Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2006

• Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J., 2006, "From default probabilities to credit spreads: Credit risk models do explain market prices," Finance Research Letters, Elsevier, volume 3, issue 2, pages 79-95, June.
• Hyndman, Rob J. & Koehler, Anne B., 2006, "Another look at measures of forecast accuracy," International Journal of Forecasting, Elsevier, volume 22, issue 4, pages 679-688.
• Lucas, Andre & Klaassen, Pieter, 2006, "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking & Finance, Elsevier, volume 30, issue 1, pages 23-35, January.
• Los, Cornelis A., 2006, "System identification in noisy data environments: An application to six Asian stock markets," Journal of Banking & Finance, Elsevier, volume 30, issue 7, pages 1997-2024, July.
• Corielli, Francesco & Marcellino, Massimiliano, 2006, "Factor based index tracking," Journal of Banking & Finance, Elsevier, volume 30, issue 8, pages 2215-2233, August.
• Lee, Junsoo & List, John A. & Strazicich, Mark C., 2006, "Non-renewable resource prices: Deterministic or stochastic trends?," Journal of Environmental Economics and Management, Elsevier, volume 51, issue 3, pages 354-370, May.
• Borus Jungbacker & Siem Jan Koopman, 2006, "Model-Based Measurement of Actual Volatility in High-Frequency Data," Advances in Econometrics, Emerald Group Publishing Limited, "Econometric Analysis of Financial and Economic Time Series", DOI: 10.1016/S0731-9053(05)20007-5.
• Kajal Lahiri & Fushang Liu, 2006, "ARCH Models for Multi-period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts," Advances in Econometrics, Emerald Group Publishing Limited, "Econometric Analysis of Financial and Economic Time Series", DOI: 10.1016/S0731-9053(05)20012-9.
• Robin C. Sickles & Jenny Williams, 2006, "An Intertemporal Model of Rational Criminal Choice," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Panel Data Econometrics Theoretical Contributions and Empirical Applications", DOI: 10.1016/S0573-8555(06)74006-8.
• Heij, C. & van Dijk, D.J.C. & Groenen, P.J.F., 2006, "Improved Construction of diffusion indexes for macroeconomic forecasting," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-03-REV, Feb.
• Martens, M.P.E. & van Dijk, D.J.C., 2006, "Measuring volatility with the realized range," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-10, Feb.
• Franses, Ph.H.B.F., 2006, "Formalizing judgemental adjustment of model-based forecasts," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-19, Apr.
• van Bruggen, G.H. & Spann, M. & Lilien, G.L. & Skiera, B., 2006, "Institutional Forecasting: The Performance of Thin Virtual Stock Markets," 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-2006-028-MKT, Jun.
• Karsten Neuhoff & Andreas Ehrenmann & Lucy Butler & Jim Cust & Harriet Hoexter, 2006, "Space and Time: Wind in an Investment Planning Model," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 0603, Feb.
• Karsten Neuhoff & Federico Ferrario & Michael Grubb & Etienne Gabel & Kim Keats, 2006, "Emission projections 2008-2012 versus NAPs II," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 0631, Nov.
• Dr. Ioannis N. Kallianiotis & Dr. Dean Frear, 2006, "Assets Return and Risk and Exchange Rate Trends: An Ex Post Analysis," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 15-34.
• Victor Bystrov, 2006, "Forecasting Emerging Market Indicators: Brazil and Russia," Economics Working Papers, European University Institute, number ECO2006/12.
• Markku Lanne, 2006, "Forecasting Realized Volatility by Decomposition," Economics Working Papers, European University Institute, number ECO2006/20.
• Markku Lanne, 2006, "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers, European University Institute, number ECO2006/3.
• Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino, 2006, "Forecasting Euro-Area Variables with German Pre-EMU Data," Economics Working Papers, European University Institute, number ECO2006/30.
• Pasquale Scaramozzino, 2006, "Measuring Vulnerability to Food Insecurity," Working Papers, Agricultural and Development Economics Division of the Food and Agriculture Organization of the United Nations (FAO - ESA), number 06-12.
• Petr Kadeřábek, 2006, "Correcting Predictive ModelCorrecting Models of Chaotic Reality," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2006/31, Dec, revised Dec 2006.
