Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

0

• Arne Vogler & Florian Ziel, , "On The Evaluation Of Binary Event Probability Predictions In Electricity Price Forecasting," EWL Working Papers, University of Duisburg-Essen, Chair for Management Science and Energy Economics, number 1911.
• Gamboa, Luis Fernando & Otero, Jesús, 0, "An estimation of the pattern of diffusion of mobile phones: The case of Colombia," Telecommunications Policy, Elsevier, volume 33, issue 10-11, pages 611-620, November.
• Fabio Rumler & Maria Teresa Valderrama, 2007, "Comparing the New Keynesian Phillips Curve with Time Series Models to Forecast Inflation," EcoMod2007, EcoMod, number 23900080, Jul.
• Luca ONORANTE & Gianluigi FERRUCCI & Rebeca JIMÉNEZ-RODRÍGUEZ, 2010, "Food Price Pass-Through in the Euro Area: the Role of Asymmetries and Non-Linearities," EcoMod2010, EcoMod, number 259600125, May.
• Luca ONORANTE & Guglielmo MARIA CAPORALE & Paolo PAESANI, 2010, "Inflation and Inflation Uncertainty in the Euro Area," EcoMod2010, EcoMod, number 259600126, May.
• Geoffrey M. Ducanes & Marie Anne Cagas & Duo Qin & Pilipinas Quising & M. A. Razzaque & Nedelyn Magtibay-Ramos, 2006, "Macroeconomic Effects of Fiscal Policies: Empirical Evidence From Bangladesh, China, Indonesia and the Philippines," EcoMod2006, EcoMod, number 272100020, Jun.
• Stefano SIVIERO & Giovanni VERONESE, 2010, "A Policy-Sensible Core-Inflation Measure for the Euro Area," EcoMod2004, EcoMod, number 330600130, Jan.
• Ulrich THIESSEN, 2010, "Financial System Development, Regulation and Economic Growth: Evidence from Russia," EcoMod2004, EcoMod, number 330600140, Jan.
• VÁRPALOTAI Viktor, 2010, "Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary," EcoMod2003, EcoMod, number 330700148, Jan.
• Jaroslav Pavlicek & Ladislav Kristoufek, 2019, "Modeling UK Mortgage Demand Using Online Searches," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2019/18, Jul, revised Jul 2019.
• Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernado Fernández-Rodríguez, , "Asymmetry in the EMS: New evidence based on non-linear forecasts," Working Papers, FEDEA, number 97-24.
• Fernando Fernández-Rodríguez & Christian González-Martel* & Simón Sosvilla-Rivero, , "On the profitability of technical trading rules based on arifitial neural networks : evidence from the Madrid stock market," Working Papers, FEDEA, number 99-07.
• Simón Sosvilla-Rivero & Julián Andrada-Félix & Fernando Fernández-Rodríguez, , "Further evidence on technical analysis and profitability of foreign exchange intervention," Working Papers, FEDEA, number 99-01.
• Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, , "Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules," Working Papers on International Economics and Finance, FEDEA, number 00-02.
• Thierry Foucalt & Ailsa Roell & Patrik Sandas, , "Imperfect Market Monitoring and SOES Trading," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 15-99.
• Dario Sansone, 2017, "Beyond Early Warning Indicators: High School Dropout and Machine Learning," Working Papers, Georgetown University, Department of Economics, number gueconwpa~17-17-09, Dec.
• Gary Koop & Dimitris Korobilis, , "A new index of financial conditions," Working Papers, Business School - Economics, University of Glasgow, number 2013_06.
• Jason West, , "2012-05 Financial literacy learning in emerging markets: Agent-based modeling," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201205.
• Mönnig, Anke & Schneemann, Christian & Weber, Enzo & Zika, Gerd, 2020, "Das Klimaschutzprogramm 2030 - Effekte auf Wirtschaft und Erwerbstätigkeit durch das Klimaschutzprogramm 2030 der Bundesregierung," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 202002, Jan.
• Wolter, Marc Ingo & Helmrich, Robert & Schneemann, Christian & Weber, Enzo & Zika, Gerd, 2020, "Auswirkungen des Corona-Konjunkturprogramms auf Wirtschaft und Erwerbstätigkeit," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 202018, Jun.
