## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C5: Econometric Modeling

/ / /

**C53: Forecasting and Prediction Models; Simulation Methods**

**This JEL code is mentioned in the follow RePEc Biblio entries:**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**Oil Price Forecastability and Economic Uncertainty**

*by*Stelios Bekiros & Rangan Gupta & Alessia Paccagnini

**Estimation of skill of Russian mutual fund managers**

*by*Parshakov, Petr

**EuroMInd-D: A density estimate of monthly gross domestic product for the euro area**

*by*Proietti, Tommaso & Marczak, Martyna & Mazzi, Gianluigi

**Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility**

*by*Ghonghadze, Jaba & Lux, Thomas

**Modeling and forecasting crude oil price volatility: Evidence from historical and recent data**

*by*Lux, Thomas & Segnon, Mawuli & Gupta, Rangan

**Heteroeneous forecasters and nonlinear expectation formation in US stock market**

*by*Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph

**Understanding the decline in the price of oil since June 2014**

*by*Baumeister, Christiane & Kilian, Lutz

**Inside the crystal ball: New approaches to predicting the gasoline price at the pump**

*by*Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K.

**Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals**

*by*Katarzyna Maciejowska & Rafal Weron

**Sister models for load forecast combination**

*by*Bidong Liu & Jiali Liu & Tao Hong

**Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts**

*by*Bidong Liu & Jakub Nowotarski & Tao Hong & Rafal Weron

**Bivariate GARCH models for single asset returns**

*by*Tomasz Skoczylas

**Bayesian Nonparametric Calibration and Combination of Predictive Distributions**

*by*Roberto Casarin & Federico Bassetti & Francesco Ravazzolo

**Global Equity Market Volatility Spillovers: A Broader Role for the United States**

*by*Buncic, Daniel & Gisler, Katja I. M.

**Finding SPF Percentiles Closest to Greenbook**

*by*Tae-Hwy Lee & Yiyao Wang

**The Impact of Jumps and Leverage in Forecasting Co-Volatility**

*by*Manabu Asai & Michael McAleer

**Variable Selection for Inflation : A Pseudo Out-of-sample Approach**

*by*Selen Baser Andic & Fethi Ogunc

**Forecast Combination, Non-linear Dynamics, and the Macroeconomy**

*by*Christopher Gibbs

**Monetary Policy with Diverse Private Expectations**

*by*Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu

**Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?**

*by*Luca Fanelli & Marco M. Sorge

**Stationarity of Econometric Learning with Bounded Memory and a Predicted State Variable**

*by*Tatiana Damjanovic & Sarunas Girdenas & Keqing Liu

**Weather, the Forgotten Factor in Business Cycle Analyses**

*by*Roland Döhrn & Philipp an de Meulen

**EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area**

*by*Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi

**A New Technique based on Simulations for Improving the Inflation Rate Forecasts in Romania**

*by*Mihaela Simionescu

**Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision**

*by*Michael P. Clements &

**Macroeconomic Forecasting Starting from Survey Nowcasts**

*by*João Valle e Azevedo & Inês Gonçalves

**Forecasting the US CPI: Does Nonlinearity Matter?**

*by*Marcos Álvarez-Díaz & Rangan Gupta

**Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data**

*by*Thomas Lux & Mawuli Segnon & Rangan Gupta

**Information money fields of cyclic oscillations in nonlinear dynamic economic system**

*by*Ledenyov, Dimitri O. & Ledenyov, Viktor O.

**Information money fields of cyclic oscillations in nonlinear dynamic economic system**

*by*Ledenyov, Dimitri O. & Ledenyov, Viktor O.

**Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications**

*by*Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul

**Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile**

*by*Medel, Carlos

**The Out-of-sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model**

*by*Medel, Carlos & Pincheira, Pablo

**Multivariate Forecasting with BVARs and DSGE Models**

*by*Berg, Tim Oliver

**Stock-Flow Dynamic Projection**

*by*LI, XI HAO & Gallegati, Mauro

**A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models**

*by*Bonga-Bonga, Lumengo & Mwamba, Muteba

**Profiting from Mimicking Strategies in Non-Anonymous Markets**

*by*Vasios, Michalis & Payne, Richard & Nolte, Ingmar

**A ranking of VAR and structural models in forecasting**

*by*Bentour, El Mostafa

**Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR**

*by*Jonas Dovern & Martin Feldkircher & Florian Huber

**Demand Estimation with Machine Learning and Model Combination**

*by*Patrick Bajari & Denis Nekipelov & Stephen P. Ryan & Miaoyu Yang

**Austerity in 2009-2013**

*by*Alberto Alesina & Omar Barbiero & Carlo Favero & Francesco Giavazzi & Matteo Paradisi

**A new approach to forecasting based on exponential smoothing with independent regressors**

*by*Ahmad Farid Osman & Maxwell L. King

**Implementing Rubin's Alternative Multiple Imputation Method for Statistical Matching in Stata**

*by*Anil Alpman

**Oil Price Forecastability and Economic Uncertainty**

*by*Stelios Bekiros & Rangan Gupta & Alessia Paccagnini

**The Forecasting of Spot Exchange Rates Based on the Forward Exchange Rates**

*by*Radim Gottwald

**Declining discount rates and the ‘Fisher Effect’: Inflated past, discounted future?**

*by*Mark C. Greeman & Ben Groom & Ekaterini Panopoulou & Theologos Pantelidis

**Business Tendency Surveys and Macroeconomic Fluctuations**

*by*Daniel Kaufmann & Rolf Scheufele

**Real-Time Forecasting with a MIDAS VAR**

*by*Heiner Mikosch & Stefan Neuwirth

**Dissecting the Purchasing Managers’ Index: Are all relevant components included? Are all included components relevant?**

*by*Boriss Siliverstovs

**Short-term forecasting with mixed-frequency data: A MIDASSO approach**

*by*Boriss Siliverstovs

**Think national, forecast local: A case study of 71 German urban housing markets**

*by*Boriss Siliverstovs & Konstantin A. Kholodilin

**Model Pooling and Changes in the Informational Content of Predictors: an Empirical Investigation for the Euro Area**

*by*Tim Schwarzmüller

**Shifting Taxes from Labour to Property: A Simulation under Labour Market Equilibrium**

*by*Moscarola, Flavia Coda & Colombino, Ugo & Figari, Francesco & Locatelli, Marilena

**Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies**

*by*Germán López Espinosa

**Measuring the Connectedness of the Global Economy**

*by*Matthew Greenwood-Nimmo & Viet Hoang Nguyen

**Forecasting Moscow Ambulance Trips**

*by*Filipp Bykov & Vladimir A. Gordin

**Forest reliance across poverty groups in Tanzania**

*by*Dokken, Therese & Angelsen, Arild

**Real-time forecasting with a MIDAS VAR**

*by*Mikosch, Heiner & Neuwirth , Stefan

**Do Phillips curves conditionally help to forecast inflation?**

*by*Dotsey, Michael & Fujita, Shigeru & Stark, Tom

**Consumers' Attitudes and Their Inflation Expectations**

*by*Ehrmann, Michael & Pfajfar, Damjan & Santoro, Emilianio

**Lessons for Forecasting Unemployment in the U.S.: Use Flow Rates, Mind the Trend**

*by*Meyer, Brent & Tasci, Murat

**Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts**

*by*Krueger, Fabian & Clark, Todd E. & Ravazzolo, Francesco

**Lessons for forecasting unemployment in the United States: use flow rates, mind the trend**

*by*Meyer, Brent & Tasci, Murat

**Stationarity of Econometric Learning with Bounded Memory and a Predicted State Variable**

*by*Tatiana Damjanovic & Sarunas Girdenas & Keqing Liu

**The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling**

*by*Joshua C.C. Chan

**FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility**

*by*Harry-Paul Vander Elst

**The role of term structure in an estimated DSGE model with learning**

*by*Pablo Aguilar & Jesús Vázquez

**Monetary Policy with Diverse Private Expectations**

*by*Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu

**Asia’s Evolving Role in Global Wine Markets**

*by*Anderson, Kym & Wittwer, Glyn

**Understanding the Decline in the Price of Oil since June 2014**

*by*Baumeister, Christiane & Kilian, Lutz

**Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump**

*by*Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K

**Austerity in 2009-2013**

*by*Alesina, Alberto F & Barbiero, Omar & Favero, Carlo A. & Giavazzi, Francesco & Paradisi, Matteo

