Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2003

• Kilian, Lutz & Inoue, Atsushi, 2003, "On the Selection of Forecasting Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3809, Mar.
• Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2003, "Leading Indicators for Euro Area Inflation and GDP Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3893, May.
• Favero, Carlo A. & Aiolfi, Marco, 2003, "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3997, Aug.
• Artis, Michael & Marcellino, Massimiliano & Galvão, Ana Beatriz, 2003, "The Transmission Mechanism in a Changing World," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4014, Aug.
• Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4037, Aug.
• Pedro Guedes Carvalho, 2003, "Housing Market in Portugal revisited. A spatial analysis for 275 counties," Working Papers de Gestão, Economia e Marketing (Management, Economics and Marketing Working Papers), Universidade da Beira Interior, Departamento de Gestão e Economia (Portugal), number 02/2003.
• Boriss Siliverstovs & Tom Engsted & Niels Haldrup, 2003, "Long-Run Forecasting in Multicointegrated Systems," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 381.
• Rossi, Barbara & Inoue, Atsushi, 2003, "Recursive Predictability Tests for Real-Time Data," Working Papers, Duke University, Department of Economics, number 03-24.
• Arranz, Matilde, 2003, "El consumo privado en los paises de la OCDE: analisis comparativo y evolucion temporal," Estudios Economicos de Desarrollo Internacional, Euro-American Association of Economic Development, volume 3, issue 2.
• Fabiani, Silvia & Morgan, Julian, 2003, "Aggregation and euro area Phillips curves," Working Paper Series, European Central Bank, number 213, Feb.
• Inoue, Atsushi & Kilian, Lutz, 2003, "On the selection of forecasting models," Working Paper Series, European Central Bank, number 214, Feb.
• Hubrich, Kirstin, 2003, "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series, European Central Bank, number 247, Aug.
• Rünstler, Gerhard & Sédillot, Franck, 2003, "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series, European Central Bank, number 276, Sep.
• Moneta, Fabio, 2003, "Does the yield spread predict recessions in the euro area?," Working Paper Series, European Central Bank, number 294, Dec.
• Marrocu, Emanuela & Gianna Boero, 2003, "The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 147, Jun.
• Yates, Tony & Richard Harrison & George Kapetanios, 2003, "Forecasting with measurement errors in dynamic models," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 225, Jun.
• Guidolin, Massimo & Allan Timmermann, 2003, "Economic Implications of Bull and Bear Regimes in UK Stock Returns," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 95, Jun.
• Itzhak Gilboa & David Schmeidler, 2003, "Inductive Inference: An Axiomatic Approach," Econometrica, Econometric Society, volume 71, issue 1, pages 1-26, January.
• Honkapohja, Seppo & Mitra, Kaushik, 2003, "Learning with bounded memory in stochastic models," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 8, pages 1437-1457, June.
• Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003, "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 225-257.
• Giordani, Paolo & Soderlind, Paul, 2003, "Inflation forecast uncertainty," European Economic Review, Elsevier, volume 47, issue 6, pages 1037-1059, December.
• Várpalotai, Viktor, 2003, "Dezinflációs számítások dezaggregált kibocsátási résekre alapozó makromodellel
  [Disinflation simulations with a disaggregated output gap-based model]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 4, pages 287-314.
• Gary Koop & Simon Potter, 2003, "Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/16, Jan.
• Chris Heaton & Victor Solo, 2003, "Asymptotic Principal Components Estimation Of Large Factor Models," Research Papers, Macquarie University, Department of Economics, number 0303, Jun.
• Viktor Várpalotai, 2003, "Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2003/4.
• Bruno, Giancarlo & Lupi, Claudio, 2003, "Forecasting Industrial Production and the Early Detection of Turning Points," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp03004, Apr.
• Lydia Shenstone & Rob J. Hyndman, 2003, "Stochastic models underlying Croston's method for intermittent demand forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/03, Feb.
• Md B. Billah & R.J. Hyndman & A.B. Koehler, 2003, "Empirical Information Criteria for Time Series Forecasting Model Selection," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/03, Jan.
• Rob J. Hyndman & Muhammad Akram & Blyth Archibald, 2003, "Invertibility Conditions for Exponential Smoothing Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/03, Apr.
• B.P.M. McCabe & G.M. Martin, 2003, "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/03, Apr.
• DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short run and long run causality in time series: Inference," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-16.
• DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 14-2003.
• David F. Hendry & Neil R. Ericsson (ed.), 2003, "Understanding Economic Forecasts," MIT Press Books, The MIT Press, number 0262582422, edition 1, ISBN: ARRAY(0x6a973f70), December.
• Patrick Bisciari & Alain Durré & Alain Nyssens, 2003, "Stock market valuation in the United States," Working Paper Document, National Bank of Belgium, number 41, Nov.
• Koen Burggraeve & Philip Du Caju, 2003, "The labour market and fiscal impact of labour reductions: the case of reduction of employers' social security contributions under a wage norm regime with automatic price indexing of wages," Working Paper Research, National Bank of Belgium, number 36, Mar.
• Heino Bohn Nielsen & Christopher Bowdler, 2003, "Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W05, Mar.
• Kajal Lahiri & Herman O. Stekler & Wenxiong Yao & Peg Young, 2003, "Monthly Output Index for the U.S. Transportation Sector," Discussion Papers, University at Albany, SUNY, Department of Economics, number 03-12.
• Olivier Basdevant & David Hargreaves, 2003, "Modelling structural change: the case of New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2003/03, Apr.
• Olivier Basdevant, 2003, "Learning process and rational expectations: an analysis using a small macroeconomic model for New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2003/05, May.
• Brian McCulloch, 2003, "Geometric Return and Portfolio Analysis," Treasury Working Paper Series, New Zealand Treasury, number 03/28, Dec.
• Franck Sédillot & Nigel Pain, 2003, "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers, OECD Publishing, number 364, Jul, DOI: 10.1787/275257320252.
• Burkhard Raunig, 2003, "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 86, Sep.
• Vuong, Quan-Hoang, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," OSF Preprints, Center for Open Science, number ahrjd, Sep, DOI: 10.31219/osf.io/ahrjd.
• Thierry Foucault & Ailsa Röell & Patrik Sandås, 2003, "Market Making with Costly Monitoring: An Analysis of the SOES Controversy," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 2, pages 345-384.
• Peter F. Christoffersen & Francis X.Diebold, 2003, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-009, Sep.
• Dennis S. Mapa, 2003, "A range-based GARCH model for forecasting financial volatility," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 40, issue 2, pages 73-90, December.
• Albu, Lucian-Liviu & Roudoi, Andrei, 2003, "Scenarios of economic development in Romania - medium to long-term forecasting models," MPRA Paper, University Library of Munich, Germany, number 13588, Dec.
• Albu, Lucian-Liviu, 2003, "Estimating contribution of factors to long-term growth in Romania," MPRA Paper, University Library of Munich, Germany, number 14729, Jan.
• Skribans, Valerijs, 2003, "Construction demand: a model of research and forecast for Latvia from 2002 to 2025," MPRA Paper, University Library of Munich, Germany, number 16366.
• Photis, Yorgos N. & Manetos, Panos & Grekoussis, George, 2003, "Modeling urban evolution by identifying spatiotemporal patterns and applying methods of artificial intelligence.Case study: Athens, Greece," MPRA Paper, University Library of Munich, Germany, number 20756, revised 2003.
• Skribans, Valerijs, 2003, "Latvijas būvniecības nozares attīstības prognoze
  [Latvian construction brunch development forecast]," MPRA Paper, University Library of Munich, Germany, number 26072.
• Bruno, Giancarlo & Lupi, Claudio, 2003, "Forecasting Euro-Area Industrial Production Using (Mostly) Business Surveys Data," MPRA Paper, University Library of Munich, Germany, number 42332, Oct.
• Heinen, Andreas, 2003, "Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model," MPRA Paper, University Library of Munich, Germany, number 8113, Jul.
• Luís Catela Nunes, 2003, "Forecasting Euro Area Aggregates with Bayesian VAR and VECM Models," Working Papers, Banco de Portugal, Economics and Research Department, number w200304.
• Maximiano Pinheiro, 2003, "Uncertainty And Risk Analysis Of Macroeconomic Forecasts: Fan Charts Revisited," Working Papers, Banco de Portugal, Economics and Research Department, number w200319.
• Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson, 2003, "Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-14, Oct.
