Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2003

• 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 informationstechnologischen Innovationsprozesses," 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.
• Bilgili, Faik, 2002, "VAR, ARIMA, Üstsel Düzleme, Karma ve İlave-Faktör Yöntemlerinin Özel Tüketim Harcamalarına ait Ex Post Öngörü Başarılarının Karşılaştırılması
  [A Comparison of Ex-Post Forecast Accuracies for VAR, ARIMA, Exponential Smoothing, Combining and Add-Fac," MPRA Paper, University Library of Munich, Germany, number 75536, revised 2002.
• Chikhi, Mohamed & Terraza, Michel, 2002, "Un essai de prévision non paramétrique de l'action France Télécom
  [A nonparametric prediction test of the France Telecom stock proces]," MPRA Paper, University Library of Munich, Germany, number 77268, revised Dec 2003.
• Chris Brooks & Apostolos Katsaris, 2002, "Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-04, Mar.
• Chris Brooks & Apostolos Katsaris, 2002, "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-14, Apr.
• Wenda Zhang & Juzhong Zhuang, 2002, "Leading Indicators of Business Cycles in Malaysia and the Philippines," ADB Economics Working Paper Series, Asian Development Bank, number 32, Dec.
• Jong Eun Lee & Jong-Wha Lee, 2002, "China’s Accession to the World Trade Organization: Implications for the Korean Economy," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 133-152.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2002, "The “Dobrescu” Macromodel Of The Romanian Transition Economy – Yearly And Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 117-119, March.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2002, "The "Dobrescu" Macromodel Of The Romanian Transition Economy* - Yearly And Monthly Forecast - April 2002 Version," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 84-87, June.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2002, "The "Dobrescu" Macromodel Of The Romanian Transition Economy* -Yearly And Monthly Forecast - September 2002 Version," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 147-148, December.
• Dobrescu, Emilian, 2002, "Introduction into Macroeconomic Modeling Foundations," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 39-88, December.
• Dobrescu, Emilian, 2002, "Macromodel Estimation for the Romanian "Pre-Accession Economic Programme"," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 5-38, December.
• Riaz Riazuddin & Mahmood ul Hasan Khan, 2002, "Detection and Forecasting of Islamic Calendar Effects in Time series Data," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 02, Jan.
• A. Sfetsos & C. Siriopoulos, 2002, "A hybrid clustering scheme for time series forecasting," Computing in Economics and Finance 2002, Society for Computational Economics, number 17, Jul.
• Nuno Almeida & Pedro Valls Pereira, 2002, "Switching Regime Models: applications to trading rules," Computing in Economics and Finance 2002, Society for Computational Economics, number 175, Jul.
• Anatoly Naumov & Nikolay Khodusov, 2002, "Investigations Of The Npv^ - Method For Investment Projects," Computing in Economics and Finance 2002, Society for Computational Economics, number 194, Jul.
• Sarno, Lucio & Valente, Giorgio, 2002, "Comparing the Accuracy of Density Forecasts from Competing Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 223, Jul.
• Frédéric Karamé & Lise Patureau & Thepthida Sopraseuth, 2002, "Can We Beat the Random Walk Forecasts of Out-of-Sample Exchange Rates? A Structural Approach," Computing in Economics and Finance 2002, Society for Computational Economics, number 233, Jul.
• Alvaro Veiga & Leonardo Souza, 2002, "A Multi-Factor Model with Irregular Returns for missing values imputation in emergent markets: Application to Brazilian Equity Data," Computing in Economics and Finance 2002, Society for Computational Economics, number 280, Jul.
• Vladimiro Ceci, & Simone Manganelli & Walter Vecchiato, 2002, "Sensitivity Analysis of GARCH Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 31, Jul.
• Lynda Khalaf & Maral Kichian, 2002, "Exact Testing of the Stability of the Phillips Curve," Computing in Economics and Finance 2002, Society for Computational Economics, number 321, Jul.
• Svetlana Borovkova, 2002, "Nonlinear models for financial time series with multiple attraction regions," Computing in Economics and Finance 2002, Society for Computational Economics, number 322, Jul.
• Dirk Helbing & Martin Sch, 2002, "Strategies for Optimal Decision Guidance through Information Services," Computing in Economics and Finance 2002, Society for Computational Economics, number 333, Jul.
• Pierre Giot & Sébastien Laurent, 2002, "Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 52, Jul.
• Franc Klaassen, 2002, "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, volume 27, issue 2, pages 363-394.
• Ronald Bewley & Denzil G. Fiebig, 2002, "On the herding instinct of interest rate forecasters," Empirical Economics, Springer, volume 27, issue 3, pages 403-425.