**Autoregressive moving average infinite hidden markov-switching models**

*by*Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud

**La formación de expectativas de inflación en Colombia**

*by*Carlos Huertas Campos & Eliana González Molano & Cristhian Ruiz Cardozo

**Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?**

*by*Gustavo Nicolás Páez

**Reforming Old Age Security: Effects and Alternatives**

*by*Nicholas-James Clavet & Jean-Yves Duclos & Bernard Fortin & Steeve Marchand

**Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation**

*by*Kajal Lahiri & Liu Yang

**Monetary Policy with Diverse Private Expectations**

*by*Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu

**A Non-linear Forecast Combination Procedure for Binary Outcomes**

*by*Kajal Lahiri & Liu Yang

**Does it Pay for Women to Volunteer?**

*by*Robert M. Sauer

**Shaping the manufacturing industry performance in Turkey: MIDAS approach**

*by*Ibrahim Turhan & Ahmet Sensoy & Erk Hacihasanoglu

**Forecasting GDP with global components. This time is different**

*by*Hilde C. Bjørnland & Francesco Ravzzolo & Leif Anders Thorsrud

**Bayesian nonparametric calibration and combination of predictive distributions**

*by*Federico Bassetti & Roberto Casarin & Francesco Ravazzolo

**House Price Forecasts with Factor Combinations**

*by*Charles Rahal

**Can Oil Prices Forecast Exchange Rates?**

*by*Domenico Ferraro & Ken Rogoff & Barbara Rossi

**Alternative Tests for Correct Specification of Conditional Predictive Densities**

*by*Barbara Rossi & Tatevik Sekhposyan

**Medium-term forecasting of euro-area macroeconomic variables with DSGE and BVARX models**

*by*Lorenzo Burlon & Simone Emiliozzi & Alessandro Notarpietro & Massimiliano Pisani

**Volatility spillovers in EMU sovereign bond markets**

*by*Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero

**Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis**

*by*Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero

**Identification and estimation of non-Gaussian structural vector autoregressions**

*by*Markku Lanne & Mika Meitz & Pentti Saikkonen

**Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting**

*by*Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg

**EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area**

*by*Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi

**Understanding volatility dynamics in the EU-ETS market**

*by*Maria Eugenia Sanin & Maria Mansanet-Bataller & Francesco Violante

**Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions**

*by*Tim Bollerslev & Andrew J. Patton & Wenjing Wang

**Estimating Output Gap and Potential Output for Russia and Its Usefulness by Forecasting Inflation**

*by*Dana Kloudova

**Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models**

*by*Dimitra Lamprou

**Out-Of-Sample Forecasting Performance Of A Robust Neural Exchange Rate Model Of Ron/Usd**

*by*Corina SAMAN

**Has Nonlinearity Resolved The A Nomaly Of Unit Root Behaviour In Forward Discount ? New Empirical Evidence**

*by*Aidil Rizal SHAHRIN

**Modelling Stock Market Volatility: Evidence from India**

*by*Karunanithy Banumathy & Ramachandran Azhagaiah

**The Effects of the Euro Area Entrance on the Monetary Transmission Mechanism in Slovakia in Light of the Global Economic Recession**

*by*Jan Klacso

**Forecasting Inflation with a Simple and Accurate Benchmark: The Case of the US and a Set of Inflation Targeting Countries**

*by*Pablo M. Pincheira & Carlos A. Medel

**Cost-Benefit Analysis of policies for the development of electric vehicles in Germany: Methods and results**

*by*Massiani, Jérôme

**Does the Greenspan era provide evidence on leadership in the FOMC?**

*by*El-Shagi, Makram & Jung, Alexander

**Mixture pair-copula-constructions**

*by*Weiß, Gregor N.F. & Scheffer, Marcus

**Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates**

*by*Siburg, Karl Friedrich & Stoimenov, Pavel & Weiß, Gregor N.F.

**Capital requirements for over-the-counter derivatives central counterparties**

*by*Lin, Li & Surti, Jay

**Which are the SIFIs? A Component Expected Shortfall approach to systemic risk**

*by*Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona

**The information content of option-implied information for volatility forecasting with investor sentiment**

*by*Seo, Sung Won & Kim, Jun Sik

**A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices**

*by*Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong

**A common jump factor stochastic volatility model**

*by*Laurini, Márcio Poletti & Mauad, Roberto Baltieri

**Forecasting excess stock returns with crude oil market data**

*by*Liu, Li & Ma, Feng & Wang, Yudong

**A note on using the Hodrick–Prescott filter in electricity markets**

*by*Weron, Rafał & Zator, Michał

**Efficient modeling and forecasting of electricity spot prices**

*by*Ziel, Florian & Steinert, Rick & Husmann, Sven

**Forecasting short-term electricity consumption using a semantics-based genetic programming framework: The South Italy case**

*by*Castelli, Mauro & Vanneschi, Leonardo & De Felice, Matteo

**Real option valuation of power transmission investments by stochastic simulation**

*by*Pringles, Rolando & Olsina, Fernando & Garcés, Francisco

**A spot-forward model for electricity prices with regime shifts**

*by*Paraschiv, Florentina & Fleten, Stein-Erik & Schürle, Michael

**Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices**

*by*He, Ling T. & Casey, K.M.

**Nested forecast model comparisons: A new approach to testing equal accuracy**

*by*Clark, Todd E. & McCracken, Michael W.

**Through the looking glass: Indirect inference via simple equilibria**

*by*Calvet, Laurent E. & Czellar, Veronika

**Reinforced urn processes for credit risk models**

*by*Peluso, Stefano & Mira, Antonietta & Muliere, Pietro

**Stationarity of econometric learning with bounded memory and a predicted state variable**

*by*Damjanovic, Tatiana & Girdėnas, Šarūnas & Liu, Keqing

**Assessing point forecast accuracy by stochastic loss distance**

*by*Diebold, Francis X. & Shin, Minchul

**Commodity price changes and the predictability of economic policy uncertainty**

*by*Wang, Yudong & Zhang, Bing & Diao, Xundi & Wu, Chongfeng

**Log versus level in VAR forecasting: 42 million empirical answers—Expect the unexpected**

*by*Mayr, Johannes & Ulbricht, Dirk

**Predictability dynamics of Islamic and conventional equity markets**

*by*Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk

**Complete subset regressions with large-dimensional sets of predictors**

*by*Elliott, Graham & Gargano, Antonio & Timmermann, Allan

**Measuring Uncertainty**

*by*Kyle Jurado & Sydney C. Ludvigson & Serena Ng

**Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality**

*by*Christian Pierdzioch & Monique B. Reid & Rangan Gupta

**Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models**

*by*Anandamayee Majumdar & Rangan Gupta

**Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?**

*by*Goodness C. Aye & Frederick W. Deale & Rangan Gupta

**Forecasting the U.S. Real House Price Index**

*by*Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou

**Forecasting the Price of Gold Using Dynamic Model Averaging**

*by*Goodness C. Aye & Rangan Gupta & Shawkat Hammoudeh & Won Joong Kim

**Forecasting the Relative Direction of Economic Growth by Using the Purchasing Managers` Index**

*by*Okan EREN

**Forecasting and Modelling of Electricity Prices by Radial Basis Functions: Turkish Electricity Market Experiment**

*by*Cenktan ÖZYILDIRIM & Mehmet Fuat BEYAZIT

**Study Of Discrete Choice Models And Fuzzy Rule Based Systems In The Prediction Of Economic Crisis Periods In Usa**

*by*Giovanis, Eleftherios

**Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions**

*by*Stefan Bruder

**Short-run fertility effects of parental leave benefits: Evidence from a structural model**

*by*Stichnoth, Holger

**Completed fertility effects of family policy measures: Evidence from a life-cycle model**

*by*Abiry, Raphael & Reuss, Karsten & Stichnoth, Holger

**Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area, and Germany**

*by*Teresa, Buchen & Wohlrabe, Klaus

**Confidence Bands for Impulse Responses: Bonferroni versus Wald**

*by*Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna

**A money-based indicator for deflation risk**

*by*Colavecchio, Roberta & Amisano, Gianni & Fagan, Gabriel

**Forecasting German key macroeconomic variables using large dataset methods**

*by*Pirschel, Inske & Wolters, Maik

**Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy**

*by*Rohloff, Sebastian & Pierdzioch, Christian & Risse, Marian

**Outperforming IMF Forecasts by the Use of Leading Indicators**

*by*Drechsel, Katja & Giesen, Sebastian & Lindner, Axel

**Forecasting Aggregates with Disaggregate Variables: Does boosting help to select the most informative predictors?**

*by*Zeng, Jing

**MIDAS regressions with time-varying parameters: An application to corporate bond spreads and GDP in the Euro area**

*by*Schumacher, Christian

**EU climate and energy policy beyond 2020: Are additional targets and instruments for renewables economically reasonable?**