• Franco Neto, Afonso Arinos de Mello & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2006, "The welfare cost of macroeconomic uncertainty in the post-war period," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 624, Sep.
• Lima, Luiz Renato Regis de Oliveira & Neri, Breno de Andrade Pinheiro, 2006, "Comparing value-at-risk methodologies," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 629, Nov.
• Pär Österholm, 2006, "Incorporating judgement in fan charts," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2006-39.
• Henri Bogaert & Ludovic Dobbelaere & Bart Hertveldt & Igor Lebrun, 2006, "Working paper 04-06 - Fiscal councils, independent forecasts and the budgetary process: lessons from the Belgian case," Working Papers, Federal Planning Bureau, Belgium, number 200604, Jun.
• Jan van der Linden, 2006, "Working Paper 10-06 - Network Industry Reform in Belgium: Macroeconometric versus General-Equilibrium Analyses," Working Papers, Federal Planning Bureau, Belgium, number 200610, Sep.
• David E. Bloom & David Canning & Günther Fink & Jocelyn Finlay, 2006, "Does Age Structure Forecast Economic Growth?," PGDA Working Papers, Program on the Global Demography of Aging, number 2006, Dec.
• Ulrich Fritsche & Joerg Doepke, 2006, "Forecast errors and the macroeconomy — a non-linear relationship?," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200602, Feb.
• DellaVigna, Stefano & Kaplan, Ethan, 2006, "The Fox News Effect: Media Bias and Voting," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 748, Aug.
• Österholm, Pär, 2006, "Incorporating Judgement in Fan Charts," Working Paper Series, Uppsala University, Department of Economics, number 2006:30, Nov.
• Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006, "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2006-01, Jan.
• João Victor Issler & Afonso Arinos de Mello Franco & Osmani Teixeira de Carvalho Guillén, 2006, "The Welfare Cost of Macroeconomic Uncertainty in the Post-War Period," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2006-02, Jan.
• Juan José Pompilio Sartori, 2006, "Diseño de un experimento de preferencias declaradas para la elección de modo de transporte urbano de pasajeros," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, volume 44, issue 2, pages 81-123, Diciembre, DOI: 10.55444/2451.7321.2006.v44.n2.3832.
• Jumah, Adusei & Kunst, Robert M., 2006, "Seasonal Cycles in European Agricultural Commodity Prices," Economics Series, Institute for Advanced Studies, number 192, Sep.
• Kim-Leng Goh & Kim-Lian Kok, 2006, "Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 5, issue 1, pages 41-59, April.
• Ron Bird & Richard Gerlach, 2006, "A Bayesian Model Averaging Approach to Enhance Value Investment," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 5, issue 2, pages 111-127, August.
• Q. Farooq Akram & Gunnar Bärdsen & Øyvind Eitrheim, 2006, "Monetary policy and asset prices: to respond or not?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 11, issue 3, pages 279-292, DOI: 10.1002/ijfe.298.
• Mr. Emil Stavrev, 2006, "Measures of Underlying Inflation in the Euro Area: Assessment and Role for Informing Monetary Policy," IMF Working Papers, International Monetary Fund, number 2006/197, Aug.
• Darius Hinz & Camille Logeay, 2006, "Forecasting Employment for Germany," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 01-2006, revised Jan 2006.
• Peter F. Christoffersen & Francis X. Diebold, 2006, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, volume 52, issue 8, pages 1273-1287, August, DOI: 10.1287/mnsc.1060.0520.
• Maurizio Bovi, 2006, "The Cyclical Behavior of Shadow and Regular Employment," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 62, Jan.
• Paz Rico Belda, 2006, "El Tipo De Cambio Real Dólar-Euro Y El Diferencial De Intereses Reales," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-13, Oct.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Prediction Markets in Theory and Practice," IZA Discussion Papers, IZA Network @ LISER, number 1991, Mar.
• Brücker, Herbert & Schröder, Philipp J. H., 2006, "International Migration with Heterogeneous Agents: Theory and Evidence," IZA Discussion Papers, IZA Network @ LISER, number 2049, Mar.
• Fabio Busetti, 2006, "Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 1, pages 1-23, DOI: 10.1002/for.973.
• Håvard Hungnes & Hilde C. Bjørnland, 2006, "The importance of interest rates for forecasting the exchange rate," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 3, pages 209-221, DOI: 10.1002/for.983.