• J. Z. Easaw & S. M. Heravi & J. C. K. Ash & D. J. Smyth, 2002, "Are Hodrick-Prescott `forecasts' rational?," Empirical Economics, Springer, volume 27, issue 4, pages 631-643.
• Gunnar Bardsen & Eilev Jansen & Ragnar Nymoen, 2002, "Model Specification and Inflation Forecast Uncertainty," Annals of Economics and Statistics, GENES, issue 67-68, pages 495-517.
• Víctor Guerrero, Bernardo Pena, Eva Senra y Alejandro Alegría, 2002, "Pronósticos restringidos de series temporales económicas múltiples para el seguimiento de metas por lograr. El caso de la inflación y el PIB de México," Doctorado en Economía- documentos de trabajo, Programa de doctorado en Economía. Universidad de Alcalá., number 6/02, Feb.
• Marwan Chacra, 2002, "Oil-Price Shocks and Retail Energy Prices in Canada," Staff Working Papers, Bank of Canada, number 02-38, DOI: 10.34989/swp-2002-38.
• Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2002, "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Working Papers, Banco de España, number 0211, May.
• Roberta Zizza, 2002, "Forecasting the industrial production index for the euro area through forecasts for the main countries," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 441, Mar.
• Filippo Altissimo & Eugenio Gaiotti & Alberto Locarno, 2002, "Is money informative? Evidence form a large model used for policy analysis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 445, Jul.
• Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002, "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 456, Dec.
• Libero Monteforte & Stefano Siviero, 2002, "The economic consequences of euro area modelling shortcuts," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 458, Dec.
• Diebold, Francis X & Mariano, Roberto S, 2002, "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 1, pages 134-144, January.
• Ang, Andrew & Bekaert, Geert, 2002, "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 2, pages 163-182, April.
• Raffaella Giacomini & Clive W.J. Granger, 2002, "Aggregation of Space-Time Processes," Boston College Working Papers in Economics, Boston College Department of Economics, number 582, Jul.
• Raffaella Giacomini, 2002, "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," Boston College Working Papers in Economics, Boston College Department of Economics, number 583, Jun.
• Raffaella Giacomini & Andreas Gottschling & Christian Haefke & Halbert White, 2002, "Hypernormal Densities," Boston College Working Papers in Economics, Boston College Department of Economics, number 584, Sep.
• Ippei Fujiwara & Maiko Koga, 2002, "A Statistical Forecasting Method for Inflation Forecasting," Bank of Japan Working Paper Series, Bank of Japan, number Research and Statistics D, Jul.
• Caroline Armand-Balmat, 2002, "Comportement du consommateur et produits biologiques : le consentement à payer pour la caractéristique biologique," Revue d'économie politique, Dalloz, volume 112, issue 1, pages 33-46.
• Wright, S.M. & Satchell, S.E., 2002, "Generalised Mean-Variance Analysis and Robust Portfolio Diversification," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0201, Jan.
• Peter Christoffersen & Francis X. Diebold, 2002, "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers, CIRANO, number 2002s-02, Jan.
• John W. Galbraith & Turgut Kisinbay, 2002, "Information Content of Volatility Forecasts at Medium-term Horizons," CIRANO Working Papers, CIRANO, number 2002s-21, Feb.
• Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002, "Alternative Models for Stock Price Dynamics," CIRANO Working Papers, CIRANO, number 2002s-58, Jun.
• Itzhak Gilboa & David Schmeidler, 2002, "Inductive Inference: An Axiomatic Approach," Levine's Working Paper Archive, David K. Levine, number 391749000000000544, May.
• Itzhak Gilboa & David Schmeidler, 2002, "Inductive Inference: An Axiomatic Approach," NajEcon Working Paper Reviews, www.najecon.org, number 391749000000000544, May.
• G. Boero & E. Marrocu, 2002, "The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200208.
• Peter B. Dixon & K.R. Pearson & Mark R. Picton & Maureen T. Rimmer, 2002, "Rational Expectations for Large Models: A Practical Algorithm and a Policy Application," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number ip-81, May.
• GIOT, Pierre, 2002, "The information content of implied volatility in agricultural commodity markets," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002038, Jun.
• Artis, Michael & Banerjee, Anindya & Marcellino, Massimiliano, 2002, "Factor Forecasts for the UK," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3119, Jan.
• Roland, Gérard & Hanousek, Jan, 2002, "Banking Passivity and Regulatory Failure in Emerging Markets: Theory and Evidence from the Czech Republic," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3122, Jan.
• Anderson, Kym & Norman, David, 2002, "Globalization of the Worlds Wine Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3169, Jan.