*by*Sijm, Jos & Lehmann, Paul & Chewpreecha, Unnada & Gawel, Erik & Mercure, Jean-Francois & Pollitt, Hector & Strunz, Sebastian

**Bridging the gap between horizontal and vertical merger simulation: Modifications and extensions of PCAID**

*by*Bush, C. Anthony

**On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations**

*by*Rossen, Anja

**Outlier detection in structural time series models: The indicator saturation approach**

*by*Marczak, Martyna & Proietti, Tommaso

**Anticipating business-cycle turning points in real time using density forecasts from a VAR**

*by*Schreiber, Sven

**Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte**

*by*Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter

**A calibration procedure for analyzing stock price dynamics in an agent-based framework**

*by*Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro

**Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market**

*by*Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph

**Combination of forecasts across estimation windows: An application to air travel demand**

*by*Jungmittag, Andre

**Do media data help to predict German industrial production?**

*by*Kholodilin, Konstantin A. & Thomas, Tobias & Ulbricht, Dirk

**Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models**

*by*Warne, Anders & Coenen, Günter & Christoffel, Kai

**A general approach to recovering market expectations from futures prices with an application to crude oil**

*by*Baumeister, Christiane & Kilian, Lutz

**Risk-adjusted option-implied moments**

*by*Brinkmann, Felix & Korn, Olaf

**Animal spirits and the business cycle: Empirical evidence from moment matching**

*by*Jang, Tae-Seok & Sacht, Stephen

**Forecast-error-based estimation of forecast uncertainty when the horizon is increased**

*by*Knüppel, Malte

**MIDAS and bridge equations**

*by*Schumacher, Christian

**13 lucky tips to juggle the analytics of forecasting**

*by*Tao Hong

**Evaluating the performance of VaR models in energy markets**

*by*Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic

**Forecasting the occurrence of electricity price spikes in the UK power market**

*by*Pawel Maryniak & Rafal Weron

**Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts**

*by*Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron

**Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging**

*by*Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron

**Modelling price spikes in electricity markets - the impact of load, weather and capacity**

*by*Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron

**Electricity price forecasting: A review of the state-of-the-art with a look into the future**

*by*Rafal Weron

**A note on using the Hodrick-Prescott filter in electricity markets**

*by*Rafal Weron & Michal Zator

**Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices**

*by*Jakub Nowotarski & Rafal Weron

**A review of electricity price forecasting: The past, the present and the future**

*by*Rafal Weron

**Forecasting Global Equity Indices using Large Bayesian VARs**

*by*Florian Huber & Tamas Krisztin & Philipp Piribauer

**Can Macroeconomists Get Rich Forecasting Exchange Rates?**

*by*Jesus Crespo Cuaresma & Mauro Costantini & Jaroslava Hlouskova

**Business confidence and forecasting of housing prices and rents in large German cities**

*by*Konstantin Kholodilin

**Can Intra-Regional Trade Act as a Global Shock Absorber in Africa?**

*by*Mthuli Ncube & Zuzana Brixiova & Qingwei Meng

**Generalized Momentum Asset Allocation Model**

*by*Piotr Arendarski & Paweł Misiewicz & Mariusz Nowak & Tomasz Skoczylas & Robert Wojciechowski

**Modeling volatility with Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity model**

*by*Tomasz Skoczylas

**A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices**

*by*Roberto Casarin

**Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability**

*by*Buncic, Daniel & Piras, Gion Donat

**Forecasting Copper Prices with Dynamic Averaging and Selection Models**

*by*Buncic, Daniel & Moretto, Carlo

**Model comparisons in unstable environments**

*by*Raffaella Giacomini & Barbara Rossi

**Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts**

*by*Barbara Rossi & Tatevik Sekhposyan

**Alternative tests for correct specification of conditional predictive densities**

*by*Barbara Rossi & Tatevik Sekhposyan

**Path-breaking directions of nanotechnology-based chemotherapy and molecular cancer therapy**

*by*Coccia M. & Wang L.

**Eliciting and aggregating individual expectations: An experimental study**

*by*Peeters R.J.A.P. & Wolk K.L.

**Combining distributions of real-time forecasts: An application to U.S. growth**

*by*Götz T.B. & Hecq A.W. & Urbain J.R.Y.J.

**A composite leading cycle indicator for Uruguay**

*by*Pablo Galaso & Sandra Rodriguez

**EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro**

*by*Stefano Grassi & Tommaso Proietti & Cecilia Frale & Massimiliano Marcellino & Gianluigi Mazzi

**Forecasting Realized Volatility Using Subsample Averaging**

*by*Tae-Hwy Lee & Huiyu Huang

**Forecasting Value-at-Risk Using High Frequency Information**

*by*Tae-Hwy Lee & Huiyu Huang

**Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters**

*by*Tae-Hwy Lee & Yiyao Wang

**Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints**

*by*Tae-Hwy Lee & Yundong Tu & Aman Ullah

**Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting**

*by*Tae-Hwy Lee & Yundong Tu & Aman Ullah

**A statistical test for forecast evaluation under a discrete loss function**

*by*Francisco Javier Eransus & Alfonso Novales Cinca

**Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions**

*by*Francisco Javier Eransus & Alfonso Novales Cinca

**A Stochastic Dominance Approach to Financial Risk Management Strategies**

*by*Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral

**Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance**

*by*Manabu Asai & Michael McAleer

**Consumer Attitudes and the Epidemiology of Inflation Expectations**

*by*Ehrmann, M. & Pfajfar, D. & Santoro, E.

**Identifying Booms and Busts in House Prices under Heterogeneous Expectations**

*by*Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij

**Combined Density Nowcasting in an Uncertain Economic Environment**

*by*Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk

**The Forecast Combination Puzzle: A Simple Theoretical Explanation**

*by*Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang

**Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components**

*by*Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter

**Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models**

*by*Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg

**Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models**

*by*Francisco Blasques & Siem Jan Koopman & Max Mallee

**Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting**

*by*Andr� Lucas & Xin Zhang

**Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities**

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**Forecasting Under Strucural Break Uncertainty**

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**Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models**

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**Coherent mortality forecasting: the product-ratio method with functional time series models**

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**A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models**

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**A Cost-Benefit Analysis of Basel III: Some Evidence from the UK**

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**Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures**

*by*Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

**GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies**

*by*Michael McAleer & Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral

**Analyzing Fixed-event Forecast Revisions**

*by*Michael McAleer & Philip Hans Franses & Chia-Lin Chang

**Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation**

*by*Michael McAleer & Massimiliano Caporin

**Evaluating Individual and Mean Non-Replicable Forecasts**

*by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer

**Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments**

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**Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?**

*by*Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

**Are Forecast Updates Progressive?**

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**Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures**

*by*Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral

**Modelling and Forecasting Noisy Realized Volatility**

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**International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord**

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**Are GDP Revisions Predictable? Evidence for Switzerland**

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**Some Computational Aspects of Gaussian CARMA Modelling**

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**Multivariate Volatility Modeling of Electricity Futures**

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**A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise**

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**Quantile Forecasts of Financial Returns Using Realized GARCH Models**

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**Long-Term Industrial Labor Demand Forecast for Hungary**

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**Tracking Chinese CPI inflation in real time**

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**Forecasting Based on Common Trends in Mixed Frequency Samples**

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**Differences in Early GDP Component Estimates Between Recession and Expansion**

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**A New Look at China’s Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach**

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**Examining the Quality of Early GDP Component Estimates**

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**Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model**

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**A Note on the Presence of Inconvenience Yields in Bulk Commodity Markets**

*by*Jason West

**Fitting Broadband Diffusion by Cable Modem in Portugal**

*by*Rui Pascoal & Jorge Marques

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*by*Paul Mizen & Serafeim Tsoukas

**Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models**

*by*Deschamps, Philippe J.

