Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2002

• 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.
• Dean Croushore & Tom Stark, 2001, "Forecasting with a real-time data set for macroeconomists," Working Papers, Federal Reserve Bank of Philadelphia, number 01-10.
• Bentzen, J. & Linderoth, H., 2001, "Has the accuracy of energy demand projections in the OECD countries improved since the 1970s?," Papers, Aarhus School of Business - Department of Economics, number 01-5.
• Neophytou, E. & Molinero, C.M., 2001, "Predicting Corporate Failure in the UK: A Multidimensional Scaling Approach," Papers, University of Southampton - Department of Accounting and Management Science, number 01-172.
• Karen Cabos & Nikolaus A. Siegfried, 2001, "Controlling Inflation in Euroland," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20102, Feb.
• Bentzen, Jan & Linderoth, Hans, 2001, "Has the accuracy of energy demand projections in the OECD countries improved since the 1970s?," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 01-5, Jan.
• Koskinen, Lasse & Öller, Lars-Erik, 2001, "A Classifying Procedure for Signaling Turning Points," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 427, Feb.
• Byström, Hans, 2001, "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers, Lund University, Department of Economics, number 2001:18, Oct.
• Byström, Hans, 2001, "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers, Lund University, Department of Economics, number 2001:19, Oct.
• Brännäs, Kurt & Nordman, Niklas, 2001, "An Alternative Conditional Asymmetry Specification for Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 556, Apr.
• Brännäs, Kurt & Nordman, Niklas, 2001, "Conditional Skewness Modelling for Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 562, Jun.
• Jumah, Adusei & Kunst, Robert M., 2001, "The Effects of Exchange-Rate Exposures on Equity Asset Markets," Economics Series, Institute for Advanced Studies, number 94, Jan.
• Hansen, Lars-Peter & Sargent, Thomas-J, 2001, "Acknowledgement Misspecification in Macroeconomic Theory," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 19, issue S1, pages 213-227, February.
• N. Vijayamohanan Pillai, 2001, "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 312, Feb.
• Bruno Giancarlo & Lupi Claudio, 2001, "Forecasting Industrial Production and the Early Detection of Turning POints," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 20, Jun.
• Jushan Bai & Serena Ng, 2001, "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 467, Oct.
• Jushan Bai & Serena Ng, 2001, "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 469, Dec.
• Banerjee, Anurag N, 2001, "Sensitivity of Univariate AR(1) Time-Series Forecasts Near the Unit Root," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 3, pages 203-229, April.
• Jaewoon Koo & Seungjun Lee, 2001, "Volatility Forecasting Models for The Won-Dollar Exchange Rate," Korean Economic Review, Korean Economic Association, volume 17, pages 253-269.
• Benedek, Gábor, 2001, "Evolúciós alkalmazások előrejelzési modellekben II
  [Evolutionary applications in forecasting models, Part II]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 1, pages 18-30.
• Frank T. Denton & Christine H. Feaver & Byron G. Spencer, 2001, "Time Series Properties and Stochastic Forecasts: Some Econometrics of Mortality from the Canadian Laboratory," Quantitative Studies in Economics and Population Research Reports, McMaster University, number 360, Jun.
• Frank T. Denton & Christine H. Feaver & Byron G. Spencer, 2001, "Time Series Properties and Stochastic Forecasts: Some Econometrics of Mortality from the Canadian Laboratory," Social and Economic Dimensions of an Aging Population Research Papers, McMaster University, number 45, Jun.
• Lutz Kilian & Mark P. Taylor, 2001, "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers, Research Seminar in International Economics, University of Michigan, number 464.
• Hyndman, R.J. & Koehler, A.B. & Ord, J.K. & Snyder, R.D., 2001, "Prediction Intervals for Exponential Smoothing State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/01, Dec.
• Vahid, F. & Issler, J.V., 2001, "The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/01, Mar.
• Hyndman, R.J. & Billah, B., 2001, "Unmasking the Theta Method," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/01, Jun.
