Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2005

• Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005, "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5178, Aug.
• Eklund, Jana & Karlsson, Sune, 2005, "Forecast Combination and Model Averaging Using Predictive Measures," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5268, Oct.
• Aruoba, Boragan, 2005, "Data Revisions Are Not Well-Behaved," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5271, Oct.
• Pesaran, M. Hashem & Zaffaroni, Paolo, 2005, "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5279, Oct.
• Favero, Carlo A. & Marcellino, Massimiliano, 2005, "Modelling and Forecasting Fiscal Variables for the euro Area," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5294, Oct.
• Parigi, Giuseppe & Golinelli, Roberto, 2005, "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5302, Oct.
• Kilian, Lutz & Inoue, Atsushi, 2005, "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5304, Oct.
• Wickens, Michael R. & Polito, Vito, 2005, "Measuring Fiscal Sustainability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5312, Oct.
• Timmermann, Allan, 2005, "Forecast Combinations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5361, Nov.
• Frédéric Loss & Estelle Malavolti-Grimal & Thibaud Vergé & Fabian Bergès-Sennou, 2005, "European Competition Policy Modernization : From Notifications to Legal Exception," Working Papers, Center for Research in Economics and Statistics, number 2005-38.
• George Kouretas & Leonidas Zarangas, 2005, "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers, University of Crete, Department of Economics, number 0521, Nov.
• Pesaran, Hashem & Timmermann, Allan, 2005, "Real-Time Econometrics," Econometric Theory, Cambridge University Press, volume 21, issue 1, pages 212-231, February.
• Rossi, Barbara, 2005, "Optimal Tests For Nested Model Selection With Underlying Parameter Instability," Econometric Theory, Cambridge University Press, volume 21, issue 5, pages 962-990, October.
• Ulrich Fritsche & Jörg Döpke, 2005, "Forecast Errors and the Macroeconomy: A Non-Linear Relationship?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 498.
• Tilman Brück & Andreas Stephan, 2005, "Do Eurozone Countries Cheat with Their Budget Deficit Forecasts?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 508.
• Dimitrios D. Thomakos & Prasad S. Bhattacharya, 2005, "Firm's R & D Behavior Under Rational Expectations," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 2, pages 145-165, December.
• Rossi, Barbara & Giacomini, Raffaella, 2005, "How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?," Working Papers, Duke University, Department of Economics, number 05-08.
• Floros, Ch., 2005, "Forecasting the UK Unemployment Rate: Model Comparisons," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 4, pages 57-72.
• Libor Krkoska & Utku Teksoz, 2005, "Accuracy of growth forecasts for transition countries: Assessing ten years of EBRD forecasting," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 94, Dec.
• Bernadell, Carlos & Coche, Joachim & Nyholm, Ken, 2005, "Yield curve prediction for the strategic investor," Working Paper Series, European Central Bank, number 472, Apr.
• Marcellino, Massimiliano & Banerjee, Anindya & Masten, Igor, 2005, "Forecasting macroeconomic variables for the new member states of the European Union," Working Paper Series, European Central Bank, number 482, May.
• Smets, Frank & Wouters, Raf & Del Negro, Marco & Schorfheide, Frank, 2005, "On the fit and forecasting performance of New-Keynesian models," Working Paper Series, European Central Bank, number 491, Jun.
• Pérez, Javier J., 2005, "Early-warning tools to forecast general government deficit in the euro area: the role of intra-annual fiscal indicators," Working Paper Series, European Central Bank, number 497, Jun.
• Berben, Robert-Paul & Mestre, Ricardo & Mitrakos, Theodoros & Morgan, Julian & Zonzilos, Nikolaos G., 2005, "Inflation persistence in structural macroeconomic models (RG10)," Working Paper Series, European Central Bank, number 521, Sep.
• Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005, "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-4, Feb.
• Jo Thori Lind, 2005, "Repeated surveys and the Kalman filter," Econometrics Journal, Royal Economic Society, volume 8, issue 3, pages 418-427, December.
• Altissimo, Filippo & Gaiotti, Eugenio & Locarno, Alberto, 2005, "Is money informative? Evidence from a large model used for policy analysis," Economic Modelling, Elsevier, volume 22, issue 2, pages 285-304, March.
• Bernhardsen, Tom & Eitrheim, Oyvind & Jore, Anne Sofie & Roisland, Oistein, 2005, "Real-time data for Norway: Challenges for monetary policy," The North American Journal of Economics and Finance, Elsevier, volume 16, issue 3, pages 333-349, December.