**Oil Price Forecast Evaluation with Flexible Loss Functions**

*by*Andrea Bastianin & Matteo Manera & Anil Markandya & Elisa Scarpa

**Towards the Optimal Management of the Northeast Arctic Cod Fishery**

*by*Andries Richter & Paulo A.L.D. Nunes

**A Global Map of Coastal Recreation Values: Results From a Spatially Explicit Based Meta-Analysis**

*by*Andrea Ghermandi & Paulo A.L.D. Nunes

**Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility**

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*by*Torsten Schmidt & Helmut Hofer & Klaus Weyerstrass

**Indicators Of Real Convergence And Their Application**

*by*Pecican, Eugen Stefan

**Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes**

*by*Matei, Marius

**Forecast Combination and Bayesian Model Averaging - A Prior Sensitivity Analysis**

*by*Feldkircher, Martin

**GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries**

*by*Gogas, Periklis & Pragidis, Ioannis

**VAR Forecasting Using Bayesian Variable Selection**

*by*Dimitris Korobilis

**Should Macroeconomic Forecasters Use Daily Financial Data and How?**

*by*Elena Andreou & Eric Ghysels & Andros Kourtellos

**An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application**

*by*Theodore Panagiotidis

**Analytic Moments for GARCH Processes**

*by*Carol Alexander & Emese Lazar & Silvia Stanescu

**Redes neuronales para predecir el tipo de cambio diario**

*by*Barrera, Carlos R.

**Modelling Inflation in Australia**

*by*David Norman & Anthony Richards

**A Kernel Technique for Forecasting the Variance-Covariance Matrix**

*by*Ralf Becker & Adam Clements & Robert O'Neill

**Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle**

*by*Don Harding

**Forecasting Government Bond Yields with Large Bayesian VARs**

*by*Andrea Carriero & George Kapetanios & Massimiliano Marcellino

**A Wavelet Approach for Factor-Augmented Forecasting**

*by*António Rua

**The EAGLE. A model for policy analysis of macroeconomic interdependence in the euro area**

*by*Sandra Gomes & P. Jacquinot & M. Pisani

**Tolls, Exchange Rates, and Northbound International Bridge Traffic from Mexico**

*by*Fullerton, Thomas M., Jr. & Molina, Angel L., Jr. & Walke, Adam G.

**Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting**

*by*Branimir, Jovanovic & Magdalena, Petrovska

**The development and production of GDP flash estimates in a newly industrialised country: the case of South Africa**

*by*Mustapha, Nazeem & Djolov, George

**The impact of the global economic crisis on non-oil operations of ports in Iran**

*by*Ahmadzadeh Mashinchi, Sina

**An inflation expectations horserace**

*by*Guzman, Giselle C.

**Estimations de l'emploi régional salarié français détaillé au 31.12.2007 et agrégé au 31.12.2008**

*by*Buda, Rodolphe

**How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran**

*by*Khiabani, Nasser

**Latvia’s incoming in European Union economic effect estimation**

*by*Skribans, Valerijs

**Were Fed’s active monetary policy actions necessary?**

*by*Pang, Iris Ai Jao

**Forecasting Hong Kong economy using factor augmented vector autoregression**

*by*Pang, Iris Ai Jao

**Comparisons of different monetary policies in China with yield curve information**

*by*Pang, Iris Ai Jao

**Municipal Non-Residential Real Property Valuation Forecast Accuracy**

*by*Arnold Cote, K. Nicole & Smith, Wm. Doyle & Fullerton, Thomas M., Jr.

**Faktoru modeļu agregēta un dezagregēta pieeja IKP prognožu precizitātes mērīšanā**

*by*Bessonovs, Andrejs

**Has U.S. Inflation Really Become Harder to Forecast?**

*by*Lanne, Markku & Luoto, Jani

**Latvijas iestāšanās Eiropas Savienībā ekonomiskā efekta novērtēšana**

*by*Skribans, Valerijs

**Cross Border Business Cycle Impacts on the El Paso Housing Market**

*by*Kincal, Gokce & Fullerton, Thomas M., Jr. & Holcomb, James H. & Barraza de Anda, Martha P.

**Real-time nowcasting of GDP: Factor model versus professional forecasters**

*by*Liebermann, Joelle

**Why the determinacy condition is a weak criterion in rational expectations models**

*by*Mostafavi, Moeen & Shakouri G., Hamed & Fatehi, Ali-Reza

**Darbaspēka migrācijas ietekme uz darba tirgu Latvijā**

*by*Skribans, Valerijs

**Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches**

*by*de Silva, Ashton J

**Construction industry forecasting system dynamic model**

*by*Skribans, Valerijs

**Gaussian and non-Gaussian models for financial bubbles via econophysics**

*by*Fry, J. M.

**Investments model development with the system dynamic method**

*by*Skribans, Valerijs

**Forecasting Malaysian Exchange Rate: Do Artificial Neural Networks Work?**

*by*Chan, Tze-Haw & Lye, Chun Teck & Hooy, Chee-Wooi

**The 2010 Midterm Election for the US House of Representatives**

*by*Hibbs, Douglas A.

**Modeling And Forecasting Imported Japanese Parts Content Of US Transplants: An Error Correction And State Space Approach**

*by*Cadogan, Godfrey

**Revealing the arcane: an introduction to the art of stochastic volatility models**

*by*Tsyplakov, Alexander

**Development of the Latvian energy sector system dynamic model**

*by*Skribans, Valerijs

**Has inflation targeting increased predictive power of term structure about future inflation: evidence from an emerging market ?**

*by*Ege, Yazgan & Huseyin, Kaya

**Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices**

*by*Fry, J. M.

**A Bayesian Markov Chain Approach Using Proportions Labour Market Data for Greek Regions**

*by*Mamatzakis, E & Christodoulakis, G

**Latvijas energosektora sistēmdinamikas prognozēšanas modeļa izstrāde**

*by*Skribans, Valerijs

**Optimal Forecasting of Noncausal Autoregressive Time Series**

*by*Lanne, Markku & Luoto, Jani & Saikkonen, Pentti

**Forecasting The Pricing Kernel of IBNR Claims Development In Property-Casualty Insurance**

*by*Cadogan, Godfrey

**A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices**

*by*Regnard, Nazim & Zakoian, Jean-Michel

**Real-Time Data Revisions and the PCE Measure of Inflation**

*by*Tierney, Heather L.R.

**Модель Жилищного Строительства В Постсоциалистических Странах На Примере Латвии**

*by*Skribans, Valerijs

**Estimating Infrastructural Investment Needs for India**

*by*Chandan, Sharma & Bhanumurthy, N R

**The interest rate spread as a forecasting tool of greek industrial production**

*by*Gogas, Periklis & Pragkidis, Ioannis

**A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle**

*by*Buss, Ginters

**Cointegration and conditional correlations among German and Eastern Europe equity markets**

*by*Guidi, Francesco & Gupta, Rakesh

**Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia**

*by*Bušs, Ginters

**A Note on the Oil Price Trend and GARCH Shocks**

*by*Jing, Li & Thompson, Henry

**Real-Time Data Revisions and the PCE Measure of Inflation**

*by*Tierney, Heather L.R.

**Modelling the Currency in Circulation for the State of Qatar**

*by*Balli, Faruk & Elsamadisy, Elsayed

**Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model**

*by*Todd, Prono

**Threshold Cointegration in BRENT crude futures market**

*by*Mamatzakis, E & Remoundos, P

**A Hybrid Intelligent Early Warning System for Predicting Economic Crises: The Case of China**

*by*Su, Dongwei & He, Xingxing

**Short- and long-term impact of remarkable economic events on the growth causes of China-Germany trade in agri-food products**