• Michael P. Clements & David F. Hendry, 2001, "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, number 0262531895, edition 1, ISBN: ARRAY(0x8b58dcb0), December.
• Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2001, "Modelling Wages and Prices in Australia," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 1202, Nov, revised 30 Sep 2005.
• David Rae & David Turner, 2001, "A Small Global Forecasting Model," OECD Economics Department Working Papers, OECD Publishing, number 286, Feb, DOI: 10.1787/628640803664.
• Adusei Jumah, 2001, "The effects of dollar-sterling exchange rate volatility on futures markets for coffee and cocoa," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, volume 28, issue 3, pages 307-328, October.
• Harding, Don & Pagan, Adrian, 2001, "Extracting, Using and Analysing Cyclical Information," MPRA Paper, University Library of Munich, Germany, number 15, Aug.
• Iqbal, Javed, 2001, "Forecasting methods: a comparative analysis," MPRA Paper, University Library of Munich, Germany, number 23856, revised 2001.
• Dobrescu, Emilian, 2001, "Updated scenarios for the Romanian economy medium-term dynamics," MPRA Paper, University Library of Munich, Germany, number 35792, Nov.
• Dobrescu, Emilian, 2001, "Macromodel estimations for the Romanian "pre-accession economic programme," MPRA Paper, University Library of Munich, Germany, number 35793.
• Dobrescu, Emilian, 2001, "Evoluţia macromodelului economiei româneşti de tranzitie
  [The evolution of the Romanian model for the transition economy]," MPRA Paper, University Library of Munich, Germany, number 35798.
• Lord, Montague, 2001, "Macroeconomic Policies for Poverty Reduction in Cambodia," MPRA Paper, University Library of Munich, Germany, number 41174, May.
• Bilgili, Faik, 2001, "ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması
  [A comparison of VAR and ARIMA Models’ forecasting accuracies]," MPRA Paper, University Library of Munich, Germany, number 75609.
• Chris Brooks & Melvin J. Hinich, 2001, "A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-04, Jul.
• Albu, Lucian Liviu & Pelinescu, Elena, 2001, "Short-Term Forecasting For 6 Macroeconomic Indicators: Inflation Dynamics Allows For The Preparation For The Strong Leu," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 140-144, June.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2001, "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 145-148, June.
• Albu, Lucian Liviu & Pelinescu, Elena, 2001, "Short-Term Forecasting Of Six Macroeconomic Indicators," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 117-119, December.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2001, "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 120-121, December.
• Asmara Jamaleh, 2001, "Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio," Rivista di Politica Economica, SIPI Spa, volume 91, issue 2, pages 79-132, February.
• Patrik Gustavsson & Jonas Nordström, 2001, "The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows," Tourism Economics, , volume 7, issue 2, pages 117-133, June, DOI: 10.5367/000000001101297766.
• Tom Stark and Dean Croushore, 2001, "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001, Society for Computational Economics, number 258, Apr.
• Roel Oomen, 2001, "Using High Frequency Data to Calculate, Model and Forecast Realized Volatility," Computing in Economics and Finance 2001, Society for Computational Economics, number 75, Apr.
• Pierre Giot and S»bastien Laurent, 2001, "Value-At-Risk For Long And Short Trading Positions," Computing in Economics and Finance 2001, Society for Computational Economics, number 94, Apr.
• Jack M. Mintz & Thomas A. Wilson, 2001, "Taxes, Efficiency and Economic Growth," The State of Economics in Canada: Festschrift in Honour of David Slater, Centre for the Study of Living Standards, in: Patrick Grady & Andrew Sharpe, "The State of Economics in Canada: Festschrift in Honour of David Slater".
• Emil Stavrev, 2001, "A small continuous time macro-econometric model of the Czech Republic," Empirical Economics, Springer, volume 26, issue 4, pages 673-705.
• Michael Fertig, 2001, "The economic impact of EU-enlargement: assessing the migration potential," Empirical Economics, Springer, volume 26, issue 4, pages 707-720.