• Michael Artis & Anindya Banerjee & Massimiliano Marcellino, , "Factor forecasts for the UK," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 203.
• Francesco Corielli & Massimiliano Marcellino, , "Factor Based Index Trading," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 209.
• Massimiliano Marcellino, , "Instability and non-linearity in the EMU," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 211.
• Massimiliano Marcellino, , "Forecast pooling for short time series of macroeconomic variables," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 212.
• Massimiliano Marcellino, , "Forecasting EMU macroeconomic variables," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 216.
• Marco Aiolfi & Carlo Ambrogio Favero, , "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 221.
• Jesús Crespo-Cuaresma & Adusei Jumah & Sohbet Karbuz, , "Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2007-22.
• Jesus Crespo Cuaresma, , "Forecasting euro exchange rates: How much does model averaging help?," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2007-24.
• Jesús Crespo-Cuaresma & Andreas Breitenfellner, , "Crude Oil Prices and the Euro-Dollar Exchange Rate: A Forecasting Exercise," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2008-08.
• Cecilia Frale, , "Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number wp2008-2.
• Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, , "Survey Data as Coincident or Leading Indicators," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 3.
• Maurizio Bovi, , "Le persone comuni fanno previsioni economiche seguendo logiche econometriche o meccanismi psicologici?," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number wp2009-5.
• Cecilia Frale & Libero Monteforte, , "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 3.
• Libero Monteforte & Gianluca Moretti, , "Real time forecasts of inflation: the role of financial variables," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number wp2011-6.
• Deborah Gefang & Gary Koop & Aubrey Poon, , "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 20/02.
• Lekha Chakraborty & Pinaki Chakraborty & Ruzel Shrestha, 2020, "Budget Credibility of Subnational Governments: Analyzing the Fiscal Forecasting Errors of 28 States in India," Economics Working Paper Archive, Levy Economics Institute, number wp_964, Jul.
• Ruijun Bu & Rodrigo Hizmeri & Marwan Izzeldin & Anthony Murphy & Mike G. Tsionas, 2021, "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers, University of Liverpool, Department of Economics, number 202109.
• Weidong Lin & Abderrahim Taamouti, 2023, "Machine Learning Based Portfolio Selection Under Systemic Risk," Working Papers, University of Liverpool, Department of Economics, number 202311.
• William Gatt & Owen Grech, , "An assessment of the Maltese housing market," CBM Policy Papers, Central Bank of Malta, number PP/02/2016.
• Anindya Banerjee & Victor Bystrov & Paul Mizen, 2010, "Interest rate Pass-Through in the Major European Economies - The Role of Expectations," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 10/03, Mar.
• David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, 2017, "Testing for a unit root against ESTAR stationarity," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 17/02, Feb.
• Luca Nocciola, , "Finite sample forecast properties and window length under breaks in cointegrated systems," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/07.
• Adele Bergin & Hailey Low & Stephen Millard & Akhilesh Kumar Verma, , "A Macro-Model of the Northern Ireland Economy," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 566.
• Benedikt Janzen & Doina Radulescu, 0, "Electricity Use as a Real-Time Indicator of the Economic Burden of the COVID-19-Related Lockdown: Evidence from Switzerland," CESifo Economic Studies, CESifo Group, volume 66, issue 4, pages 303-321.
• Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 0, "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 532-555.
• Axel Bücher & Peter N Posch & Philipp Schmidtke, 0, "Using the Extremal Index for Value-at-Risk Backtesting," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 556-584.
• Elena Andreou & Patrick Gagliardini & Eric Ghysels & Mirco Rubin, 0, "Mixed-Frequency Macro–Finance Factor Models: Theory and Applications," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 585-628.
• Ian Laker & Chun-Kai Huang & Allan Ernest Clark, 2017, "Dependent bootstrapping for value-at-risk and expected shortfall," Risk Management, Palgrave Macmillan, volume 19, issue 4, pages 301-322, November, DOI: 10.1057/s41283-017-0023-y.