• Stavins, Robert & Plantinga, Andrew & Lubowski, Ruben, 2003, "Determinants of Land-Use Change In the United States 1982-1997," RFF Working Paper Series, Resources for the Future, number dp-03-47, Aug.
• Philippe Robert-Demontrond & Daniel Thiel, 2003, "Feedback system dynamics and automata networks," European Journal of Economic and Social Systems, Lavoisier, volume 16, issue 1, pages 89-107.
• Albu, Lucian Liviu, 2003, "Short-Term Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 197-199, June.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2003, "The “Dobrescu” Macromodel Of The Romanian Transition Economy – Yearly And Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 200-203, June.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2003, "The Dobrescu Macromodel Of The Romanian Transition Economy – Yearly And Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 135-138, September.
• Darasteanu, Catalin Cristian, 2003, "Delineating Efficient Portfolios And Forecasting The Conditional Variance: The Case Of The Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 49-71, September.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2003, "The Dobrescu Macromodel Of The Romanian Transition Economy – Yearly And Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 123-126, December.
• Dobrescu, Emilian, 2003, "Macroeconomic Estimations For The Romanian “Pre-Accession Economic Program” (The 2003 Version)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 23-49, December.
• Albu, Lucian Liviu & Roudoi, Andrei, 2003, "Factors And Mechanisms Of Economic Growth In Transition Economies Of Different Types (Case Of Romania)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 50-64, December.
• Croitoru, Lucian & Tarhoaca, Cornel, 2003, "The Romanian Growth Potential – A Cge Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 7-22, December.
• Scutaru, Cornelia & Iordan, Mioara & Marin, Dinu & Stancu, Stelian & Ciumara, Roxana & Fomin, Petre, 2003, "Annual And Medium-Term Analyses And Forecasts Based On „Dobrescu” Macromodel Of The Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 17-24, December.
• Nicolae, Mariana & Albu, Lucian Liviu & Andrei, Dalina & Stanica, Cristian & Iordan, Mioara, 2003, "Multi - Annual Scenarios Using A Small – Sized Rmsm Type Of Model In Order To Forecast The Main Macroeconomic Indicators In Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 25-31, December.
• Dobrescu, Emilian, 2003, "Possible Evolutions Of The Romanian Economy (Macromodel Estimations)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 32-63, December.
• Albu, Lucian Liviu & Roudoi, Andrei, 2003, "Scenarios Of Economic Development In Romania – Medium To Long-Term Forecasting Models," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 64-77, December.
• Mikhailenko, Kirill, 2003, "Methodology Of Scenario Forecasting Of Russia’S Economic Development," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 78-91, December.
• Scutaru, Cornelia & Pauna, Bianca, 2003, "Modelling The Effects Of Eu Enlargement Using The Budgetary Policy Variables," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 92-110, December.
• Baoline Chen & Peter A. Zadrozny, 2003, "Extended Yule-Walker Estimation and Principal Components Variance Decomposition of a Many-Variable VAR Model to a Few-Factor VARMA Model: Applied to U.S. Macro Data," Computing in Economics and Finance 2003, Society for Computational Economics, number 123, Aug.
• Forni M. & Hallin M., 2003, "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Computing in Economics and Finance 2003, Society for Computational Economics, number 143, Aug.
• Paolo ANGELINI & Paolo DEL GIOVANE, 2003, "Aggregate and disaggregate information in euro-area monetary policy-making," Computing in Economics and Finance 2003, Society for Computational Economics, number 158, Aug.
• Fabrizio Laurini, 2003, "Evaluating the extremal index in GARCH processes through double random walk," Computing in Economics and Finance 2003, Society for Computational Economics, number 175, Aug.
• Michael W. McCracken & Todd E. Clark, 2003, "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Computing in Economics and Finance 2003, Society for Computational Economics, number 183, Aug.
• Victor Solo & Chris Heaton, 2003, "Asymptotic Principal Components Estimation of Large Factor Models," Computing in Economics and Finance 2003, Society for Computational Economics, number 251, Aug.
• J. Huston McCulloch & Prasad V. Bidarkota, 2003, "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003, Society for Computational Economics, number 59, Aug.
• Cees Diks & Svetlana Borovkova, 2003, "Conditional distribution resampling for time series," Computing in Economics and Finance 2003, Society for Computational Economics, number 70, Aug.
• Quan-Hoang Vuong, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 03-013.RS.