• Isiklar, Gultekin, 2005, "On aggregation bias in fixed-event forecast efficiency tests," Economics Letters, Elsevier, volume 89, issue 3, pages 312-316, December.
• Pesaran, M. Hashem & Timmermann, Allan, 2005, "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 183-217.
• Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005, "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, volume 12, issue 3, pages 445-475, June.
• Crompton, Paul & Wu, Yanrui, 2005, "Energy consumption in China: past trends and future directions," Energy Economics, Elsevier, volume 27, issue 1, pages 195-208, January.
• Chevillon, Guillaume & Hendry, David F., 2005, "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, volume 21, issue 2, pages 201-218.
• Mouchart, Michel & Rombouts, Jeroen V.K., 2005, "Clustered panel data models: an efficient approach for nowcasting from poor data," International Journal of Forecasting, Elsevier, volume 21, issue 3, pages 577-594.
• Harrison, Richard & Kapetanios, George & Yates, Tony, 2005, "Forecasting with measurement errors in dynamic models," International Journal of Forecasting, Elsevier, volume 21, issue 3, pages 595-607.
• Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005, "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 755-774.
• Fok, Dennis & van Dijk, Dick & Franses, Philip Hans, 2005, "Forecasting aggregates using panels of nonlinear time series," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 785-794.
• Mitra, Kaushik, 2005, "Is more data better?," Journal of Economic Behavior & Organization, Elsevier, volume 56, issue 2, pages 263-272, February.
• Cogley, Timothy, 2005, "How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth," Journal of Macroeconomics, Elsevier, volume 27, issue 2, pages 179-207, June.
• Guler, Bulent & Ozlale, Umit, 2005, "Is there a flight to quality due to inflation uncertainty?," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 345, issue 3, pages 603-607, DOI: 10.1016/j.physa.2004.07.038.
• Bystrom, Hans N. E., 2005, "Extreme value theory and extremely large electricity price changes," International Review of Economics & Finance, Elsevier, volume 14, issue 1, pages 41-55.
• Graham Elliott & Ivana Komunjer & Allan Timmermann, 2005, "Biases In Macroeconomic Forecasts: Irrationality Or Asymmetric Loss?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2005-14, May.
• Patton, Andrew J. & Timmermann, Allan, 2005, "Testable implications of forecast optimality," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6834, Jan.
• Aktham I. Maghyereh & Sadeg J. Abul, 2005, "The performance of value-at-risk models in emerging markets: evidence from Kuwait stock exchange," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 8, issue 2, pages 194-209, Winter.
• Panayiotis Diacos & Spyros Hadjidakis, 2005, "An econometric study of the beef meat sector in Cyprus," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 8, issue 2, pages 210-240, Winter.
• Johnson, Christian A. & Padilla, Miguel A., 2005, "Regularidades no lineales en índices accionarios. Una aproximación con redes neuronales," El Trimestre Económico, Fondo de Cultura Económica, volume 72, issue 288, pages 765-821, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v72i.
• Timotheos Angelidis & Stavros Degiannakis, 2005, "Modeling risk for long and short trading positions," Journal of Risk Finance, Emerald Group Publishing Limited, volume 6, issue 3, pages 226-238, July, DOI: 10.1108/15265940510599838.
• de Groot, E.A. & Franses, Ph.H.B.F., 2005, "Real time estimates of GDP growth," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-01, Jan.
• Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005, "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp135, Mar.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2005, "A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp159, Oct.
• Junsoo Lee & John List & Mark Strazicich, 2005, "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," Natural Field Experiments, The Field Experiments Website, number 00486.
• Athanasopoulos, George & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005, "Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 589, Apr.
• Franco Neto, Afonso Arinos de Mello & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005, "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 605, Dec.
• Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005, "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-42.
• Christopher A. Sims, 2005, "Improving monetary policy models," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Todd E. Clark & Kenneth D. West, 2005, "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 05-05.
• Eric Meyermans & Patrick Van Brusselen, 2005, "Working Paper 02-05 - The NIME Economic Outlook for the World Economy 2005 - 2011 (Also in this issue: the Lisbon Strategy)," Working Papers, Federal Planning Bureau, Belgium, number 200502, Feb.
• Profillidis, V. & Botzoris, G., 2005, "A Comparative Analysis Of The Forecasting Ability Of Classic Econometric And Fuzzy Models," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 35-46, May.