• Arvid Raknerud, 2001, "A State Space Approach for Estimating VAR Models for Panel Data with Latent Dynamic Components," Discussion Papers, Statistics Norway, Research Department, number 295, Mar.
• Lutz Kilian & Mark P. Taylor, 2001, "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-031/4, Mar.
• Uhlig, H.F.H.V.S., 2001, "Did the FED Surprise the Markets in 2001? A Case Study for Vars with Sign Restrictions," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-88.
• van Mierlo, J.G.A., 2001, "Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 014, Jan, DOI: 10.26481/umamet.2001014.
• Giot, P. & Laurent, S.F.J.A., 2001, "Modelling daily value-at-risk using realized volatility and arch type models," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 026, Jan, DOI: 10.26481/umamet.2001026.
• Vanbergeijk, Peter A.G. & Berk, Jan Marc, 2001, "European Monetary Union, the term structure, and the Lucas Critique," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0013.
• Jan Hanousek & Gerard Roland, 2001, "Banking Passivity And Regulatory Failure In Emerging Markets: Theory And Evidence From The Czech Republic," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 424, Jul.
• Pierre L. Siklos & Andrew G. Barton, 2001, "Monetary aggregates as indicators of economic activity in Canada: empirical evidence," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 34, issue 1, pages 1-17, February, DOI: 10.1111/0008-4085.00059.
• Giancarlo Bruno & Claudio Lupi, 2001, "Forecasting Industrial Production and the Early Detection of Turning Points," Econometrics, University Library of Munich, Germany, number 0110004, Oct.
• Atanasios Mitropoulos, 2001, "On the Measurement of the Predictive Success of Learning Theories in Repeated Games," Experimental, University Library of Munich, Germany, number 0110001, Oct.
• Marschinski, Robert & Matassini, Lorenzo, 2001, "Financial markets as a complex system: A short time scale perspective," Research Notes, Deutsche Bank Research, number 01-4.
• Mercurio, Danilo & Torricelli, Costanza, 2001, "Estimation and arbitrage opportunities for exchange rate baskets," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,37.
• Uhlig, Harald, 2001, "Did the Fed surprise the markets in 2001? A case study for VARs with sign restrictions," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,98.
• Hüfner, Felix P. & Schröder, Michael, 2001, "Unternehmens- versus Analystenbefragungen: Zum Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 01-04.
• Gary Chamberlain, 2001, "Minimax Estimation and Forecasting in a Stationary Autoregression Model," American Economic Review, American Economic Association, volume 91, issue 2, pages 55-59, May.
• Jesper Linde, 2001, "Testing for the Lucas Critique: A Quantitative Investigation," American Economic Review, American Economic Association, volume 91, issue 4, pages 986-1005, September.
• Anderson, Kym, 2001, "Where In The World Is The Wine Industry Going?," 2001 Conference (45th), January 23-25, 2001, Adelaide, Australia, Australian Agricultural and Resource Economics Society, number 125531, Jan, DOI: 10.22004/ag.econ.125531.
• Wittwer, Glyn & Berger, Nicholas & Anderson, Kym, 2001, "Modelling the World Wine Market to 2005: Impacts of Structural and Policy Changes," 2001 Conference (45th), January 23-25, 2001, Adelaide, Australia, Australian Agricultural and Resource Economics Society, number 171982, Jan, DOI: 10.22004/ag.econ.171982.
• McCracken,M.W. & West,K.D., 2001, "Inference about predictive ability," Working papers, Wisconsin Madison - Social Systems, number 14.
• Fuchun Li & Greg Tkacz, 2001, "Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods," Staff Working Papers, Bank of Canada, number 01-12, DOI: 10.34989/swp-2001-12.
• Fabio Busetti, 2001, "The use of preliminary data in econometric forecasting: an application with the Bank of Italy Quarterly Model," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 437, Dec.
• Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001, "Diffusion index-based inflation forecasts for the euro area," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Empirical studies of structural changes and inflation".