• George Kapetanios, 2003, "Threshold models for trended time series," Empirical Economics, Springer, volume 28, issue 4, pages 687-707, November, DOI: 10.1007/s00181-003-0154-8.
• Giot, Pierre & Laurent, Sebastien, 2003, "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, volume 25, issue 5, pages 435-457, September.
• Kilian, Lutz & Taylor, Mark P., 2003, "Why is it so difficult to beat the random walk forecast of exchange rates?," Journal of International Economics, Elsevier, volume 60, issue 1, pages 85-107, May.
• Wallis, Kenneth F., 2003, "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, volume 19, issue 2, pages 165-175.
• Hyndman, Rob J. & Billah, Baki, 2003, "Unmasking the Theta method," International Journal of Forecasting, Elsevier, volume 19, issue 2, pages 287-290.
• Bourassa, Steven C. & Hoesli, Martin & Peng, Vincent S., 2003, "Do housing submarkets really matter?," Journal of Housing Economics, Elsevier, volume 12, issue 1, pages 12-28, March.
• Carlos A. Rodríguez Ramos, 2003, "The P* model as a general identity to analyze and forecast the behavior of the inflation rate in the economy of Puerto Rico," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2003_06, Jul.
• Peñaranda, Francisco, 2003, "Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24857, Jul.
• Montse Martínez & Xavier Torres, 2003, "Riesgo de deflación en EE.UU.: ¿Un temor justificado?," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 52, issue 01, pages 220-245.
• van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-10, Mar.
• Siliverstovs, B. & van Dijk, D.J.C., 2003, "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-16, May.
• Donkers, A.C.D. & Verhoef, P.C. & de Jong, M.G., 2003, "Predicting Customer Lifetime Value in Multi-Service Industries," 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-2003-038-MKT, Apr.
• Franses, Ph.H.B.F., 2003, "On the Bass diffusion theory, empirical models and out-of-sample forecasting," 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-2003-034-MKT, Apr.
• Gorobets, A., 2003, "The Error of Prediction for a Simultaneous Equation Model," 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-2003-080-ORG, Oct.
• Groenen, P.J.F., 2003, "Dynamische Meerdimensionele Schaling: Statistiek op de Kaart," ERIM Inaugural Address 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 304, Mar.
• Michael ARTIS & Ana Beatriz C. GALVÃO & Massimiliano MARCELLINO, 2003, "The transmission mechanism in a changing world," Economics Working Papers, European University Institute, number ECO2003/18.
• Ray Barrel & Dawn Holland & Kateøina Šmídková, 2003, "When to Join the Eurozone: An Empirical Analysis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 53, issue 3-4, pages 98-112, March.
• Ray Barrel & Dawn Holland & Kateøina Šmídková, 2003, "Which Exchange-Rate Regime in the EMU Accession Period: An Empirical Analysis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 53, issue 5-6, pages 243-260, May.
• Matteo Manera & Angelo Marzullo, 2003, "Modelling the Load Curve of Aggregate Electricity Consumption Using Principal Components," Working Papers, Fondazione Eni Enrico Mattei, number 2003.95, Oct.
• Todd E. Clark & Michael W. McCracken, 2003, "The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 03-06.
• Gary Koop & Simon M. Potter, 2003, "Forecasting in large macroeconomic panels using Bayesian Model Averaging," Staff Reports, Federal Reserve Bank of New York, number 163, Mar.
• Robert F. Engle & Giampiero M. Gallo, 2003, "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2003_07, Jul.
• Thierry Foucault & Ailsa Roell & Patrik Sandas, 2003, "Market Making with Costly Monitoring: An Analysis of the SOES Controversy," Post-Print, HAL, number hal-00459778, DOI: 10.1093/rfs/hhg005.
• Itzhak Gilboa & David Schmeidler, 2003, "Inductive Inference: An Axiomatic Approach," Post-Print, HAL, number hal-00481297, Jan, DOI: 10.1111/1468-0262.00388.
• Antoine Auberger & Eric Dubois, 2003, "Situation politico-économique et résultats des élections législatives françaises," Post-Print, HAL, number hal-00800619.
• Hansson, Jesper & Jansson, Per & Löf, Mårten, 2003, "Business Survey Data: Do They Help in Forecasting the Macro Economy?," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 151, Sep.
