2006, "Control Bands for Tracking Constant Portfolio Allocations with Fixed and Proportional Transaction Costs," Working Papers, University of Crete, Department of Economics, number 0610, May.
• Greta Falavigna, 2006, "Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 200610, Dec.
• Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo, 2006, "Intra-Daily FX Optimal Portfolio Allocation," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006005, Feb.
• Luc, BAUWENS & Genaro, SUCARRAT, 2006, "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006013, Feb.
• Pin-Huang Chou & Guofu Zhou, 2006, "Using Bootstrap to Test Portfolio Efficiency," Annals of Economics and Finance, Society for AEF, volume 7, issue 2, pages 217-249, November.
• Sanders, Dwight R. & Manfredo, Mark R., 2006, "Forecasting Basis Levels in the Soybean Complex: A Comparison of Time Series Methods," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 38, issue 3, pages 513-523, December.
• Rossi, Barbara, 2006, "Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 1, pages 20-38, February.
• Röthig, Andreas & Chiarella, Carl, 2006, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 36774, Mar.
• Röthig, Andreas & Chiarella, Carl, 2009, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77372.
• Christian Dreger & Konstantin A. Kholodilin, 2006, "Prognosen der regionalen Konjunkturentwicklung," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 73, issue 34, pages 469-474.
• Bhattacharya, Prasad S. & Thomakos, Dimitrios D., 2006, "Forecasting industry-level CPI and PPI inflation: does exchange rate pass-through matter?," Working Papers, Deakin University, Department of Economics, number eco_2006_10, Jan, DOI: 10.1016/j.ijforecast.2007.06.002.
• Rossi, Barbara & Giacomini, Raffaella, 2006, "Detecting and Predicting Forecast Breakdowns," Working Papers, Duke University, Department of Economics, number 06-01.
• GÓMEZ-SORZANO Gustavo A, 2006, "A Structural Model For The Demand For Lease Renewals In The U.S. Leasing Industry," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 1.
• Anthony S. Tay, 2006, "Mixing Frequencies : Stock Returns as a Predictor of Real Output Growth," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22480, Jan.
• Libor Krkoska & Utku Teksoz, 2006, "Forecasting inflation for transition countries: How accurate are the EBRD forecasts?," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 98, Sep.
• Manganelli, Simone, 2006, "A new theory of forecasting," Working Paper Series, European Central Bank, number 584, Jan.
• Hendry, David F. & Hubrich, Kirstin, 2006, "Forecasting economic aggregates by disaggregates," Working Paper Series, European Central Bank, number 589, Feb.
• Giannone, Domenico & Reichlin, Lucrezia, 2006, "Trends and cycles in the euro area: how much heterogeneity and should we worry about it?," Working Paper Series, European Central Bank, number 595, Mar.
• Surico, Paolo & Giannone, Domenico & D'Agostino, Antonello, 2006, "(Un)Predictability and macroeconomic stability," Working Paper Series, European Central Bank, number 605, Apr.
• Diron, Marie, 2006, "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series, European Central Bank, number 622, May.
• Giannone, Domenico & Reichlin, Lucrezia & Small, David H., 2006, "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Working Paper Series, European Central Bank, number 633, May.
• Giacomini, Raffaella & Rossi, Barbara, 2006, "Detecting and predicting forecast breakdowns," Working Paper Series, European Central Bank, number 638, Jun.
• Bernadell, Carlos & Coche, Joachim & Nyholm, Ken, 2006, "A factor risk model with reference returns for the US dollar and Japanese yen bond markets," Working Paper Series, European Central Bank, number 641, Jun.
• D'Agostino, Antonello & Giannone, Domenico, 2006, "Comparing alternative predictors based on large-panel factor models," Working Paper Series, European Central Bank, number 680, Oct.
• Giannone, Domenico & Reichlin, Lucrezia & De Mol, Christine, 2006, "Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?," Working Paper Series, European Central Bank, number 700, Dec.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Prediction Markets in Theory and Practice," Research Papers, Stanford University, Graduate School of Business, number 1927, Feb.
• Raffaella Giacomini & Halbert White, 2006, "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, volume 74, issue 6, pages 1545-1578, November.
• Agostino Consolo, 2006, "Forecasting measures of inflation for the Estonian economy," Bank of Estonia Working Papers, Bank of Estonia, number 2006-03, Oct, revised 12 Nov 2006.
• Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2006, "Empirical assessment of sustainability and feasibility of government debt: The Philippines case," Journal of Asian Economics, Elsevier, volume 17, issue 1, pages 63-84, February.
• Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Qin, Duo & Quising, Pilipinas, 2006, "A small macroeconometric model of the Philippine economy," Economic Modelling, Elsevier, volume 23, issue 1, pages 45-55, January.