• Pami Dua & Anirvan Banerji & Stephen M. Miller, 2006, "Performance evaluation of the New Connecticut Leading Employment Index using lead profiles and BVAR models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 6, pages 415-437, DOI: 10.1002/for.996.
• Antonio Rubia & Trino-Manuel Ñíguez, 2006, "Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 6, pages 439-458, DOI: 10.1002/for.997.
• Badi Baltagi & Dong Li, 2006, "Prediction in the Panel Data Model with Spatial Correlation: the Case of Liquor," Spatial Economic Analysis, Taylor & Francis Journals, volume 1, issue 2, pages 175-185, DOI: 10.1080/17421770601009817.
• Strijbosch, L.W.G. & Heuts, R.M.J. & Moors, J.J.A., 2006, "Hierarchical Estimation as Basis for Hierarchical Forecasting," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-86.
• Janssen, E. & Strijbosch, L.W.G. & Brekelmans, R.C.M., 2006, "Assessing the Effects of using Demand Parameters Estimates in Inventory Control," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-90.
• Tesfaselassie, M.F. & Schaling, E. & Eijffinger, S.C.W., 2006, "Learning about the Term Structure and Optimal Rules for Inflation Targeting," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-88.
• Tesfaselassie, M.F. & Schaling, E. & Eijffinger, S.C.W., 2006, "Learning about the Term Structure and Optimal Rules for Inflation Targeting," Other publications TiSEM, Tilburg University, School of Economics and Management, number fddff8c7-43e7-4776-9b72-4.
• Emiliano Santoro & Damjan Pfajfar, 2006, "Heterogeneity and learning in inflation expectation formation: an empirical assessment," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 0607.
• José Casals Carro & Miguel Jerez Méndez & Sonia Sotoca López, 2006, "Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0602.
• Yu-chin Chen & Kenneth Rogoff, 2006, "Are the Commodity Currencies an Exception to the Rule?," Working Papers, University of Washington, Department of Economics, number UWEC-2006-28, Dec, revised Mar 2012.
• Crescenzio Gallo & Giancarlo De Stasio & Cristina Di Letizia, 2006, "Artificial Neural Networks in Financial Modelling," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 02-2006, Jan.
• Andreas Röthig & Carl Chiarella, 2006, "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 172, Feb.
• Andrew Patton, 2006, "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 175, May.
• Kenneth W Clements & Yihui Lan, 2006, "A New Approach to Forecasting Exchange Rates," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 06-29.
• Monica Billio & Silvestro Di Sanzo, 2006, "Granger-causality in Markov Switching Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2006_20.
• Longhi, Simonetta & Nijkamp, Peter, 2006, "Forecasting regional labor market developments under spatial heterogeneity and spatial correlation," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0015.
• Pierre Siklos, 2006, "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers, Wilfrid Laurier University, Department of Economics, number eg0049, revised 2006.
• Clements, Michael P, 2006, "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 772.
• Clements, Michael P & Galvão, Ana Beatriz, 2006, "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 773.
• Clements, Michael P & Harvey, David I, 2006, "Forecast Encompassing Tests and Probability Forecasts," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 774.
• Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006, "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 777.
• Boero,Gianna & Smith,Jeremy & Wallis,Kenneth F, 2006, "Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 811.
• M. Mete Doğanay & Nildağ Başak Ceylan & Ramazan Aktaş, 2006, "Predicting Financial Failure Of The Turkish Banks," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-19, DOI: 10.1142/S2010495206500059.
• Rafal Weron & Adam Misiorek, 2006, "Short-term electricity price forecasting with time series models: A review and evaluation," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/01.
• Adam Misiorek & Rafal Weron, 2006, "Interval forecasting of spot electricity prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/05.
• Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006, "Real-time macroeconomic data and ex ante predictability of stock returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,10.
• De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006, "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,32.
• Schumacher, Christian & Breitung, Jörg, 2006, "Real-time forecasting of GDP based on a large factor model with monthly and quarterly data," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,33.
• Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006, "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2006,01.
• Lux, Thomas & Kaizoji, Taisei, 2006, "Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-13.
• Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006, "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/23.
• Röthig, Andreas & Chiarella, Carl, 2006, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 167.