• Vanessa Heinemann-Heile, 2024, "Using Machine Learning to Predict Firms’ Tax Perception," Working Papers Dissertations, Paderborn University, Faculty of Business Administration and Economics, number 128, Dec.
• Roberto S. Mariano & Suleyman Ozmucur, , "Lawrence R. Klein’s Principles in Modeling and Contributions in Nowcasting, Real-Time Forecasting, and Machine Learning," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-034.
• Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2021, "Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning," Working Papers, University of Pretoria, Department of Economics, number 202118, Feb.
• Riza Demirer & Rangan Gupta & Afees A. Salisu & Renee van Eyden, 2021, "Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic," Working Papers, University of Pretoria, Department of Economics, number 202157, Aug.
• Rangan Gupta & Christian Pierdzioch & Wing-Keung Wong, 2021, "A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers, University of Pretoria, Department of Economics, number 202158, Aug.
• Alistair Dieppe & Jerome Henry & Peter Mc Adam, , "Labour market dynamics in the euro area: A model-based sensitivity analysis," Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics, number 09.
• Christian Haefke & Christian Helmenstein, , "Forecasting Stock Market Averages to Enhance Profitable Trading Strategies," Computing in Economics and Finance 1996, Society for Computational Economics, number _023.
• Ádám Csápai, 0000, "Macroeconomic Forecasting Using Machine Learning: A Case of Slovakia," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 14115967.
• Krzysztof Drachal, 0000, "Choosing Parameters for Bayesian Symbolic Regression: An Application to Modelling Commodities Prices," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 14116014.
• Krzysztof Drachal & Joanna J?drzejewska, 0000, "Forecasting the Index of Commodities Prices Using Various Bayesian Models," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 15316933.
• Todd Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021, "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Working Papers, University of Strathclyde Business School, Department of Economics, number 2307, Oct.
• Florian Huber & Gary Koop, 2023, "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Working Papers, University of Strathclyde Business School, Department of Economics, number 2309, May.
• Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023, "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers, University of Strathclyde Business School, Department of Economics, number 2311, Apr.
• Wanfeng Yan & Ryan Woodard & Didier Sornette, , "The Role of diversification risk in financial bubbles," Working Papers, ETH Zurich, Chair of Systems Design, number ETH-RC-11-003.
• Didier Sornette & Ryan Woodard, & Wanfeng Yan & Wei-Xing Zhou, , "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette bubble Model," Working Papers, ETH Zurich, Chair of Systems Design, number ETH-RC-11-004.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Pérez-Amaral, 0000, "Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-039/4, 00.
• Robin Niesert & Jochem Oorschot & Chris Veldhuisen & Kester Brons & Rutger-Jan Lange, , "Can Google Search Data Help Predict Macroeconomic Series?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-021/III.
• Daan Opschoor & Michel van der Wel, , "A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-011/III.
• Yu-chin Chen & Wen-Jen Tsay, , "Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach," Working Papers, University of Washington, Department of Economics, number UWEC-2011-06.
• Lucrezia Reichlin & Domenico Giannone & Luca Sala, , "Monetary policy in real time," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10177.
• Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008, "Explaining the great moderation: it is not the shocks," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/6413.
• Mengheng Li & Ivan Mendieta-Muñoz, 2025, "RUnpacking trend inflation: Evidence from a factor correlated unobserved components model of sticky and flexible prices    ," Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics, number 2025-04.
• Daniel Felix Ahelegbey & Paolo Giudici, 2014, "Hierarchical Graphical Models, With Application to Systemic Risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:01.
• Luisa Bisaglia & Margherita Gerolimetto, , "Estimation and forecasting in INAR(p) models using sieve bootstrap," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2018:06.
• Yunus Emre Gür & Abdunnur Yıldız & Emre Ünal, 0, "Advanced AI Models for Future Forecasting of Budget Expenditures via Machine Learning and Deep Learning," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 0, issue 0, pages 1-36.
• B. Pesaran & G. Wright, , "The Use Of Spreads In Forecasting Medium Term U.K Interest Rates," Working Papers, University of East London, Department of Economics, number 9606.