• Kapetanios, George & Labhard, Vincent & Price, Simon, 2006, "Forecasting using predictive likelihood model averaging," Economics Letters, Elsevier, volume 91, issue 3, pages 373-379, June.
• Inoue, Atsushi & Kilian, Lutz, 2006, "On the selection of forecasting models," Journal of Econometrics, Elsevier, volume 130, issue 2, pages 273-306, February.
• Engle, Robert F. & Gallo, Giampiero M., 2006, "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 3-27.
• Pelletier, Denis, 2006, "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 445-473.
• Bhardwaj, Geetesh & Swanson, Norman R., 2006, "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 539-578.
• Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006, "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, volume 132, issue 2, pages 337-362, June.
• Ard Reijer & Peter Vlaar, 2006, "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, volume 154, issue 1, pages 19-40, March, DOI: 10.1007/s10645-006-0002-2.
• Luke Brander & Raymond Florax & Jan Vermaat, 2006, "The Empirics of Wetland Valuation: A Comprehensive Summary and a Meta-Analysis of the Literature," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 33, issue 2, pages 223-250, February, DOI: 10.1007/s10640-005-3104-4.
• Alberto Bagnai, 2006, "Structural breaks and the twin deficits hypothesis," International Economics and Economic Policy, Springer, volume 3, issue 2, pages 137-155, November, DOI: 10.1007/s10368-006-0050-8.
• J. Elhorst & Jan Oosterhaven, 2006, "Forecasting the impact of transport improvements on commuting and residential choice," Journal of Geographical Systems, Springer, volume 8, issue 1, pages 39-59, March, DOI: 10.1007/s10109-005-0015-4.
• Rian Beise-Zee & Christian Rammer, 2006, "Local User-Producer Interaction in Innovation and Export Performance of Firms," Small Business Economics, Springer, volume 27, issue 2, pages 207-222, October, DOI: 10.1007/s11187-006-0013-z.
• Namwon Hyung & Philip Hans Franses, 2006, "Fi-break Model of US Inflation Rate: Long-memory, Level Shifts, or Both?," Korean Economic Review, Korean Economic Association, volume 22, pages 83-97.
• Wade D. Pfau, 2006, "Predicting the Medal Wins at the 2006 Winter Olympics: an Econometrics Approach," Korean Economic Review, Korean Economic Association, volume 22, pages 233-247.
• Costas Milas & Ilias Lekkos & Theodore Panagiotidis, 2006, "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2006/05, Apr.
• Christian Mueller, 2006, "Testing Temporal Disaggregation," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 06-134, Apr, DOI: 10.3929/ethz-a-005187504.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2006, "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Discussion Paper Series, Department of Economics, Loughborough University, number 2006_6, Mar, revised Mar 2006.
• María Clara Aristizábal Restrepo, 2006, "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 65, pages 73-116, Julio-Dic.
• Syed Adnan Haider Ali Shah Bukhari & Muhammad Shahbaz Akmal & Mohammad Sabihuddin Butt, 2006, "Impact of Exchange Market Forces on Pak-Rupee Exchange Rates during Globalization Period: An Empirical Analysis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 11, issue 1, pages 121-139, Jan-Jun.
• Chris Heaton & Victor Solo, 2006, "Estimation of Approximate Factor Models: Is it Important to have a Large Number of Variables?," Research Papers, Macquarie University, Department of Economics, number 0605, Sep.
• Gilles Dufrénot & Roselyne Joyeux & Anne Péguin-Feissolle, 2006, "Which Predictor is the Best to Predict Inflation in Europe: the Real Money-gap or a Nominal Money Based Indicator?," Research Papers, Macquarie University, Department of Economics, number 0606, Oct.
• Badi H. Baltagi & Dong Li, 2006, "Prediction in the Panel Data Model with Spatial Correlation: The Case of Liquor," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 84, Jul.
• Clark, Todd E. & McCracken, Michael W., 2006, "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, volume 38, issue 5, pages 1127-1148, August, DOI: 10.1353/mcb.2006.0068.
• John G. Galbraith & Greg Tkacz, 2006, "How Far Can We Forecast? Forecast Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers, McGill University, Department of Economics, number 2006-13, Sep.
• Don Harding & Adrian Pagan, 2006, "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series, The University of Melbourne, number 963.
• Szilárd Benk & Zoltán M. Jakab & Mihály András Kovács & Balázs Párkányi & Zoltán Reppa & Gábor Vadas, 2006, "The Hungarian Quarterly Projection Model (NEM)," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2006/60.
• Gael M. Martin & Andrew Reidy & Jill Wright, 2006, "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/06.