• de Miguel Cabeza, Mercedes, 2006, "Entwicklung der Treibhausgasemissionen in Luxemburg: Prognosegrundlagen für den Nationalen Allokationsplan 2008-2012
  [Development of the CO2 emissions for the period 2008-2012 in Luxembourg]," FiFo Reports - FiFo-Berichte, University of Cologne, FiFo Institute for Public Economics, number 9.
• Satoguina, Honorat, 2006, "Energy Demand and Supply Issues - Scenario 2020 and Implications for CDM in West African Economic and Monetary Union. Case Study: Benin, Burkina Faso, Niger and Togo," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 357.
• Döhrn, Roland, 2006, "Improving Business Cycle Forecasts' Accuracy - What Can We Learn from Past Errors?," RWI Discussion Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, number 51.
• Brüggemann, Ralf, 2006, "Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-021.
• Polzehl, Jörg & Spokoiny, Vladimir, 2006, "Varying coefficient GARCH versus local constant volatility modeling: Comparison of the predictive power," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-033.
• Brüggemann, Ralf & Lütkepohl, Helmut & Marcellino, Massimiliano, 2006, "Forecasting euro-area variables with German pre-EMU data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-065.
• Vogl, Konstantin & Maltritz, Dominik & Huschens, Stefan & Karmann, Alexander, 2006, "Country Default Probabilities: Assessing and Backtesting," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 12/06.
• Keck, Alexander & Raubold, Alexander, 2006, "Forecasting trade," WTO Staff Working Papers, World Trade Organization (WTO), Economic Research and Statistics Division, number ERSD-2006-05, DOI: 10.30875/09f15011-en.

2005

• Frank Denton & Christine Feaver & Byron Spencer, 2005, "Time series analysis and stochastic forecasting: An econometric study of mortality and life expectancy," Journal of Population Economics, Springer;European Society for Population Economics, volume 18, issue 2, pages 203-227, June, DOI: 10.1007/s00148-005-0229-2.
• Thomas Hertel & Jeffrey Reimer, 2005, "Predicting the poverty impacts of trade reform," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 14, issue 4, pages 377-405, DOI: 10.1080/09638190500372404.
• Cem Aysoy & Ahmet N. Kipici, 2005, "A Quarterly Macroeconometric Model of the Turkish Economy," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 5, issue 2, pages 39-71.
• B. Jungbacker & S.J. Koopman, 2005, "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-002/4, Jan.
• Cătălin Stărică & Clive Granger, 2005, "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, volume 87, issue 3, pages 503-522, August.
• Robert Ewing & David Gruen & John Hawkins, 2005, "Forecasting the macro economy," Economic Roundup, The Treasury, Australian Government, issue 2, pages 11-25, June.
• Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2005, "The generalised dynamic factor model: one sided estimation and forecasting," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10129, Sep.
• Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005, "Monetary policy in real time," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/6401.
• Fabio Trojani & Francesco Audrino, 2005, "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-04, Jan.
• Gebhard Kirchgässner, 2005, "On the Rationality of the General Public," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-13, Jul.
• Hui Feng, 2005, "Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?," Econometrics Working Papers, Department of Economics, University of Victoria, number 0515, Aug.
• Ingo Geishecker & Gabor Hunya, 2005, "Employment Effects of Foreign Direct Investment in Central and Eastern Europe," wiiw Research Reports, The Vienna Institute for International Economic Studies, wiiw, number 321, Aug.
• Stavros Degiannakis & Evdokia Xekalaki, 2005, "Predictability and model selection in the context of ARCH models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 21, issue 1, pages 55-82, January, DOI: 10.1002/asmb.551.
• Barbara Rossi, 2005, "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," Data, University Library of Munich, Germany, number 0503001, Mar.
• Stanislav Radchenko, 2005, "The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend," Econometrics, University Library of Munich, Germany, number 0502002, Feb.
• Rafal Weron & Adam Misiorek, 2005, "Modeling and forecasting electricity loads: A comparison," Econometrics, University Library of Munich, Germany, number 0502004, Feb.
• Vadim Marmer, 2005, "Nonlinearity, Nonstationarity and Spurious Forecasts," Econometrics, University Library of Munich, Germany, number 0503002, Mar, revised 15 Dec 2005.