*by*Zhichao Guo & Yuanhua Feng & Xiangyong Tan

**Ranking Multivariate GARCH Models by Problem Dimension**

*by*Massimiliano Caporin & Michael McAleer

**Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options**

*by*Massimiliano Caporin & Juliusz Pres' & Hipolit Torro

**Modelling and forecasting wind speed intensity for weather risk management**

*by*Massimiliano Caporin & Juliusz Pres

**Modelling and Forecasting UK Mortgage Arrears and Possessions**

*by*Janine Aron & John Muellbauer

**Does the Kiwi fly when the Kangaroo jumps? The effect of Australian macroeconomic news on the New Zealand dollar**

*by*Andrew Coleman & Özer Karagedikli

**Medium-term projection model of the National Bank of Serbia**

*by*Mirko Djukic & Jelena Momcilovic & Ljubica Trajcev

**ExtrapoLATE-ing: External Validity and Overidentification in the LATE Framework**

*by*Joshua Angrist & Ivan Fernandez-Val

**Policy Analysis with Incredible Certitude**

*by*Charles F. Manski

**Commodity prices, commodity currencies, and global economic developments**

*by*Jan J. J. Groen & Paolo A. Pesenti

**Probabilistic Forecasts of Volatility and its Risk Premia**

*by*Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose

**Short-term load forecasting based on a semi-parametric additive model**

*by*Shu Fan & Rob Hyndman

**VARs, Cointegration and Common Cycle Restrictions**

*by*Heather M Anderson & Farshid Vahid

**Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps**

*by*Yin Liao & Heather M. Anderson & Farshid Vahid

**Automatic forecasting with a modified exponential smoothing state space framework**

*by*Alysha M De Livera

**Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand**

*by*George Athanasopoulos & Ashton de Silva

**Alternative methods for forecasting GDP**

*by*Dominique Guegan & Patrick Rakotomarolahy

**Predicting chaos with Lyapunov exponents : zero plays no role in forecasting chaotic systems**

*by*Dominique Guegan & Justin Leroux

**A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques**

*by*Dominique Guegan & Patrick Rakotomarolahy

**The attractiveness of countries for FDI. A fuzzy approach**

*by*Marina Murat & Tommaso Pirotti

**An out-of-sample test for nonlinearity in financial time series: An empirical application**

*by*Theodore Panagiotidis

**Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting**

*by*Branimir Jovanovic & Magdalena Petrovska

**On the Forecasting Accuracy of Multivariate GARCH Models**

*by*Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante

**CEEC vs. PIGS: a comparative panel assessment of financial sustainability and twin deficits**

*by*Alberto Bagnai

**Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle**

*by*Don Harding

**Forecasting with many predictors - Is boosting a viable alternative?**

*by*Buchen, Teresa & Wohlrabe, Klaus

**Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production**

*by*Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina

**Was kostet die Krise? Mittelfristige Wachstumsperspektiven in Deutschland, 2010 - 2014**

*by*Buchen, Teresa & Carstensen, Kai & Henzel, Steffen & Wollmershäuser, Timo

**Using Capabilities to Project Growth, 2010-30**

*by*Jesus Felipe & Utsav Kumar & Arnelyn Abdon

**Economic Value of Stock and Interest Rate Predictability in the UK**

*by*Stephen Hall & Kavita Sirichand

**Decision-Based Forecast Evaluation of UK Interest Rate Predictability**

*by*Stephen Hall & Kavita Sirichand

**An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?**

*by*Yves Jégourel & Samuel Maveyraud

**Evaluating Combined Non-Replicable Forecasts**

*by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer

**GFC-Robust Risk Management Strategies under the Basel Accord**

*by*Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

**How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan**

*by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer

**Do Google Searches Help in Nowcasting Private Consumption? A Real-Time Evidence for the US**

*by*Konstantin A. Kholodilin & Maximilian Podstawski & Boriss Siliverstovs

**Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland**

*by*Boriss Siliverstovs & Konstantin A. Kholodilin

**Assessing Predictive Content of the KOF Barometer in Real Time**

*by*Boriss Siliverstovs

**Nonlinear Interest Rate Reaction Functions for the UK**

*by*Ralf Brüggemann & Jana Riedel

**Practice and prospects of medium-term economic forecasting**

*by*Helmut Hofer & Torsten Schmidt & Klaus Weyerstrass

**Equilibrium Policy Simulations with Random Utility Models of Labour Supply**

*by*Colombino, Ugo

**Equilibrium Policy Simulations with Random Utility Models of Labour Supply**

*by*Colombino, Ugo

**A First Look on the New Halle Economic Projection Model**

*by*Sebastian Giesen & Oliver Holtemöller & Juliane Scharff & Rolf Scheufele

**Should We Trust in Leading Indicators? Evidence from the Recent Recession**

*by*Katja Drechsel & Rolf Scheufele

**Perspective for the Vietnamese Economy in the Context of Asia and the Paci c: An econometric analysis with a global macro econometric model**

*by*Osamu Nakamura

**Short-Term Congestion Forecasting in Wholesale Power Markets**

*by*Zhou, Qun & Tesfatsion, Leigh & Liu, Chen-Ching

**Heterogeneous Expectations and the Predictive Power of Econometric Models**

*by*Maurizio Bovi

**Recession Forecasting with Dynamic Probit Models under Real Time Conditions**

*by*Christian Proano

**Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation**

*by*Pierre L. Siklos

**Asymmetric Time Aggregation and its Potential Benefits for Forecasting Annual Data**

*by*Kunst, Robert M. & Franses, Philip Hans

**Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System**

*by*Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M.

**Meteorological forecasts and the pricing of weather derivatives**

*by*Matthias Ritter & Oliver Mußhoff & Martin Odening

**Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931**

*by*Albrecht Ritschl & Samad Sarferaz

**Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory**

*by*Julia Schaumburg

**Sveriges Riksbank's Inflation Interval Forecasts 1999-2005**

*by*Lundholm, Michael

**Density-Conditional Forecasts in Dynamic Multivariate Models**

*by*Andersson, Michael K. & Palmqvist, Stefan & Waggoner, Daniel F.

**Bayesian Inference in Structural Second-Price common Value Auctions**

*by*Wegmann , Bertil & Villani, Mattias

**How helpful are spatial effects in forecasting the growth of Chinese provinces?**

*by*Girardin , Eric & Kholodilin, Konstantin A.

**Too Many Cooks? The German Joint Diagnosis and Its Production**

*by*Ulrich Fritsche & Ullrich Heilemann

**A Hypothetical Cohort Model of Human Development**

*by*Jana Asher & Beth Osborne Daponte

**Alternative Policies for US Economic Recovery**

*by*Byron Gangnes

**Forecasting Based on Common Trends in Mixed Frequency Samples**

*by*Peter Fuleky & Carl Bonham

**Alternative Policies for US Economic Recovery**

*by*Byron Ganges

**Evaluating Alternative Methods of Forecasting House Prices: A Post-Crisis Reassessment**

*by*William D. Larson

**Forecasting the Intermittent Demand for Slow-Moving Items**

*by*Ralph D. Snyder & J. Keith Ord & Adrian Beaumont

**A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distributions for the innovation term with time-varying mixing weights forced by past behavior of volatility. The mixture considers innovations as a source of time-varying volatility of volatility and is able to capture the right tail behavior of the distribution of volatility. The empirical results show that there is no substantial difference in the one-step ahead conditional expectations obtained according to various mixing schemes but that fixity of mixing weights may be a binding constraint in deriving accurate quantiles of the predicted distribution**

*by*Giovanni De Luca & Giampiero Gallo

**“Google it!”Forecasting the US Unemployment Rate with a Google Job Search index**

*by*Francesco D’Amuri & Juri Marcucci

**Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries**

*by*Jesús Crespo Cuaresma & Adam Gersl & Tomáš Slačík

**Yield Curve Dynamics: Regional Common Factor Model**

*by*Boril Šopov & Jakub Seidler

**Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions**

*by*Frédéric Karamé & Alexandra Olmedo

**Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further**

*by*Frédéric Karamé

**The Potential Impact of EU Cohesion Policy Spending in the 2007-13 Programming Period: A Model-Based**

*by*Janos Varga and Jan in 't Veld

**Evaluating Combined Non-Replicable Forecast**

*by*Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J.

**GFC-Robust Risk Management Strategies under the Basel Accord**

*by*McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.

**Does Disagreement Amongst Forecasters have Predictive Value?**

*by*Legerstee, R. & Franses, Ph.H.B.F.

**Combining Non-Replicable Forecasts**

*by*Chang, C-L. & McAleer, M.J. & Franses, Ph.H.B.F.

**Ranking multivariate GARCH models by problem dimension**

*by*Caporin, M. & McAleer, M.J.

**Are Forecast Updates Progressive?**

*by*Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J.

**Evaluating Macroeconomic Forecast: A Review of Some Recent Developments**

*by*Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R.