• Heather Booth & Rob J Hyndman & Leonie Tickle & Piet de Jong, 2006, "Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/06, May.
• Rob J Hyndman & Heather Booth, 2006, "Stochastic population forecasts using functional data models for mortality, fertility and migration," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/06, May.
• S. D. Grose & D. S. Poskitt, 2006, "The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/06, Jun.
• George Athanasopoulos & Rob J. Hyndman, 2006, "Modelling and forecasting Australian domestic tourism," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/06, Oct.
• Rob J Hyndman & Muhammad Akram, 2006, "Some Nonlinear Exponential Smoothing Models are Unstable," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/06, Jan.
• Philippe Jeanfils & Philippe Delhez & Luc Van Meensel & Koen Burggraeve & Kristel Buysse & Philip Du Caju & Yves Saks & Kris Van Cauter, 2006, "Réduction linéaire de cotisations patronales à la sécurité sociale et financement alternatif," Working Paper Document, National Bank of Belgium, number 81, Mar.
• Kenneth D. West & Todd Clark, 2006, "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0326, Aug.
• Jean Boivin & Marc Giannoni, 2006, "DSGE Models in a Data-Rich Environment," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0332, Dec.
• Justin Wolfers & Eric Zitzewitz, 2006, "Prediction Markets in Theory and Practice," NBER Working Papers, National Bureau of Economic Research, Inc, number 12083, Mar.
• Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12109, Mar.
• James H. Stock & Mark W. Watson, 2006, "Why Has U.S. Inflation Become Harder to Forecast?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12324, Jun.
• Jean Boivin & Marc Giannoni, 2006, "DSGE Models in a Data-Rich Environment," NBER Working Papers, National Bureau of Economic Research, Inc, number 12772, Dec.
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• Clive Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W12, Oct.
• Troy Matheson, 2006, "Phillips curve forecasting in a small open economy," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2006/01, Feb.
• Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006, "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2006/02, Feb.
• Pierre-Olivier Beffy & Patrice Ollivaud & Pete Richardson & Franck Sédillot, 2006, "New OECD Methods for Supply-side and Medium-term Assessments: A Capital Services Approach," OECD Economics Department Working Papers, OECD Publishing, number 482, Jul, DOI: 10.1787/628752675863.
• Annabelle Mourougane, 2006, "Forecasting Monthly GDP for Canada," OECD Economics Department Working Papers, OECD Publishing, number 515, Sep, DOI: 10.1787/421416670553.
• Pelinescu Elena, 2006, "Modelarea inflaţiei în România," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 01, March.
• Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006, "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 06-09, Mar.
• Andy C.C. Kwan & John A. Cotsomitis, 2006, "The Usefulness of Consumer Confidence in Forecasting Household Spending in Canada: A National and Regional Analysis," Economic Inquiry, Western Economic Association International, volume 44, issue 1, pages 185-197, January.
• Markku Lanne, 2006, "A Mixture Multiplicative Error Model for Realized Volatility," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 4, pages 594-616.
• M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006, "Forecasting Time Series Subject to Multiple Structural Breaks," The Review of Economic Studies, Review of Economic Studies Ltd, volume 73, issue 4, pages 1057-1084.
• Clive Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," Economics Series Working Papers, University of Oxford, Department of Economics, number 2006-FE-11, Oct.
• Guillaume Chevillon, 2006, "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers, University of Oxford, Department of Economics, number 257, Feb.
• F. Laurini & J. A. Tawn, 2006, "The extremal index for GARCH(1,1) processes with t-distributed innovations," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2006-SE01.
• L. Grossi & G. Morelli, 2006, "Robust volatility forecasts and model selection in financial time series," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2006-SE02.
• Michael P. Keane & Kenneth I. Wolpin, 2006, "Exploring the Usefulness of a Non-Random Holdout Sample for Model Validation: Welfare Effects on Female Behavior," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-006, May.
• Khurshid M. Kiani, 2006, "Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 45, issue 3, pages 369-381.
• Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006, "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp152006, Jul.
• Gomez-Sorzano, Gustavo, 2006, "A structural model for corporate profit in the U.S. industry," MPRA Paper, University Library of Munich, Germany, number 1144, May, revised 11 Dec 2006.
• Feng, Dai & Yuan-Zheng, Zhong, 2006, "The Stochastic Advance-Retreat Course: An Approach to Analyse Social-Economic Evolution," MPRA Paper, University Library of Munich, Germany, number 117, Oct.
• Horvath, Roman & Komarek, Lubos, 2006, "Equilibrium Exchange Rates in EU New Members: Applicable for Setting the ERM II Central Parity?," MPRA Paper, University Library of Munich, Germany, number 1180, Oct.