• Marie Bessec & Othman Bouabdallah, 2005, "What causes the forecasting failure of Markov-Switching models? A Monte Carlo study," Econometrics, University Library of Munich, Germany, number 0503018, Mar.
• Rafal Weron & Adam Misiorek, 2005, "Forecasting Spot Electricity Prices With Time Series Models," Econometrics, University Library of Munich, Germany, number 0504001, Apr.
• Hsiang-Tai Lee & Jonathan Yoder, 2005, "A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios," Econometrics, University Library of Munich, Germany, number 0506009, Jun.
• Zacharias Bragoudakis, 2005, "Assessing Forecast Performance in a VEC Model: An Empirical Examination," Econometrics, University Library of Munich, Germany, number 0507013, Jul.
• Andrew Healy, 2005, "How Do People Learn by Listening to Others? Experimental Evidence from Thailand," Experimental, University Library of Munich, Germany, number 0512006, Dec.
• Cornelis A. Los, 2005, "Measurement of Financial Risk Persistence," Finance, University Library of Munich, Germany, number 0502013, Feb.
• Sutthisit Jamdee & Cornelis A. Los, 2005, "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance, University Library of Munich, Germany, number 0502021, Feb.
• Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil, 2005, "From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices," Finance, University Library of Munich, Germany, number 0504011, Apr.
• Cornelis A. Los, 2005, "The Degree of Stability of Price Diffusion," Finance, University Library of Munich, Germany, number 0508006, Aug.
• Cornelis A. Los & Bing Yu, 2005, "Persistence Characteristics of the Chinese Stock Markets," Finance, University Library of Munich, Germany, number 0508008, Aug.
• Tony Guida & Olivier Matringe, 2005, "Application Of Garch Models In Forecasting The Volatility Of Agricultural Commodities," Finance, University Library of Munich, Germany, number 0512021, Dec.
• Barbara Rossi, 2005, "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," International Finance, University Library of Munich, Germany, number 0503006, Mar.
• Martin Melecky, 2005, "Early Locking to the Euro: Some Estimates for the New EU Countries based on Equilibrium Exchange Rates," International Finance, University Library of Munich, Germany, number 0503008, Mar.
• Martin Melecky & Lubos Komarek, 2005, "The Behavioral Equilibrium Exchange Rate of the Czech Koruna," International Finance, University Library of Munich, Germany, number 0504010, Apr.
• Maurizio Bovi, 2005, "The Dark, and Independent, Side of the Italian Labour Market," Labor and Demography, University Library of Munich, Germany, number 0504003, Apr.
• Maurizio Bovi, 2005, "The Cyclical Behaviour of Shadow and Regular Employment," Labor and Demography, University Library of Munich, Germany, number 0507011, Jul.
• Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005, "(Un)Predictability and Macroeconomic Stability," Macroeconomics, University Library of Munich, Germany, number 0510024, Oct.
• Domenico Giannone & Lucrezia Reichlin, 2005, "Trends and cycles in the Euro Area: how much heterogeneity and should we worry about it?," Macroeconomics, University Library of Munich, Germany, number 0511016, Nov.
• Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005, "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-04.
• Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005, "Volatility forecasting," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/08.
• Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005, "The volatility of realized volatility," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/33.
• Stephan, Andreas & Brück, Tilman, 2005, "Do Eurozone Countries Cheat with their Budget Deficit Forecasts?," Working Paper Series, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe, number 2005,5.
• Blaskowitz, Oliver J. & Herwartz, Helmut & Cadenas Santiago, Gonzalo de, 2005, "Modeling the FIBOR/EURIBOR swap term structure: An empirical approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-024.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2005, "Portfolio value at risk based on independent components analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-060.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005, "On the predictability of common risk factors in the US and UK interest rate swap markets:Evidence from non-linear and linear models," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/13, Feb.
• Michael Graff, 2005, "Ein multisektoraler Sammelindikator fuer die Schweizer Konjunktur," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 05-107, Sep, DOI: 10.3929/ethz-a-005104844.
• Virág, Miklós & Kristóf, Tamás, 2005, "Az első hazai csődmodell újraszámítása neurális hálók segítségével
  [Recalculation of the first Hungarian bankruptcy-prediction model using neural networks]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 144-162.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005, "On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models," Discussion Paper Series, Department of Economics, Loughborough University, number 2005_9, Sep, revised Sep 2005.