• Brännäs, Kurt, 2003, "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies, Umeå University, Department of Economics, number 614, Sep.
• Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2003, "Leading Indicators for Euro-area Inflation and GDP Growth," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 235.
• Kunst, Robert M., 2003, "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series, Institute for Advanced Studies, number 130, May.
• Kitamura, Tomiyuki & Koike, Ryoji, 2003, "The Effectiveness of Forecasting Methods Using Multiple Information Variables," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 21, issue 1, pages 105-143, February.
• Bruno Giancarlo & Lupi Claudio, 2003, "Forecasting Euro-Area Industrial Production Using (Mostly) Business Surveys Data," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 33, Mar.
• Trino-Manuel Ñíguez, 2003, "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-33, Sep.
• Antonio Rubia Serrano & Trino-Manuel Ñíguez, 2003, "Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-34, Oct.
• Pierre Giot & Sébastien Laurent, 2003, "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 18, issue 6, pages 641-663, DOI: 10.1002/jae.710.
• Mårten Löf & Johan Lyhagen, 2003, "On seasonal error correction when the processes include different numbers of unit roots," Journal of Forecasting, John Wiley & Sons, Ltd., volume 22, issue 5, pages 377-389, DOI: 10.1002/for.864.
• Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003, "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2003/13, Dec.
• Hilde C. Bjørnland & Håvard Hungnes, 2003, "The importance of interest rates for forecasting the exchange rate," Discussion Papers, Statistics Norway, Research Department, number 340, Feb.
• Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen, 2003, "A linear demand system within a Seemingly Unrelated Time Series Equation framework," Discussion Papers, Statistics Norway, Research Department, number 345, Mar.
• Kurt Brannas & Niklas Nordman, 2003, "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 11, pages 725-728, DOI: 10.1080/1350485032000139015.
• Kurt Brannas & Niklas Nordman, 2003, "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 7, pages 537-541, DOI: 10.1080/0960310022000020889.
• Danilo Mercurio & Costanza Torricelli, 2003, "Estimation and arbitrage opportunities for exchange rate baskets," Applied Economics, Taylor & Francis Journals, volume 35, issue 15, pages 1689-1698, DOI: 10.1080/0003684032000095938.
• Hui Feng & Jia Liu, 2003, "A SETAR model for Canadian GDP: non-linearities and forecast comparisons," Applied Economics, Taylor & Francis Journals, volume 35, issue 18, pages 1957-1964, DOI: 10.1080/0003684032000160674.
• André Lucas & Pieter Klaassen, 2003, "Discrete versus Continuous State Switching Models for Portfolio Credit Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-075/2, Sep, revised 30 Sep 2003.
• Rutger van Oest & Philip Hans Franses, 2003, "Which Brands gain Share from which Brands? Inference from Store-Level Scanner Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-079/4, Oct.
• Schaling, E., 2003, "Learning, Inflation Reduction and Optimal Monetary Policy," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-74.
• Benoit Perron, 2003, "Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff," The Review of Economics and Statistics, MIT Press, volume 85, issue 2, pages 424-443, May.
• C. Paul Hallwood & Ian W. Marsh, 2003, "Exchange Market Pressure on the Pound-Dollar Exchange Rate: 1925-1931," Working papers, University of Connecticut, Department of Economics, number 2003-23, Aug.
• Esther Fernández Galar & Javier Gómez Biscarri, 2003, "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/03, Jan.
• Fabio Canova & Luca Gambetti, 2003, "Structural changes in the US economy: is there a role for monetary policy?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 918, May, revised Apr 2008.
• Marcos Álvarez-Díaz & Alberto Álvarez, 2003, "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0301, Feb.
• Marcos Álvarez-Díaz & Lucy Amigo Dobaño, 2003, "Métodos No-Lineales De Predicción En El Mercado De Valores Tecnológicos En España. Una Verificación De La Hipótesis Débil De Eficiencia," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0303, Mar.
• Pierre Giot, 2003, "The information content of implied volatility in agricultural commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 5, pages 441-454, May.
• Carlos A. Rodríguez Ramos, 2003, "The P* model as a general identity to analyze and forecast the behavior of the inflation rate in the economy of Puerto Rico," Econometrics, University Library of Munich, Germany, number 0302002, Feb.