**Modelling and forecasting UK mortgage arrears and possessions**

*by*Janine Aron & John Muellbauer

**Crisis?: What crisis?: currency vs. banking in the financial crisis of 1931**

*by*Albrecht Ritschl & Samad Salferaz

**Real-time Inflation Forecast Densities from Ensemble Phillips Curves**

*by*Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly

**Appreciating the Renminbi**

*by*Rod Tyers & Ying Zhang

**Applying Shape and Phase Restrictions in Generalized Dynamic Categorical Models of the Business Cycle**

*by*Don Harding

**Forecast Densities for Economic Aggregates from Disaggregate Ensembles**

*by*Francesco Ravazzolo & Shaun P. Vahey

**Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors**

*by*Roxana Halbleib & Valerie Voev

**Understanding Models' Forecasting Performance**

*by*Barbara Rossi & Tatevik Sekhposyan

**Information Criteria for Impulse Response Function Matching Estimation of DSGE Models**

*by*Alastair Hall & Atsushi Inoue & James M. Nason & Barbara Rossi

**Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When?**

*by*Barbara Rossi & Tatevik Sekhposyan

**Can Exchange Rates Forecast Commodity Prices?**

*by*Yu-chin Chen & Kenneth Rogoff & Barbara Rossi

**Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models**

*by*Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc

**Variable Selection, Estimation and Inference for Multi-period Forecasting Problems**

*by*M. Hashem Pesaran & Andreas Pick & Allan Timmermann

**The power of weather**

*by*Christian Huurman & Francesco Ravazzolo & Chen Zhou

**Do Google Searches Help in Nowcasting Private Consumption?: A Real-Time Evidence for the US**

*by*Konstantin A. Kholodilin & Maximilian Podstawski & Boriss Siliverstovs

**Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland**

*by*Boriss Siliverstovs & Konstantin A. Kholodilin

**Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market**

*by*Idier, Julien & Avouyi-Dovi, Sanvi

**Denoised Least Squares Forecasting of GDP Changes Using Indexes of Consumer and Business Sentiment**

*by*Antonis A. Michis

**Forecasting Issues: Ideas of Decomposition and Combination**

*by*Marina Theodosiou

**First results series or last available series: which series to use? A real-time illustration for the forecasting of French quarterly GDP growth**

*by*C. MINODIER

**How Useful Are Estimated DSGE Model Forecasts for Central Bankers?**

*by*Edge, Rochelle M & Gürkaynak, Refet S.

**Modelling and Forecasting UK Mortgage Arrears and Possessions**

*by*Aron, Janine & Muellbauer, John

**Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?**

*by*Aron, Janine & Muellbauer, John

**Nowcasting**

*by*Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia

**New methods for forecasting inflation, applied to the US**

*by*Aron, Janine & Muellbauer, John

**The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy**

*by*Wieland, Volker & Wolters, Maik H

**Is Economic Recovery a Myth? Robust Estimation of Impulse Responses**

*by*Teulings, Coen N & Zubanov, Nick

**Empirical Simultaneous Confidence Regions for Path-Forecasts**

*by*Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano

**Forecasting Government Bond Yields with Large Bayesian VARs**

*by*Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano

**Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach**

*by*Giannone, Domenico & Lenza, Michele & Momferatou, Daphne & Onorante, Luca

**Measuring Output Gap Uncertainty**

*by*Garratt, Anthony & Mitchell, James & Vahey, Shaun

**Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns**

*by*Favero, Carlo A. & Gozluklu, Arie & Tamoni, Andrea

**Commodity prices, commodity currencies, and global economic developments**

*by*Groen, Jan J. J. & Pesenti, Paolo

**On the forecasting accuracy of multivariate GARCH models**

*by*LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco

**Bayesian Model Averaging. An Application to Forecast Inflation in Colombia**

*by*Eliana González

**Bayesian Model Averaging. An Application to Forecast Inflation in Colombia**

*by*Eliana González

**Bayesian Model Averaging. An Application to Forecast Inflation in Colombia**

*by*Eliana González

**Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators**

*by*Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth

**Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem**

*by*Élise PAYZAN LE NESTOUR

**Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production**

*by*Kai Carstensen & Klaus Wohlrabe & Christina Ziegler

**Is Economic Recovery a Myth? Robust Estimation of Impulse Responses**

*by*Coenraad N. Teulings & Nick Zubanov

**Modelling and Forecasting UK Mortgage Arrears and Possessions**

*by*Janine Aron & John Muellbauer

**Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931**

*by*Albrecht Ritschl & Samad Salferaz

**Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression**

*by*Pooyan Amir Ahmadi & Albrecht Ritschl

**Equilibrium policy simulations with random utility models of labour supply**

*by*Ugo Colombino

**Evaluating Combined Non-Replicable Forecasts**

*by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer

**GFC-Robust Risk Management Strategies under the Basel Accord**

*by*Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

**Modeling the Effect of Oil Price on Global Fertilizer Prices**

*by*Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer

**Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents**

*by*Chia-Lin Chang & Sung-Po Chen & Michael McAleer

**Great Expectatrics: Great Papers, Great Journals, Great Econometrics**

*by*Chia-Lin Chang & Michael McAleer & Les Oxley

**Combining Non-Replicable Forecasts**

*by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer

**Ranking Multivariate GARCH Models by Problem Dimension**

*by*Massimiliano Caporin & Michael McAleer

**How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan**

*by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer

**Are Forecast Updates Progressive?**

*by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer

**Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments**

*by*Philip Hans Franses & Michael McAleer & Rianne Legerstee

**Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand**

*by*Yaovarate Chaovanapoonphol & Christine Lim & Michael McAleer & Aree Wiboonpongse

**Are Some Forecasters Really Better Than Others?**

*by*D'Agostino, Antonello & McQuinn, Kieran & Whelan, Karl

**Combining predictive densities using Bayesian filtering with applications to US economics data**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Conditional forecasts in DSGE models**

*by*Junior Maih

**Weights and pools for a Norwegian density combination**

*by*Hilde Bjørnland & Karsten Gerdrup & Christie Smith & Anne Sofie Jore & Leif Anders Thorsrud

**Simple rules versus optimal policy: what fits?**

*by*Ida Wolden Bache & Leif Brubakk & Junior Maih

**Forecast densities for economic aggregates from disaggregate ensembles**

*by*Francesco Ravazzolo & Shaun P. Vahey

**Volatility and the Hedging Effectiveness of China Fuel Oil Futures**

*by*Wei Chen & J L Ford

**Interest rate pass-through in the major European economies - the role of expectations**

*by*Anindya Banerjee & Victor Bystrov & Paul Mizen

**The Dynamics of US Inflation: Can Monetary Policy Explain the Changes?**

*by*Fabio Canova & Filippo Ferroni

**Econometrics and Decision Making: Effects of Presentation Mode**

*by*Robin Hogarth & Emre Soyer

**Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market**

*by*Avouyi-Dovi, S. & Idier, J.

**Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective**

*by*Guillermo Benavides

**Forecast Revisions of Mexican Inflation and GDP Growth**

*by*Carlos Capistrán & Gabriel López-Moctezuma

**Forecast Combinations**

*by*Marco Aiolfi & Carlos Capistrán & Allan Timmermann

**Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?**

*by*Raúl Ibarra-Ramírez

**The EAGLE. A model for policy analysis of macroeconomic interdependence in the euro area**

*by*Sandra Gomes & Pascal Jacquinot & Massimiliano Pisani

**Real time forecasts of inflation: the role of financial variables**

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**The Taylor Rule and Interest Rate Uncertainty in the U.S. 1970-2006**

*by*Martin Mandler

**Forecasting the Spanish economy with an Augmented VAR-DSGE model**

*by*Gonzalo Fernandez-de-Córdoba & José L. Torres

**On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models**

*by*Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante

**On Marginal Likelihood Computation in Change-point Models**

*by*Luc Bauwens & Jeroen V.K. Rombouts

**Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function**

*by*Jörg Döpke & Ulrich Fritsche & Boriss Siliverstovs

**On the Accuracy of the Probability Method for Quantifying Beliefs about Inflation**

*by*Thomas Maag

**Evaluating Short-Run Forecasting Properties of the KOF Employment Indicator for Switzerland in Real Time**

*by*Boriss Siliverstovs

**Do forecasters inform or reassure? Evaluation of the German real-time data**

*by*Konstantin A. Kholodilin & Boriss Siliverstovs

**Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach**

*by*Jaba Ghonghadze & Thomas Lux

**Oil Exports and the Iranian Economy**

*by*Esfahani, Hadi Salehi & Mohaddes, Kamiar & Pesaran, M. Hashem

**Oil Exports and the Iranian Economy**

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**Non-linear relation between industrial production and business surveys data**

*by*Giancarlo Bruno

**Inflation Targeting Twenty Years on: Where, When, Why, With what Effects, What lies ahead?**

*by*Klaus Schmidt-Hebbel.

**Forecasting Romanian Financial System Stability using a Stochastic Simulation Model**

*by*Claudiu Tiberiu Albulescu

**Combining Forecasts Based on Multiple Encompassing Tests in a Macroeconomic Core System**

*by*Costantini, Mauro & Kunst, Robert M.