• Ali al-Nowaihi & Sanjit Dhami, 2005, "Non-Linearities, Large Forecasters And Evidential Reasoning Under Rational Expectations," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 05/22, Aug.
• Aleksejs Melihovs & Svetlana Rusakova, 2005, "Short-Term Forecasting of Economic Development in Latvia Using Business and Consumer Survey Data," Working Papers, Latvijas Banka, number 2005/04, Dec.
• Ali Dib & Mohamed Gammoudi & Kevin Moran, 2005, "Forecasting Canadian Time Series with the New-Keynesian Model," Cahiers de recherche, CIRPEE, number 0527.
• Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005, "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche, CIRPEE, number 0533.
• Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005, "Declining Discount Rates: Evidence from the UK," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1470105, Jan.
• Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005, "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1480105, Jan.
• Orphanides, Athanasios & van Norden, Simon, 2005, "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," Journal of Money, Credit and Banking, Blackwell Publishing, volume 37, issue 3, pages 583-601, June.
• Elena Gennari & Raffaela Giordano & Sandro Momigliano, 2005, "Dealing with Unexpected Shocks to the Budget," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, volume 61, issue 2, pages 201-219, July.
• Costanza Torricelli & Marianna Brunetti, 2005, "The aim of the present work is to test the predictive power of the term spread in forecasting real economic growth rates and recession probabilities in Italy. According to the most recent literature, the relationship between the term spread and econo," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0518, Dec.
• Denny Meyer & Rob J. Hyndman, 2005, "Rating Forecasts for Television Programs," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/05, Mar.
• Jan G. De Gooijer & Rob J. Hyndman, 2005, "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/05, May.
• Rob J. Hyndman & Anne B. Koehler, 2005, "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/05, May.
• Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005, "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/05, May.
• D. S. Poskitt, 2005, "Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/05, Jun.
• Rob J. Hyndman & Md. Shahid Ullah, 2005, "Robust forecasting of mortality and fertility rates: a functional data approach," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/05, Feb.
• J. Scott Armstrong & Kesten C. Green, 2005, "Demand Forecasting: Evidence-based Methods," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 24/05, Sep.
• Bircan Erbas & Rob J. Hyndman & Dorota M. Gertig, 2005, "Forecasting age-specific breast cancer mortality using functional data models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/05, Feb.
• J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds, 2005, "Time Series Forecasting: The Case for the Single Source of Error State Space," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/05, Apr.
• DUFOUR, Jean-Marie & TAREK, Jouini, 2005, "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-09.
• DUFOUR, Jean-Marie & JOUINI, Tarek, 2005, "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 10-2005.
• Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005, "Monetary Policy in Real Time," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2004, Volume 19".
• Todd E. Clark & Kenneth D. West, 2005, "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0305, Jan.
• Jean Boivin & Serena Ng, 2005, "Understanding and Comparing Factor-Based Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 11285, May.
• Junsoo Lee & John A. List & Mark Strazicich, 2005, "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11487, Jul.
• N. Ferrari, 2005, "Firm'investment forecast: An indicator of changes in expectations in industrial investment survey," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2005-09.
• B. Heitz, 2005, "A two-states Markov-switching model of inflation in France and the USA: credible target VS inflation spiral," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2005-11.
• O. Biau & H. Erkel-Rousse & N. Ferrari, 2005, "Individual responses to BTS and the Forecasting of Manufactured Production," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2005-12.
• Dr Martin Weale, 2005, "Survey Expectations," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 260, Jul.
• Gunnar Bårdsen & Q. Farooq Akram & Øyvind Eitrheim, 2005, "Monetary policy and asset prices: To respond or not?," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 5405, Sep.
• Wiliam Branch & George W. Evans, 2005, "Model Uncertainty and Endogenous Volatility," University of Oregon Economics Department Working Papers, University of Oregon Economics Department, number 2005-21, Oct, revised 26 Oct 2006.
• Miguel A. Ferreira, 2005, "Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 1, pages 126-168.
• Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005, "Volatility Forecasting," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 05-011, Feb.
• Madden, Gary G & Coble-Neal, Grant, 2005, "Forecasting international bandwidth capability," MPRA Paper, University Library of Munich, Germany, number 10822.