• Pedro Guedes Carvalho, 2003, "Housing Demand in Portugal," Econometrics, University Library of Munich, Germany, number 0303005, Mar.
• Raffaella Giacomini & Halbert White, 2003, "Tests of Conditional Predictive Ability," Econometrics, University Library of Munich, Germany, number 0308001, Aug.
• Patrick BISCIARI & Alain DURRE & Alain NYSSENS, 2003, "Stock Market Valuation In The United States," Finance, University Library of Munich, Germany, number 0312011, Dec.
• Liew Khim Sen & Ahmad Zubaidi Baharumshah, 2003, "Forecasting Performance of Logistic STAR Exchange Rate Model: The Original and Reparameterised Versions," GE, Growth, Math methods, University Library of Munich, Germany, number 0308001, Aug.
• Godwin Chukwudum Nwaobi, 2003, "Resource Requirements In The Adjustment Process:A Macroeconometric Simulation Study Of The Nigerian Economy," Macroeconomics, University Library of Munich, Germany, number 0307001, Jul.
• Boero, Gianna & Marrocu, Emanuela, 2003, "The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 663.
• Rafal Weron & Michael Bierbrauer & Stefan Trück, 2003, "Modeling electricity prices: jump diffusion and regime switching," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/03/01, DOI: doi:10.1016/j.physa.2004.01.008.
• Schaling, Eric, 2003, "Learning, inflation expectations and optimal monetary policy," Bank of Finland Research Discussion Papers, Bank of Finland, number 20/2003.
• Christoffersen, Peter F. & Diebold, Francis X., 2003, "Financial asset returns, direction-of-change forecasting, and volatility dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/08.
• Danckwerts, Rudolf-Ferdinand & Grossmann, Wolf Dieter & Henne, Wolfgang, 2003, "Entwicklung eines Modells zur Projektion des Wirtschaftswachstums und der langfristigen Nachfrage nach Produktionsfaktoren in Deutschland unter besonderer Berücksichtigung des informationstechnologisc," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 237.
• Antzoulatos, Angelos A. & Wilfling, Bernd, 2003, "Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 223.
• Leitner, Johannes & Schmidt, Robert & Bofinger, Peter, 2003, "Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 39.
• Eberts, Elke, 2003, "The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-36.
• Rammer, Christian & Beise, Marian, 2003, "Local User-Producer Interaction in Innovation and Export Performance of Firms," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-51.

2002

• Dan S. Rickman, 2002, "A Bayesian forecasting approach to constructing regional input-output based employment multipliers," Papers in Regional Science, Springer;Regional Science Association International, volume 81, issue 4, pages 483-498.
• Jo Thori Lind, 2002, "Small continuous surveys and the Kalman filter," Discussion Papers, Statistics Norway, Research Department, number 333, Nov.
• Ben Smit & Le Roux Burrows, 2002, "Estimating potential output and output gaps for the South African economy," Working Papers, Stellenbosch University, Department of Economics, number 05/2002.
• David Giles & Lindsay Tedds & Gugsa Werkneh, 2002, "The Canadian underground and measured economies: Granger causality results," Applied Economics, Taylor & Francis Journals, volume 34, issue 18, pages 2347-2352, DOI: 10.1080/00036840210148021.
• Holger Claessen & Stefan Mittnik, 2002, "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, volume 8, issue 3, pages 302-321, DOI: 10.1080/13518470110074828.
• Eugenie Hol & Siem Jan Koopman, 2002, "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-068/4, Jun.
• Danilov, D.L. & Magnus, J.R., 2002, "Forecast Accuracy after Pretesting with an Application to the Stock Market," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-76.
• Danilov, D.L. & Magnus, J.R., 2002, "Forecast Accuracy after Pretesting with an Application to the Stock Market," Other publications TiSEM, Tilburg University, School of Economics and Management, number cb9b9b63-40a9-4035-924e-d.
• Anirvan Banerji & Pami Dua & Stephen M. Miller, 2002, "Performance Evaluation of the New Connecticut Leading Employment Index Using Lead Profiles and BVAR Models," Working papers, University of Connecticut, Department of Economics, number 2002-34, Oct, revised Jun 2005.
• Massimo Bernaschi & Luca Grilli & Davide Vergni, 2002, "Statistical analysis of fixed income market," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number lg_physa_2002, May, DOI: 10.1016/S0378-4371(02)00590-3.