• Marina Turuntseva & Sergey Drobyshevsky & Pavel Kadochnnikov, 2005, "Some approachs to forecasting economic indicators," Research Paper Series, Gaidar Institute for Economic Policy, issue 89P, pages 195-195.
• Michael Groemling, 2005, "Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler," Departmental Discussion Papers, University of Goettingen, Department of Economics, number 123, Jan.
• Bouwman, Kees E. & Jacobs, Jan P.A.M., 2005, "Forecasting with real-time macroeconomic data: the ragged-edge problem and revisions," CCSO Working Papers, University of Groningen, CCSO Centre for Economic Research, number 200505.
• P. Bisciari & A. Durre, 2005, "La bulle "internet", un remake de la bulle de 1929 ?," Post-Print, HAL, number hal-00284708.
• Karine Michalon & Sandrine Lardic & François Dossou, 2005, "Earnings forecast bias - a statistical analysis," Post-Print, HAL, number halshs-00142773.
• Teräsvirta, Timo, 2005, "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 598, May, revised 29 Dec 2005.
• Erlandsen, Solveig & Nymoen, Ragnar, 2005, "Consumption and population age structure," Memorandum, Oslo University, Department of Economics, number 27/2004, Apr.
• Nymoen, Ragnar, 2005, "Evaluating a Central Bank’s Recent Forecast Failure," Memorandum, Oslo University, Department of Economics, number 22/2005, Aug.
• Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005, "Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 180, Mar.
• Villani, Mattias, 2005, "Inference in Vector Autoregressive Models with an Informative Prior on the Steady State," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 181, Mar.
• Jardine Ariena Husman, 2005, "ESTIMASI NILAI TUKAR RUPIAH PASKA KRISIS: Pendekatan Model Komposit," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 3, pages 1-24, December, DOI: https://doi.org/10.21098/bemp.v8i3..
• Graham Elliott & Allan Timmermann, 2005, "Optimal Forecast Combination Under Regime Switching ," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 46, issue 4, pages 1081-1102, November.
• Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005, "Monetary Policy in Real Time," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 284.
• Massimiliano Marcellino, 2005, "Leading Indicators: What Have We Learned?," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 286.
• Carlo Favero & Massimiliano Marcellino, 2005, "Modelling and Forecasting Fiscal Variables for the Euro Area," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 298.
• Jumah, Adusei & Kunst, Robert M., 2005, "Forecasting Aggregate Demand in West African Economies. The Influence of Immigrant Remittance Flows and of Asymmetric Error Correction," Economics Series, Institute for Advanced Studies, number 168, Feb.
• Kıvılcım M. ÖZCAN & Suat AYDIN, 2005, "Dibs Faiz Oranlarında Oynaklığın Koşulu Değişen Varyans Modeli İle Tahmini Ve Öngörülmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 20, issue 230, pages 83-94.
• Jean Boivin & Serena Ng, 2005, "Understanding and Comparing Factor-Based Forecasts," International Journal of Central Banking, International Journal of Central Banking, volume 1, issue 3, December.
• Brücker, Herbert & Siliverstovs, Boriss, 2005, "On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1710, Aug.
• Rob J. Hyndman & Lydia Shenstone, 2005, "Stochastic models underlying Croston's method for intermittent demand forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., volume 24, issue 6, pages 389-402, DOI: 10.1002/for.963.

2004

• Bystrom, Hans N. E., 2004, "Managing extreme risks in tranquil and volatile markets using conditional extreme value theory," International Review of Financial Analysis, Elsevier, volume 13, issue 2, pages 133-152.
• Boero, Gianna & Marrocu, Emanuela, 2004, "The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 305-320.
• Marcellino, Massimliano, 2004, "Forecasting EMU macroeconomic variables," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 359-372.
• Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004, "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, volume 20, issue 4, pages 589-609.
• Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004, "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, volume 12, issue 5, pages 503-523, November.
• Grilli, Luca, 2004, "Long-term fixed income market structure," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 332, issue C, pages 441-447, DOI: 10.1016/j.physa.2003.10.019.
• Weron, R & Bierbrauer, M & Trück, S, 2004, "Modeling electricity prices: jump diffusion and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 336, issue 1, pages 39-48, DOI: 10.1016/j.physa.2004.01.008.
• Niguez, Trino-Manuel & Perote, Javier, 2004, "Forecasting the density of asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6845, Oct.