• Seppo Honkapohja & Kaushik Mitra, , "Learning with Bounded Memory in Stochastic Models," Discussion Papers, Department of Economics, University of York, number 00/42.
• Kaushik Mitra, , "Is more data better?," Discussion Papers, Department of Economics, University of York, number 00/44.
• Albrecht Ritschl & Ulrich Woitek, , "Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 050.

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• J. Piplack, 2009, "Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model," Working Papers, Utrecht School of Economics, number 09-08, May.
• Carrera Cesar, 2012, "Estimating Information Rigidity Using Firms' Survey Data," The B.E. Journal of Macroeconomics, De Gruyter, volume 12, issue 1, pages 1-34, June, DOI: 10.1515/1935-1690.2377.
• Feldman Ron J. & Kim Jan & Miller Preston J. & Schmidt Jason E., 2003, "Are Banking Supervisory Data Useful for Macroeconomic Forecasts?," The B.E. Journal of Macroeconomics, De Gruyter, volume 3, issue 1, pages 1-24, February, DOI: 10.2202/1534-6005.1066.
• Misiorek Adam & Trueck Stefan & Weron Rafal, 2006, "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-36, September, DOI: 10.2202/1558-3708.1362.
• Stevenson Maxwell J & Moreira do Amaral Luiz Felipe & Peat Maurice, 2006, "Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-25, September, DOI: 10.2202/1558-3708.1383.
• Chen Zhuo & Yang Yuhong, 2007, "Time Series Models for Forecasting: Testing or Combining?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-37, March, DOI: 10.2202/1558-3708.1385.
• Chan Wing Hong, 2008, "Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1571.
• Granger Clive W.J., 2008, "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-11, September, DOI: 10.2202/1558-3708.1639.
• Sajjad Rasoul & Coakley Jerry & Nankervis John C, 2008, "Markov-Switching GARCH Modelling of Value-at-Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-31, September, DOI: 10.2202/1558-3708.1522.
• Pelagatti Matteo M, 2009, "Modelling Good and Bad Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-20, March, DOI: 10.2202/1558-3708.1595.
• Berkowitz Jeremy, 2009, "On Justifications for the ad hoc Black-Scholes Method of Option Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 1, pages 1-27, December, DOI: 10.2202/1558-3708.1683.
• Dark Jonathan Graeme, 2010, "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-50, March, DOI: 10.2202/1558-3708.1720.
• Haas Markus, 2010, "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-56, September, DOI: 10.2202/1558-3708.1765.
• Clements Michael P., 2012, "Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-27, January, DOI: 10.1515/1558-3708.1865.
• Cai Zongwu & Chen Linna & Fang Ying, 2012, "A New Forecasting Model for USD/CNY Exchange Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 3, pages 1-20, September, DOI: 10.1515/1558-3708.1878.
• Andrada-Félix Julián & Fernadez-Rodriguez Fernando & Garcia-Artiles Maria-Dolores & Sosvilla-Rivero Simon, 2003, "An Empirical Evaluation of Non-Linear Trading Rules," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 3, pages 1-32, October, DOI: 10.2202/1558-3708.1160.
• Golan Amos, 2003, "An Information Theoretic Approach for Estimating Nonlinear Dynamic Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 4, pages 1-26, December, DOI: 10.2202/1558-3708.1174.
• Wolff Rodney & Yao Qiwei & Tong Howell, 2004, "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-19, May, DOI: 10.2202/1558-3708.1214.
• Doornik Jurgen A & Ooms Marius, 2004, "Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1218.
• Cleveland William P., 2004, "Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-19, May, DOI: 10.2202/1558-3708.1206.
• Riani Marco, 2004, "Extensions of the Forward Search to Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1208.
• Ivanov Ventzislav & Kilian Lutz, 2005, "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 1, pages 1-36, March, DOI: 10.2202/1558-3708.1219.
• Bessec Marie & Bouabdallah Othman, 2005, "What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-24, June, DOI: 10.2202/1558-3708.1171.
• Marcucci Juri, 2005, "Forecasting Stock Market Volatility with Regime-Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-55, December, DOI: 10.2202/1558-3708.1145.