• Gabriele Galati & Peter Heemeijer & Richhild Moessner, 2011, "How do inflation expectations form? New insights from a high-frequency survey," BIS Working Papers, Bank for International Settlements, number 349, Jul.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers, Bank for International Settlements, number 374, Mar.
• Francois Chesnay & Eric Jondeau, 2001, "Does Correlation Between Stock Returns Really Increase During Turbulent Periods?," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 30, issue 1, pages 53-80, February.
• Karen Cabos & Michael Funke & Nikolaus A. Siegfried, 2001, "Some Thoughts on Monetary Targeting vs. Inflation Targeting," German Economic Review, Verein für Socialpolitik, volume 2, issue 3, pages 219-238, August, DOI: 10.1111/1468-0475.00035.
• Peter A. G. Van Bergeijk & Jan Marc Berk, 2001, "European Monetary Union, the Term Structure, and the Lucas Critique," Kyklos, Wiley Blackwell, volume 54, issue 4, pages 547-556, November, DOI: 10.1111/1467-6435.00169.
• Marcelle Chauvet & Simon Potter, 2001, "Recent Changes in the US Business Cycle," Manchester School, University of Manchester, volume 69, issue 5, pages 481-508, October, DOI: 10.1111/1467-9957.00266.
• Jushan Bai & Serena Ng, 2001, "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics, Boston College Department of Economics, number 518, Oct.
• Jushan Bai & Serena Ng, 2001, "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics, Boston College Department of Economics, number 519, Dec.
• Cabos Karen & Funke Michael & Siegfried Nikolaus A., 2001, "Some Thoughts on Monetary Targeting vs. Inflation Targeting," German Economic Review, De Gruyter, volume 2, issue 3, pages 219-238, August, DOI: 10.1111/1468-0475.00035.
• Darsinos, T. & Satchell, S.E., 2001, "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0116, Nov.
• Pami Dua & Anirvan Banerji, 2001, "A Leading Index for the Indian Economy," Working papers, Centre for Development Economics, Delhi School of Economics, number 90, Mar.
• Javier Hidalgo & Yoshihiro Yajima, 2001, "Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 418, Jun.
• Jan Hanousek & Gerard Roland, 2001, "Banking Passivity and Regulatory Failure in Emerging Markets: Theory and Evidence from the Czech Republic," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp192, Nov.
• Hans-Werner Sinn & Gebhard Flaig & Martin Werding & Sonja Munz & Nicola Düll & Herbert Hofmann, 2001, "EU enlargement and labour-force migration: Proposals for a gradual convergence of labour markets," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 2, October.
• Chang Woon Nam & Rüdiger Parsche & Bettina Reichl, 2001, "Municipal finance and governance in Poland, the Slovak Republic, the Czech Republic, and Hungary," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 2.
• Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001, "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers, CIRANO, number 2001s-03, Jan.
• Marc Brisson & Bryan Campbell & John W. Galbraith, 2001, "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers, CIRANO, number 2001s-46, Jul.
• Pierre L. Siklos & Andrew G. Barton, 2001, "Monetary aggregates as indicators of economic activity in Canada: empirical evidence," Canadian Journal of Economics, Canadian Economics Association, volume 34, issue 1, pages 1-17, February.
• G. Boero & E. Marrocu, 2001, "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200110.
• Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001, "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," Borradores de Investigación, Universidad del Rosario, number 2737, Oct.
• Elsa M. Castro Franco, 2001, "Algunos tópicos econométricos de interés: Series de tiempo, pronósticos, no linealidad," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia.
• GIOT, Pierre & LAURENT, Sébastien, 2001, "Value-at-risk for long and short trading positions," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001022, Apr.
• Taylor, Mark & Kilian, Lutz, 2001, "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3024, Oct.
• Cheng Hsiao & J. S. Chen & Li Gan & R. B. Williamson, 2001, "An Econometric Study of the Residential Demand for Non-Listed, Non-Published, and Special Non-Published Services," Annals of Economics and Finance, Society for AEF, volume 2, issue 1, pages 165-185, May.