**A Hierarchical Procedure for the Combination of Forecasts ; This is a revised version of Working Paper 228, Economics Series, October 2008, which includes some changes. The most important change regards the reference of Kisinbay (2007), which was not reported in the previous version. The hierarchical procedure proposed in the paper is based on the approach of Kisinbay (2007), but some modifications of that approach are provided**

*by*Costantini, Mauro & Pappalardo, Carmine

**A Latent Variable Approach to Forecasting the Unemployment Rate**

*by*C. L. Chua & G. C. Lim & Sarantis Tsiaplias

**Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression**

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**Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics**

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**Stochastic Population Forecast for Germany and its Consequence for the German Pension System**

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**Combination of multivariate volatility forecasts**

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**Volatility Forecasting: The Jumps Do Matter**

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**Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model**

*by*Isao Ishida & Toshiaki Watanabe

**A High-Low Model of Daily Stock Price Ranges**

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**Value at Risk for Large Portfolios**

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**Uncertainty of Multiple Period Risk Measures**

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**Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model**

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**Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction**

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**Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities**

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**Financial crises and bank failures: a review of prediction methods**

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**Evaluating the stresses from ECB monetary policy in the euro area**

*by*Lee , Jim & Crowley, Patrick M

**Disagreement among Forecasters in G7 Countries**

*by*Jonas Dovern & Ulrich Fritsche & Jiri Slacalek

**Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function**

*by*Joerg Doepke & Ulrich Fritsche & Boriss Siliverstovs

**Forecasting long memory time series under a break in persistence**

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*by*Dr. Ulrike Lehr & Dr. Marc Ingo Wolter & Anett Großmann

**Can the Fed Predict the State of the Economy?**

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**Jointly Evaluating GDP and Inflation Forcasts in the Context of the Taylor Rule**

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**Can the Fed Predict the State of the Economy?**

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**Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector**

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**MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area**

*by*Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher

**Survey Data as Coicident or Leading Indicators**

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**Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP**

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**A model-based analysis of the impact of Cohesion Policy expenditure 2000-06: simulations with the QUEST III endogenous R&D model**

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**Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models**

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**It Pays to Violate: How Effective are the Basel Accord Penalties?**

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**Forecasting Realized Volatility with Linear and Nonlinear Models**

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**Statistical Opacity In The U.S. Banking Industry**

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**An Econometric Analysis Of Some Models For Constructed Binary Time Series**

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**Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator**

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**Model Comparisons in Unstable Environments**

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**Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?**

*by*Tatevik Sekhposyan & Barbara Rossi

**Volatility under Bounded Rationality**

*by*Nhat Le

**Forecasting Random Walks under Drift Instability**

*by*M. Hashem Pesaran & Andreas Pick

**Forecasting the fragility of the banking and insurance sector**

*by*Kerstin Bernoth & Andreas Pick

**Google Searches as a Means of Improving the Nowcasts of Key Macroeconomic Variables**

*by*Konstantin A. Kholodilin & Maximilian Podstawski & Boriss Siliverstovs & Constantin Bürgi

**Does Accounting for Spatial Effects Help Forecasting the Growth of Chinese Provinces?**

*by*Eric Girardin & Konstantin A. Kholodilin

**Forecasting the Fragility of the Banking and Insurance Sector**

*by*Kerstin Bernoth & Andreas Pick

**Do Forecasters Inform or Reassure?: Evaluation of the German Real-Time Data**

*by*Konstantin A. Kholodilin & Boriss Siliverstovs

**Automated financial multi-path GETS modelling**

*by*Genaro Sucarrat & Alvaro Escribano

**The relationship between the volatility of returns and the number of jumps in financial markets**

*by*Alvaro Cartea & Dimitrios Karyampas

**Some Issues in Modeling and Forecasting Inflation in South Africa**

*by*Janine Aron & John Muellbauer

**Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931**

*by*Ritschl, Albrecht & Sarferaz, Samad

**The role of central bank transparency for guiding private sector forecasts**

*by*Ehrmann, Michael & Eijffinger, Sylvester C W & Fratzscher, Marcel

**Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression**

*by*Ahmadi, Pooyan Amir & Ritschl, Albrecht

**A defence of the FOMC**

*by*Ellison, Martin & Sargent, Thomas J

**Predicting recoveries and the importance of using enough information**

*by*Cai, Xiaoming & Den Haan, Wouter

**Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models**

*by*Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano

**MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area**

*by*Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian

**Do Local Projections Solve the Bias Problem in Impulse Response Inference?**

*by*Kilian, Lutz & Kim, Yun Jung

**Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?**

*by*Hicks, Bruce & Kilian, Lutz

**Pooling versus model selection for nowcasting with many predictors: An application to German GDP**

*by*Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian

**Some Issues in Modeling and Forecasting Inflation in South Africa**

*by*Aron, Janine & Muellbauer, John

**Estimating the Effect of a Gasoline Tax on Carbon Emissions**

*by*Davis, Lucas W & Kilian, Lutz

**Variable Selection and Inference for Multi-period Forecasting Problems**

*by*Pesaran, M Hashem & Pick, Andreas & Timmermann, Allan G

**Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model**

*by*HEINEN, Andréas & VALDESOGO, Alfonso

**On marginal likelihood computation in change-point models**

*by*BAUWENS, Luc & ROMBOUTS, Jeroen

**Understanding volatility dynamics in the EU-ETS market: lessons from the future**

*by*SANIN, Maria Eugenia & VIOLANTE, Francesco

**Consistent ranking of multivariate volatility models**

*by*LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO

**Estimating the size of rural labour surplus in China - A dynamic general equilibrium analysis**

*by*Yinhua Mai & Xiujian Peng

**Bootstrap Confidence Bands for Forecast Paths**

*by*Anna Staszewska-Bystrova

**Metodos de pronostico**

*by*Ignacio Velez-Pareja

**Evaluación de los modelos de pronóstico aplicados para la demanda turística internacional hacia Colombia**

*by*Dennys MarrugoTorrente

**Un Modelo Setar Para El Pib Colombiano**

*by*Milena Hoyos & Johanna Ramos & Lorena Vivas

**Evaluación de pronóstico de una red neuronal sobre el PIB en Colombia**

*by*José Mauricio Salazar Sáenz

**A Dynamic Factor Model For The Colombian Inflation**

*by*Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas

**Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach**

*by*E. Otranto

**Implementing the New Structural Model of the Czech National Bank**

*by*Michal Andrle & Tibor Hledik & Ondra Kamenik & Jan Vlcek

**Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables**

*by*Camilo SERRANO & Martin HOESLI

**Testing Predicitive Ability of Business Cycle Indicators for the Euro Area**

*by*Christina Ziegler

**The Virtues of VAR Forecast Pooling – A DSGE Model Based Monte Carlo Study**

*by*Steffen Henzel & Johannes Mayr

**Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios**

*by*M. Hashem Pesaran & Paolo Zaffaroni

**Oil Exports and the Iranian Economy**

*by*Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran

**Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets**

*by*Sasa Zikovic & Randall Filer

**Oil Exports and the Iranian Economy**

*by*Esfahani, H.S. & Mohaddes, K. & Pesaran, M.H.

**Have Structural Changes Eliminated the Out-of-Sample Ability of Financial Variables To Forecast Real Activity After the Mid-1980s? Evidence From the Canadian Economy**

*by*Akhter Faroque & William Veloce & Jean-Francois Lamarche

**Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management**

*by*Evarist Stoja & Arnold Polanski

**Combining VAR and DSGE forecast densities**

*by*Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey

**Evaluating ensemble density combination - forecasting GDP and inflation**

*by*Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud

**Real-Time Inflation Forecasting in a Changing World**

*by*Jan J. J. Groen & Richard Paap & Francesco Ravazzolo

**Macro modelling with many models**

*by*Ida Wolden Bache & James Mitchell & Francesco Ravazzolo & Shaun P. Vahey

**Forecasting inflation in France**

*by*Célérier, C.

**Forecasting Euro-area recessions using time-varying binary response models for financial**

*by*Bellégo, C. & Ferrara, L.

**Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector**

*by*Avouyi-Dovi, S. & Bardos, M. & Jardet, C. & Kendaoui, L. & Moquet , J.

**Are disaggregate data useful for factor analysis in forecasting French GDP?**

*by*Barhoumi, K. & Darné, O. & Ferrara, L.