• Jochen Hartwig, 2004, "Nichts als Strohfeuer? Eine kritische Analyse des wirtschaftspolitischen Assignments im "Neuen Konsens" mit Hilfe eines makrooekonometrischen Politiksimulationsmodells der Schweizer Volkswir," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, volume 1, issue 2, pages 107-134.
• van Oest, R.D. & Paap, R., 2004, "Analyzing the effects of past prices on reference price formation," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-36, Aug.
• Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2004, "Forecasting aggregates using panels of nonlinear time series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-44, Nov.
• Lemmens, A. & Croux, C. & Dekimpe, M.G., 2004, "On The Predictive Content Of Production Surveys: A Pan-European Study," 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-2004-017-MKT, Feb.
• Ketzenberg, M.E. & van der Laan, E.A. & Teunter, R.H., 2004, "The Value of Information in Reverse Logistics," 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-2004-053-LIS, Aug.
• Lemmens, A. & Croux, C. & Dekimpe, M.G., 2004, "Decomposing Granger Causality over the Spectrum," 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-2004-102-MKT, Dec.
• Gorobets, A. & Nooteboom, B., 2004, "Agent based computational model of trust," 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-2004-108-ORG, Jan.
• Jan Kodera, 2004, "The Applied Econometrics: Theory and Praxis (Roman Hušek and Jan Pelikán) (in Czech)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 3-4, pages 171-173, March.
• Luboš Komárek, 2004, "The Nobel Prize Laureates, 2003," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 355-356, July.
• Pavel Ciaian & Jan Pokryvcak, 2004, "Agricultural Reform in Slovakia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 9-10, pages 420-435, September.
• Guillaume Chevillon, 2004, ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-12.
• Guillaume Chevillon, 2004, "A Comparison of Multi-step GDP Forecasts for South Africa," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-13.
• Christopher A. Sims & Tao Zha, 2004, "Were there regime switches in U.S. monetary policy?," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-14.
• Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004, "On the fit and forecasting performance of New Keynesian models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-37.
• Miguel A. Ferreira & Jose A. Lopez, 2004, "Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-03, Mar, DOI: 10.24148/wp2004-03.
• Athanasios Orphanides & Simon van Norden, 2004, "The reliability of inflation forecasts based on output gap estimates in real time," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-68.
• Eric Meyermans & Patrick Van Brusselen, 2004, "Working Paper 16-04 - The NIME Economic Outlook for the World Economy 2004 - 2010 (Also in this issue: oil price shocks)," Working Papers, Federal Planning Bureau, Belgium, number 200416, Oct.
• Brooks Kaiser & James Roumasset, 2004, "Coasean Economics and the Evolution of Marine Property in Hawaii," Working Papers, University of Hawaii at Manoa, Department of Economics, number 200407.
• James Mak & Lonny Carlile & Sally Dai, 2004, "Impact of Population Aging on Japanese International Travel," Working Papers, University of Hawaii at Manoa, Department of Economics, number 200408.
• Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004, "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 561, Jul, revised 09 Nov 2004.
• Arias, Guillaume & Erlandsson, Ulf, 2004, "Regime switching as an alternative early warning system of currency crises - an application to South-East Asia," Working Papers, Lund University, Department of Economics, number 2004:11, Mar.
• Lind, Jo Thori, 2004, "Repeated surveys and the Kalman filter," Memorandum, Oslo University, Department of Economics, number 19/2004, Oct.
• Kaushik Mitra, 2004, "Is more data better?," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 04/19, Jul, revised Jul 2004.
• Naoya Katayama, 2004, "Asymptotic Prediction Mean Squared Error for Strongly Dependent Processes with Estimated Parameters," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-10, Jan.
• Jeroen V.K. Rombouts & Marno Verbeek, 2004, "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 04-14, Dec.
• Jumah, Adusei & Kunst, Robert M., 2004, "Modeling National Accounts Sub-Aggregates. An Application of Non-Linear Error Correction," Economics Series, Institute for Advanced Studies, number 149, Mar.
• Kunst, Robert M. & Jumah, Adusei, 2004, "Toward a Theory of Evaluating Predictive Accuracy," Economics Series, Institute for Advanced Studies, number 162, Nov.
• Costas Milas & Jesús Otero & Theodore Panagiotidis, 2004, "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 9, issue 3, pages 277-288, DOI: 10.1002/ijfe.245.