• Marcellino, Massimiliano & Corielli, Francesco, 2002, "Factor Based Index Tracking," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3265, Mar.
• Marcellino, Massimiliano, 2002, "Instability and Non-Linearity in the EMU," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3312, Apr.
• Marcellino, Massimiliano, 2002, "Forecast Pooling for Short Time Series of Macroeconomic Variables," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3313, Apr.
• Marcellino, Massimiliano, 2002, "Forecasting EMU Macroeconomic Variables," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3529, Oct.
• Muellbauer, John & Aron, Janine, 2002, "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3595, Oct.
• Janine Aron & John Muellbauer, 2002, "Interest rate effects on output: evidence from a GDP forecasting model for South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2002-04.
• Onatski, Alexei & Stock, James H., 2002, "Robust Monetary Policy Under Model Uncertainty In A Small Model Of The U.S. Economy," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 1, pages 85-110, February.
• Kaushik Bhattacharya & Himanshu Joshi, 2002, "An Almon Approximation of the Day of the Month Effect in Currency in Circulation," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 37, issue 2, pages 163-174, July.
• Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002, "Alternative Models for Stock Price Dynamic," Working Papers, Duke University, Department of Economics, number 02-03.
• Rossi, Barbara, 2002, "Optimal Tests for Nested Model Selection with Underlying Parameter Instability," Working Papers, Duke University, Department of Economics, number 02-05.
• Cabrero, Alberto & Camba-Méndez, Gonzalo & Hirsch, Astrid & Nieto, Fernando, 2002, "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Working Paper Series, European Central Bank, number 142, May.
• Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002, "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series, European Central Bank, number 194, Nov.
• Wallis, Kenneth F., 2002, "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 181, Aug.
• Garratt, Anthony & Kevin Lee & M Hashem Pesaran & Yongcheol Shin, 2002, "Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 82, Aug.
• Øyvind Eitrheim & Eilev S. Jansen & Ragnar Nymoen, 2002, "Progress from forecast failure -- the Norwegian consumption function," Econometrics Journal, Royal Economic Society, volume 5, issue 1, pages 40-64, June.
• Louberge, Henri & Villeneuve, Stephane & Chesney, Marc, 2002, "Long-term risk management of nuclear waste: a real options approach," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 1, pages 157-180, November.
• Vahid, Farshid & Issler, Joao Victor, 2002, "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, volume 109, issue 2, pages 341-363, August.
• Bystrom, Hans N. E., 2002, "Using simulated currency rainbow options to evaluate covariance matrix forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 12, issue 3, pages 216-230, July.
• Lof, Marten & Lyhagen, Johan, 2002, "Forecasting performance of seasonal cointegration models," International Journal of Forecasting, Elsevier, volume 18, issue 1, pages 31-44.
• Snyder, Ralph D. & Koehler, Anne B. & Ord, J. Keith, 2002, "Forecasting for inventory control with exponential smoothing," International Journal of Forecasting, Elsevier, volume 18, issue 1, pages 5-18.
• Hyndman, Rob J. & Koehler, Anne B. & Snyder, Ralph D. & Grose, Simone, 2002, "A state space framework for automatic forecasting using exponential smoothing methods," International Journal of Forecasting, Elsevier, volume 18, issue 3, pages 439-454.
• Stark, Tom & Croushore, Dean, 2002, "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, volume 24, issue 4, pages 507-531, December.
• Sbordone, Argia M., 2002, "Prices and unit labor costs: a new test of price stickiness," Journal of Monetary Economics, Elsevier, volume 49, issue 2, pages 265-292, March.
• Bernaschi, Massimo & Grilli, Luca & Vergni, Davide, 2002, "Statistical analysis of fixed income market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 308, issue 1, pages 381-390, DOI: 10.1016/S0378-4371(02)00590-3.
• Joshua C C Chan & Gary Koop & Simon M Potter, 2012, "A New Model of Trend Inflation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-08, Feb.
• Blake, David, 2002, "The impact of wealth on consumption and retirement behaviour in the UK," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24949, Oct.
• Steven C. BOURASSA & Martin HOESLI & Vincent S. PENG, 2002, "Do Housing Submarkets Really Matter?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp58, Nov.
• Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi, 2002, "GARCH-based Volatility Forecasts for Market Volatility Indices," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_06, Feb.
• Alessandro Rossi & Giampiero M. Gallo, 2002, "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_14, Jun.
• Sfetsos, A. & Siriopoulos, C., 2002, "Artificial Intelligent Based Time Series Forecasting Of Stock Prices Using Digital Filters," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 29-44, May.