• Raffaella Giacomini & Andreas Gottschling & Christian Haefke & Halbert White, 2002, "Hypernormal densities," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 638, Sep.
• Xiaohong Chen & Yanqin Fan, 2002, "Evaluating Density Forecasts via the Copula Approach," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0225, Oct, revised Sep 2003.
• Hui Feng & Jia Liu, 2002, "A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons," Econometrics Working Papers, Department of Economics, University of Victoria, number 0206, Oct.
• Marcos Álvarez-Díaz & Alberto Álvarez, 2002, "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0205, May.
• Eric Ghysels & Norman R. Swanson & Myles Callan, 2002, "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, John Wiley & Sons, volume 69, issue 2, pages 239-265, October, DOI: 10.1002/j.2325-8012.2002.tb00491.x.
• Jan Hanousek & Gerard Roland, 2002, "Banking Passivity and Regulatory Failure in Emerging Markets: Theory and Evidence from the Czech republic," Econometrics, University Library of Munich, Germany, number 0203004, Mar.
• Alberto Bagnai & Francesco Carlucci, 2002, "Dynamic paths of the European economy: simulations using an EU aggregate model," Econometrics, University Library of Munich, Germany, number 0206001, Jun.
• Rafiqul Bhuyan, 2002, "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance, University Library of Munich, Germany, number 0211002, Nov.
• Joanna Nowicka-Zagrajek & Rafal Weron, 2002, "Modeling electricity loads in California: ARMA models with hyperbolic noise," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/02, DOI: doi:10.1016/S0165-1684(02)00318-3.
• Raunig, Burkhard & de Raaij, Gabriela, 2002, "Evaluating Density Forecasts with an Application to Stock Market Returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,08.
• Claessen, Holger & Mittnik, Stefan, 2002, "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/04.
• Schröder, Michael & Hüfner, Felix P., 2002, "Forecasting economic activity in Germany: how useful are sentiment indicators?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 02-56.
• David Hojman & Robert F. K. Wynn, 2002, "Superb Forecasting or Self-Fulfilling Prophecy? The Economist on Thailand before the Asian Crisis," Working Papers, University of Liverpool, Department of Economics, number 2002_03.
• Rob J Hyndman & Maxwell L. King & Ivet Pitrun & Baki Billah, 2002, "Local Linear Forecasts Using Cubic Smoothing Splines," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/02, Aug.
• Aureliano Angel Bressan & João Eustáquio de Lima, 2002, "Modelos de previsão de preços aplicados aos contratos futuros de boi gordo na BM&F [Models of price forecasting applied to futures contracts of live cattle at the Brazilian Futures Market - BM&F]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 12, issue 1, pages 117-140, January-J.
• Edda Claus & Iris Claus, 2002, "How many jobs? A leading indicator model of New Zealand employment," Treasury Working Paper Series, New Zealand Treasury, number 02/13, Jun.
• Gabriela de Raaij & Burkhard Raunig, 2002, "Evaluating Density Forecasts with an Application to Stock Market Returns," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 59, Feb.
• Friedrich Fritzer & Gabriel Moser & Johann Scharler, 2002, "Forecasting Austrian HICP and its Components using VAR and ARIMA Models," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 73, Aug.
• Janine Aron & John Muellbauer, 2002, "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," IMF Staff Papers, Palgrave Macmillan, volume 49, issue Special i, pages 185-213.
• Harding, Don, 2002, "The Australian Business Cycle: A New View," MPRA Paper, University Library of Munich, Germany, number 3698, Apr.
• Giles, David E..A. & Tedds, Lindsay M. & Werkneh, Gugsa, 2002, "The Canadian Underground and Measured Economies: Granger Causality Results," MPRA Paper, University Library of Munich, Germany, number 39786.
• Lord, Montague, 2002, "Modeling the Macro-Economy of Bangladesh," MPRA Paper, University Library of Munich, Germany, number 41171, Jan.
• Liew, Venus Khim-Sen & Baharumshah, Ahmad Zubaidi & Lau, Sie-Hoe, 2002, "Forecasting performance of Logistic STAR exchange rate model: The original and reparameterised versions," MPRA Paper, University Library of Munich, Germany, number 511, Sep.