• Soosung Hwang & John Knight & Stephen E. Satchell, 2001, "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions," Annals of Economics and Finance, Society for AEF, volume 2, issue 1, pages 187-213, May.
• Micheal P. Niemira, 2001, "An AHP-Based Composite Cyclical-Performance Index," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 36, issue 1, pages 241-250, January.
• CHESNEY, Marc & LOUBERGE, Henri & VILLENEUVE, Stéphane, 2001, "Long-term risk management of nuclear waste : a real options approach," HEC Research Papers Series, HEC Paris, number 767, Apr.
• Henry, Jérôme & Mestre, Ricardo & Backé, Peter, 2001, "Diffusion index-based inflation forecasts for the euro area," Working Paper Series, European Central Bank, number 61, Apr.
• Wallis, Kenneth F., 2001, "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series, European Central Bank, number 83, Nov.
• Beeby, Mike & Hall, Stephan George & Henry, Brian S., 2001, "Rational expectations and near rational alternatives: How best to form expectations," Working Paper Series, European Central Bank, number 86, Nov.
• Kilian, Lutz & Taylor, Mark P., 2001, "Why is it so difficult to beat the random walk forecast of exchange rates?," Working Paper Series, European Central Bank, number 88, Nov.
• Michael P. Clements & David F.Hendry, 2001, "Forecasting with difference-stationary and trend-stationary models," Econometrics Journal, Royal Economic Society, volume 4, issue 1, pages 1-19.
• Michael Artis & Massimiliano Marcellino, 2001, "Fiscal forecasting: The track record of the IMF, OECD and EC," Econometrics Journal, Royal Economic Society, volume 4, issue 1, pages 20-36.
• Athony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001, "Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 64, Dec.
• Buscher, Herbert S. & Buslei, Hermann & Goggelmann, Klaus & Koschel, Henrike & Schmidt, Tobias F. N. & Steiner, Viktor & Winker, Peter, 2001, "Empirical macro models under test. A comparative simulation study of the employment effects of a revenue neutral cut in social security contributions," Economic Modelling, Elsevier, volume 18, issue 3, pages 455-474, August.
• Phillips, Peter C. B., 2001, "Trending time series and macroeconomic activity: Some present and future challenges," Journal of Econometrics, Elsevier, volume 100, issue 1, pages 21-27, January.
• West, Kenneth D., 2001, "Encompassing tests when no model is encompassing," Journal of Econometrics, Elsevier, volume 105, issue 1, pages 287-308, November.
• Bajo-Rubio, Oscar & Sosvilla-Rivero, Simon & Fernandez-Rodriguez, Fernando, 2001, "Asymmetry in the EMS: New evidence based on non-linear forecasts," European Economic Review, Elsevier, volume 45, issue 3, pages 451-473, March.

2000

• Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, 2000, "Technical Analysis In Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 00-02, Sep.
• M. Bernaschi & L. Grilli & L. Marangio & S. Succi & D. Vergni, 2000, "Statistical characterization of the fixed income market efficiency," Papers, arXiv.org, number cond-mat/0003025, Mar.
• Schiff, Aaron & Phillips, Peter, 2000, "Forecasting New Zealand's Real GDP," Working Papers, Department of Economics, The University of Auckland, number 186.
• Eva Ortega & Enrique Alberola, 2000, "Transmission of Shocks and Monetary Policy in the Euro Area. An Exercise With NiGEM," Working Papers, Banco de España, number 0010.
• Giorgio Bodo & Roberto Golinelli & Giuseppe Parigi, 2000, "Forecasting Industrial Production in the Euro Area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 370, Mar.
• François Chesnay & Eric Jondeau, 2000, "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers, Banque de France, number 73.
• Pascal Jacquinot & Ferhat Mihoubi, 2000, "Modele a anticipations rationnelles de la conjoncture simulee : MARCOS," Working papers, Banque de France, number 78.