• Fujiwara, Ippei & Koga, Maiko, 2004, "A Statistical Forecasting Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model Uncertainty," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 1, pages 123-142, March.
• Arturo Lorenzo Valdés, 2004, "Estudio De La Volatilidad Realizada Aplicado Al Índice De Precios Y Cotizaciones De México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 4, pages 333-341, Diciembre.
• Carmine Pappalardo & Gianfranco Piras, 2004, "Vector-Autoregression Approach to Forecast Italian Imports," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 42, Feb.
• Maurizio Bovi, 2004, "The Dark, And Independent, Side Of Italy," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 46, Nov.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "Real Time Econometrics," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1108, Apr.
• Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004, "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1196, Jun.
• Benner Joachim & Meier Carsten-Patrick, 2004, "Prognosegüte alternativer Früh Indikatoren für die Konjunktur in Deutschland / Forecasting Performance of Alternative Indicators for the German Economy," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 6, pages 639-652, December, DOI: 10.1515/jbnst-2004-0602.
• Jan G. De Gooijer & Kurt Brännäs, 2004, "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 3, pages 155-171, DOI: 10.1002/for.910.
• Lars-Erik Öller & Lasse Koskinen, 2004, "A classifying procedure for signalling turning points," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 3, pages 197-214, DOI: 10.1002/for.905.
• Jan R. Magnus & Dmitry Danilov, 2004, "Forecast accuracy after pretesting with an application to the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 4, pages 251-274, DOI: 10.1002/for.916.
• Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004, "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 5, pages 315-335, DOI: 10.1002/for.925.
• Sune Karlsson & Tor Jacobson, 2004, "Finding good predictors for inflation: a Bayesian model averaging approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 7, pages 479-496, DOI: 10.1002/for.924.
• Giorgio Valente & Lucio Sarno, 2004, "Comparing the accuracy of density forecasts from competing models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 8, pages 541-557, DOI: 10.1002/for.930.
• Marian Beise, 2004, "The International Adoption of Photovoltaic Energy Conversion Is Japan a Lead Market?," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 153, Feb.
• Jochen Hartwig, 2004, "Quantitative Analyse der Auswirkungen wirtschaftspolitischer Massnahmen auf die Einkommensverteilung und das "neue magische Viereck" in der Schweiz," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 04-90, Jan, DOI: 10.3929/ethz-a-004871546.
• Theodore Panagiotidis & David Chappell, 2004, "Using the Correlation Dimension to Detect non-linear dynamics," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_17, Nov, revised Nov 2004.
• Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004, "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 101, Sep.
• Q. Farooq Akram, 2004, "Oil wealth and real exchange rates: The FEER for Norway," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 33, Sep.
• Marianna Valentinyi-Endrész, 2004, "Structural breaks and financial risk management," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/11.
• Ralph D. Snyder, 2004, "Exponential Smoothing: A Prediction Error Decomposition Principle," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/04, Aug.
• Karlyn Mitchell & Douglas K. Pearce, 2004, "Professional Forecasts of Interest Rates and Exchange Rates: Evidence from the Wall Street Journal's Panel of Economists," Working Paper Series, North Carolina State University, Department of Economics, number 004, Oct.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4104, Mar, revised 01 Jun 2004.
• Kevin Dowd, 2004, "The Swedish Inflation Fan Charts: An Evaluation of the Riksbank?s Inflation Density Forecasts," Occasional Papers, Industrial Economics Division, number 10, Jan, revised 11 Jan 2004.
• Kevin Dowd, 2004, "Too Good to be True? The (In)credibility of the UK Inflation Fan Charts," Occasional Papers, Industrial Economics Division, number 11, 09, revised 11 Jan 2004.
• Kevin Dowd, 2004, "FOMC Forecasts of Macroeconomic Risks," Occasional Papers, Industrial Economics Division, number 12, 09, revised 10 Jan 2004.
• Guillaume Chevillon & David F. Hendry, 2004, "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W12, May.
• John Bryant & Audrey Teasdale & Martin Tobias & Jit Cheung & Mhairi McHugh, 2004, "Population Ageing and Government Health Expenditures in New Zealand, 1951-2051," Treasury Working Paper Series, New Zealand Treasury, number 04/14, Sep.
• Robert H. McGuckin & Ataman Ozyildirim, 2004, "Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2004, issue 2, pages 171-191, DOI: 10.1787/jbcma-v2004-art11-en.