• da Silva Filho, Tito Nícias Teixeira, 2005, "Is there too much certainty when measuring uncertainty," MPRA Paper, University Library of Munich, Germany, number 16383.
• Lahiri, Kajal & Liu, Fushang, 2005, "ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts," MPRA Paper, University Library of Munich, Germany, number 21693.
• Benkovskis, Konstantins, 2005, "Econometric analysis and forecasting of Latvia's balance of payments," MPRA Paper, University Library of Munich, Germany, number 23274, Apr.
• Sarfaraz, Leyla & Afsar, Amir, 2005, "بررسي عوامل موثر بر قيمت طلا و ارايه مدل پيش بيني قيمت آن به كمك شبكه هاي عصبي فازي
  [A study on the factors affecting gold price and a neuro-fuzzy model of forcast]," MPRA Paper, University Library of Munich, Germany, number 2855.
• Fullerton, Thomas M., Jr. & Tinajero, Roberto, 2005, "Borderplex Economic Outlook: 2005-2007," MPRA Paper, University Library of Munich, Germany, number 29999, Nov, revised 15 Nov 2005.
• Cabrera-Castellanos, Luis F., 2005, "Análisis de Coyuntura de la Industria Manufacturera en México. Una Propuesta Metodológica y Aplicaciones
  [Conjuncture Analysis of the Manufacturing Industry in Mexico. A Methodologic Proposal and Applications]," MPRA Paper, University Library of Munich, Germany, number 4060.
• Lord, Montague, 2005, "Economic Growth in Uzbekistan: Sources and Potential," MPRA Paper, University Library of Munich, Germany, number 50731, Feb.
• Wilken, Dieter & Berster, Peter & Gelhausen, Marc Christopher, 2005, "Airport Choice in Germany - New Empirical Evidence of the German Air Traveller Survey 2003," MPRA Paper, University Library of Munich, Germany, number 5631.
• MacDonald, Stephen, 2005, "A Comparison of USDA's Agricultural Export Forecasts with ARIMA-based Forecasts," MPRA Paper, University Library of Munich, Germany, number 70912.
• Moniz, António, 2005, "Methods for Scenario-building: it’s importance for policy analysis," MPRA Paper, University Library of Munich, Germany, number 7893, Sep, revised Sep 2005.
• Angelidis, Timotheos & Degiannakis, Stavros, 2005, "Modeling Risk for Long and Short Trading Positions," MPRA Paper, University Library of Munich, Germany, number 80467.
• Degiannakis, Stavros & Xekalaki, Evdokia, 2005, "Predictability and Model Selection in the Context of ARCH Models," MPRA Paper, University Library of Munich, Germany, number 80486.
• Chakraborty, Lekha S & Chowdhury, Samik, 2005, "Fiscal Marksmanship of Education Expenditure in India: Analyzing Forecast Errors through a Gender lens," MPRA Paper, University Library of Munich, Germany, number 85406.
• Iiboshi, Hirokuni & Watanabe, Toshiaki, 2005, "Has the Business Cycle Changed in Japan? A Bayesian Analysis Based on a Markov-Switching Model with Multiple Change-Points," MPRA Paper, University Library of Munich, Germany, number 93865, Jul.
• Christopher A. Sims & Tao Zha, 2005, "Were There Regime Switches in U.S. Monetary Policy?," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 92, May.
• Patrick Bisciari & Alain Durré, 2005, "La bulle « Internet », un remake de la bulle de 1929 ?," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 157-169, DOI: 10.3406/ecofi.2005.4017.
• Paul A. Samuelson, 2005, "Franco: a mind never at rest," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 58, issue 233-234, pages 5-9.
• Paul A. Samuelson, 2005, "Franco: a mind never at rest," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 58, issue 233-234, pages 5-9.
• Paul A. Samuelson, 2005, "Franco: una mente mai ferma," Moneta e Credito, Economia civile, volume 58, issue 230-231, pages 5-10.
• António Rua & Cláudia Duarte, 2005, "Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case," Working Papers, Banco de Portugal, Economics and Research Department, number w200502.
• Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2005, "Empirical Assessment of Sustainability and Feasibility of Government Debt: The Philippines Case," Working Papers, Queen Mary University of London, School of Economics and Finance, number 527, Mar.