• Itzhak Gilboa & David Schmeidler, 2002, "Cognitive Foundations of Probability," Post-Print, HAL, number hal-00752283, Feb, DOI: 10.1287/moor.27.1.65.330.
• Henri Loubergé & Stéphane Villeneuve & Marc Chesney, 2002, "Long-Term Risk Management of Nuclear Waste: A Real Options Approach," Working Papers, HAL, number hal-00594373.
• Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002, "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-14, May.
• Rech, Gianluigi, 2002, "Forecasting with artificial neural network models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 491, Feb.
• Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002, "Common factors in conditional distributions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 515, Nov.
• Jacobson, Tor & Karlsson, Sune, 2002, "Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 138, Aug.
• Tihomir Stučka, 2002, "A Comparison of Two Econometric Models (OLS and SUR) for Forecasting Croatian Tourism Arrivals," Working Papers, The Croatian National Bank, Croatia, number 8, Jul.
• Jumah, Adusei & Kunst, Robert M., 2002, "On Mean Reversion in Real Interest Rates: An Application of Threshold Cointegtation," Economics Series, Institute for Advanced Studies, number 109, Jan.
• Krylova, Elizaveta, 2002, "The Credit Channel of Monetary Policy. Case of Austria," Economics Series, Institute for Advanced Studies, number 111, Feb.
• Víctor M. Guerrero, 2002, "Pronósticos Con Restricciones En Series De Tiempo Univariadas: Aplicación Al Seguimiento Del Pib De Mexico En 2001," 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 1, issue 1, pages 15-38, Marzo 200.
• Ángel León & Antonio Rubia, 2002, "Forecasting Time-Varying Covariance Matrices In Intradaily Electricity Spot Prices," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-10, Jul.
• Paz Rico Belda, 2002, "¿Sigue El Tipo De Cambio Real Un Proceso De Ajuste No Lineal Hacia El Equilibrio? Evidencia Para El Tipo De Cambio Euro-Dólar," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-26, Oct.
• Maximo Camacho & Gabriel Perez-Quiros, 2002, "This is what the leading indicators lead," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 1, pages 61-80.
• Hüfner Felix P. & Schröder Michael, 2002, "Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen: Ein ökonometrischer Vergleich / Forecasting German industrial Production: An Econometric Comparison of ifo- and ZEW-Business Expectations," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 3, pages 316-336, June, DOI: 10.1515/jbnst-2002-0303.

2001

• Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001, "Testing and comparing Value-at-Risk measures," Journal of Empirical Finance, Elsevier, volume 8, issue 3, pages 325-342, July.
• Fok, Dennis & Franses, Philip Hans, 2001, "Forecasting market shares from models for sales," International Journal of Forecasting, Elsevier, volume 17, issue 1, pages 121-128.
• Dopke, Jorg, 2001, "Macroeconomic forecasts and the nature of economic shocks in Germany," International Journal of Forecasting, Elsevier, volume 17, issue 2, pages 181-201.
• Koehler, Anne B. & Snyder, Ralph D. & Ord, J. Keith, 2001, "Forecasting models and prediction intervals for the multiplicative Holt-Winters method," International Journal of Forecasting, Elsevier, volume 17, issue 2, pages 269-286.
• Lof, Marten & Hans Franses, Philip, 2001, "On forecasting cointegrated seasonal time series," International Journal of Forecasting, Elsevier, volume 17, issue 4, pages 607-621.
• Hidalgo, Javier & Yajima, Y., 2001, "Prediction and signal extraction of strong dependent processess in the frequency domain," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6859, Jun.
• Bioch, J.C. & Popova, V., 2001, "Bankruptcy Prediction with Rough Sets," 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-2001-11-LIS, Feb.
• Moerman, G.A., 2001, "Unpredictable After All? A short note on exchange rate predictability," 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-2001-29-F&A, May.
• Michael ARTIS & Anindya BANERJEE & Massimiliano MARCELLINO, 2001, "Factor Forecasts for the UK," Economics Working Papers, European University Institute, number ECO2001/15.
• Pascal Jacquinot & Ferhat Mihoubi, 2001, "Modèle à Anticipations Rationnellesde la COnjoncture Simulée : MARCOS," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 01-20.
• Jan Hanousek & Jiri Podpiera, 2001, "Detection of Bank Failures in Transition Economies: The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 5, pages 264-278, May.
• Vahid, Farshid & Issler, João Victor, 2001, "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 417, Apr.
• Marcelle Chauvet & Simon M. Potter, 2001, "Recent changes in the U.S. business cycle," Staff Reports, Federal Reserve Bank of New York, number 126.