• Gabriel Moser & Fabio Rumler & Johann Scharler, 2004, "Forecasting Austrian Inflation," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 91, Oct.
• David E. Rapach & Christian E. Weber, 2004, "Financial Variables and the Simulated Out-of-Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing Approach," Economic Inquiry, Western Economic Association International, volume 42, issue 4, pages 717-738, October.
• David Hendry & Guillaume Chevillon, 2004, "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 196, Jul.
• Guillaume Chevillon, 2004, "`Weak` trends for inference and forecasting in finite samples," Economics Series Working Papers, University of Oxford, Department of Economics, number 210, Dec.
• Jorge Caiado, 2004, "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 9, issue 1, pages 3-21.
• Caiado, Jorge, 2004, "Modelling and forecasting the volatility of the portuguese stock index PSI-20," MPRA Paper, University Library of Munich, Germany, number 2077.
• Mapa, Dennis S., 2004, "A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough," MPRA Paper, University Library of Munich, Germany, number 21028.
• Rodríguez, Carlos A., 2004, "A P* Model of Inflation in Puerto Rico," MPRA Paper, University Library of Munich, Germany, number 41278, Sep.
• Guler, Bulent & Ozlale, Umit, 2004, "Is there a flight to quality due to inflation uncertainty?," MPRA Paper, University Library of Munich, Germany, number 7929, Aug.
• Degiannakis, Stavros, 2004, "Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper, University Library of Munich, Germany, number 80488.
• Degiannakis, Stavros, 2004, "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper, University Library of Munich, Germany, number 96330.
• Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004, "The Use of GARCH Models in VaR Estimation," MPRA Paper, University Library of Munich, Germany, number 96332.
• Michal Pazour, 2004, "Nové metodologické přístupy k tvorbě empirických modelů měnových krizí
  [New methodological approaches to the construction of currency crashes models]," Politická ekonomie, Prague University of Economics and Business, volume 2004, issue 3, pages 375-388, DOI: 10.18267/j.polek.466.
• Francesco Giurda & Elias Tzavalis, 2004, "Is the Currency Risk Priced in Equity Markets?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 511, Mar.
• George Kapetanios, 2004, "Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 520, Oct.
• Richard Harrison & George Kapetanios, 2004, "Forecasting with Measurement Errors in Dynamic Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 521, Oct.
• Jacob Alex Klerman & Caroline Danielson, 2004, "Why Did the Welfare Caseload Decline?," Working Papers, RAND Corporation, number WR-167, Dec.
• Marco Del Negro & Frank Schorfheide, 2004, "A DSGE-VAR for the Euro Area," 2004 Meeting Papers, Society for Economic Dynamics, number 43.
• S. Boragan Aruoba, 2004, "Data Revisions in General Equilibrium," 2004 Meeting Papers, Society for Economic Dynamics, number 770.
• Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004, "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 485, Jul.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca, 2004, "THE “DOBRESCU” MACROMODEL OF THE ROMANIAN TRANSITION ECONOMY – Yearly and Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 1, pages 129-133, February.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca, 2004, "THE “DOBRESCU” MACROMODEL OF THE ROMANIAN TRANSITION ECONOMY – Yearly and Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 2, pages 123-126, May.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca, 2004, "THE “DOBRESCU” MACROMODEL OF THE ROMANIAN TRANSITION ECONOMY – Yearly and Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 3, pages 117-120, August.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca, 2004, "THE “DOBRESCU” MACROMODEL OF THE ROMANIAN TRANSITION ECONOMY – Yearly and Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 4, pages 151-154, December.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Albu, Lucian Liviu & Stanica, Cristian Nicolae, 2004, "Quarterly Gdp Data Correction Using Principal Components Analysis. The Case Of The Romanian Economy – Gdp Expenditures Side," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 5-34.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Albu, Lucian Liviu & Stanica, Cristian Nicolae & Nicolae, Mariana & Chilian, Mihaela Nona, 2004, "Principal Components Model Of The Romanian Economy. Gdp – Production Side," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 52-66.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Nicolae, Mariana, 2004, "Principal Components Model Of The Romanian Economy. Study Of The Oil Price Impact Upon Gdp," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 67-80.
• Geetesh Bhardwaj & Norman Swanson, 2004, "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers, Rutgers University, Department of Economics, number 200422, Sep.
• Romulo A. Chumacero, 2004, "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Computing in Economics and Finance 2004, Society for Computational Economics, number 112, Aug.