**A Note on the Predictive Content of PPI over CPI Inflation: The Case of Mexico**

*by*José Julián Sidaoui & Carlos Capistrán & Daniel Chiquiar & Manuel Ramos Francia

**Using Seasonal Models to Forecast Short-Run Inflation in Mexico**

*by*Carlos Capistrán & Christian Constandse & Manuel Ramos Francia

**The Factor-Spline-GARCH Model for High and Low Frequency Correlations**

*by*Jose Gonzalo Rangel & Robert F. Engle

**Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts**

*by*Guillermo Benavides & Carlos Capistrán

**Comparing forecast accuracy: A Monte Carlo investigation**

*by*Fabio Busetti & Juri Marcucci & Giovanni Veronese

**A quarterly fiscal database for the euro area based on intra-annual fiscal information**

*by*Joan Paredes & Diego J. Pedregal & Javier J. Pérez

**Is there a signalling role for public wages? Evidence for the euro area based on macro data**

*by*Javier J. Pérez & A. Jesús Sánchez

**Short-term monitoring of the Spanish Government balance with mixed-frequencies models**

*by*Teresa Leal & Diego J. Pedregal & Javier J. Pérez

**Extraction of financial market expectations about inflation and interest rates from a liquid market**

*by*Ricardo Gimeno & José Manuel Marqués

**Modelling export and import demand functions: the Spanish case**

*by*Coral García & Esther Gordo & Jaime Martínez-Martín & Patrocinio Tello

**Real Time Detection of Structural Breaks in GARCH Models**

*by*Zhongfang He & John M. Maheu

**Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit**

*by*Jean-Marie Dufour & Lynda Khalaf & Maral Kichian

**Individual prediction of automobile bodily injury claims liabilities**

*by*Mercedes Ayuso(universitat de Barcelona) & Miguel Santolino(Universitat de Barcelona)

**On the Economic Evaluation of Volatility Forecasts**

*by*Valeri Voev

**Forecasting long memory time series under a break in persistence**

*by*Florian Heinen & Philipp Sibbertsen & Robinson Kruse

**Forecasting with Universal Approximators and a Learning Algorithm**

*by*Anders Bredahl Kock

**Forecasting inflation with gradual regime shifts and exogenous information**

*by*Andrés González & Kirstin Hubrich & Timo Teräsvirta

**Forecast Evaluation of Explanatory Models of Financial Variability**

*by*Sucarrat, Genaro

**The Australian Treasury’s fiscal aggregate projection model**

*by*David Woods & Mary Farrugia & Mitchell Pirie

**What Explains The Great Moderation in the U.S.? A Structural Analysis**

*by*Fabio Canova

**Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility**

*by*Adnan Kasman

**Output Gap Measures For Pakistan: Methodoligies And Challenges For The Monetary Policy**

*by*Sarfaraz SYED & Ali SHAH

**A Duration-Dependent Regime Switching Model for an Open Emerging Economy**

*by*Ozun, Alper & Turk, Mehmet

**Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead**

*by*Matei, Marius

**A Neural Network Model for Time-Series Forecasting**

*by*Morariu, Nicolae & Iancu, Eugenia & Vlad, Sorin

**About a Nonlinear Two-Parameter Prediction Model Used for Investigating the Distribution of CO2 Emission in Europe**

*by*Stefanescu, Stefan

**Structural Fund Absorption: A New Challenge For Romania?**

*by*Zaman, Gheorghe & Georgescu, George

**Modeling Dynamics of Oil Prices under Different Regimes of Oil Market Development**

*by*Varshavsky , Leonid

**Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia**

*by*Sasa Zikovic & Bora Aktan

**A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes**

*by*Anna Pajor

**Simple but Effective: The OeNB’s Forecasting Model for Selected CESEE Countries**

*by*Jesús Crespo Cuaresma & Martin Feldkircher & Tomáš Slacík & Julia Wörz

**Assessing the Accuracy of Event Forecasts**

*by*Ching-Chuan Tsong

**Reexamining asymmetric effects of monetary and government spending policies on economic growth using quantile regression**

*by*Ming-Yuan Leon Li

**Forecasting The Exchange Rate Series With Ann: The Case Of Turkey**

*by*Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag

**Doviz Kuru Getiri Volatilitesinin Kosullu Degisen Varyans Modelleri ile Ongorusu**

*by*Ebru Caglayan & Tugba Dayioglu

**Box-Jenkins ve Nonparametrik Regresyon Yöntemlerinin Etkinliklerinin Karsilastirilmasi: IMKB-100 Endeksine Yonelik Bir Uygulama**

*by*Namýk Kemal ERDOGAN & Nevin UZGOREN

**Interdependencies between Expected Default Frequency and the Macro Economy**

*by*Per Asberg Sommar & Hovick Shahnazarian

**Asymmetries in Macroeconomic Time Series in Eleven Asian Economies**

*by*Khurshid M. Kiani

**Un sistema ARIMA con agregación temporal para la previsión y el seguimiento del déficit del Estado**

*by*Teresa Leal Linares & Javier J. Pérez

**Analyzing Macroeconomic Effects of Environmental Taxation in the Czech Republic with the Econometric E3ME Model**

*by*Milan Scasny & Vitezslav Pisa & Hector Pollit & Unnada Chewpreecha

**Data Mining. New Trends, Applications and Challenges**

*by*Bart Baesens

**The Effects of the Increasing Oil Price Returns and its Volatility on Four Emerged Stock Markets**

*by*Lake E. A. & Katrakilidis C.

**Information Spillover, Volatility and the Currency Markets for the Binary Choice Model**

*by*Walid Ben Omrane & Christian M. Hafner

**Could the jump diffusion technique enhance the effectiveness of futures hedging models?**

*by*Li, Ming-Yuan Leon

**Evaluating information in multiple horizon forecasts: The DOE's energy price forecasts**

*by*Sanders, Dwight R. & Manfredo, Mark R. & Boris, Keith

**MEXICAN MAQUILA INDUSTRY OUTLOOK. A Quantitative Space-Time Analysis**

*by*F. Javier TRIVEZ & Angel Mauricio REYES & F. Javier ALIAGA

**Konjunkturelle Frühindikatoren in der Krise: weiche Faktoren stärker als harte**

*by*Konstantin A. Kholodilin & Stefan Kooths

**Geben Konjunkturprognosen eine gute Orientierung?**

*by*Konstantin A. Kholodilin & Boriss Siliverstovs

**Un Modelo No Lineal Para La Predicción De La Demanda Mensual De Electricidad En Colombia**

*by*JUAN DAVID VELÁSQUEZ & CARLOS JAIME FRANCO & HERNÁN ALONSO GARCÍA

**¿Qué Tan Buenos Son Los Patrones Del Igbc Para Predecir Su Comportamiento?**

*by*JULIO CÉSAR ALONSO & JUAN CARLOS GARCÍA

**Modelación de la inversión en Centroamérica y la República Dominicana**

*by*José R. Sánchez-Fung

**Econometric Models for Oil Price Forecasting: A Critical Survey**

*by*Giliola Frey & Matteo Manera & Anil Markandya & Elisa Scarpa

**Estimation précoce de la croissance. De la régression LARS au modèle à facteurs**

*by*Françoise Charpin

**Hedge fund and market risk: new concepts and models, beyond VaR**

*by*Maria Debora Braga

**Could We Have Predicted The Recent Downturn In The South African Housing Market?**

*by*Sonali Das & Rangan Gupta & Alain Kabundi

**Forecasting Macroeconomic Variables in a Small Open Economy: A Comparison between Small- and Large-Scale Models**

*by*Rangan Gupta & Alain Kabundi

**Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs**

*by*Rangan Gupta & Alain Kabundi

**A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa**

*by*Rangan Gupta & Alain Kabundi

**Is a DFM Well-Suited in Forecasting Regional House Price Inflation?**

*by*Sonali Das & Rangan Gupta & Alain Kabundi

**The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve**

*by*Clive G. Bowsher & Roland Meeks

**Can earnings forecast be improved by taking into account the forecast bias?**

*by*Lardic, Sandrine & Dossou, François & Michalon, Karine

**A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices**

*by*Zhongjun Qu & Pierre Perron

**China’s Real Exchange Rate Puzzle**

*by*Tyers, Rod & Golley, Jane

**Endeks getirilerinin yapay sinir agları modelleri ile tahmin edilmesi: Gelismekte olan Avrupa borsaları uygulaması**

*by*Emin AVCI & Murat ÇİNKO

**Türkiye turizm sektörünün talep analizi**

*by*Nezir KÖSE & Yeliz YALÇIN & Furkan EMİRMAHMUTOĞLU

**Ratings trends and market meat in Romania in the context of the current food crisis**

*by*Toderoiu, Filon & MATEESCU, Mihaela

**Choosing between alternative measures of core inflation using bounded rationality and cognitive biases**

*by*Pelinescu, Elena & Dospinescu, Andrei Silviu

**CO2 Emission Reduction in Freight Transports How to Stimulate Environmental Friendly Behaviour?**

*by*Bühler, Georg & Jochem, Patrick

**Forecast Evaluation of Explanatory Models of Financial Return Variability**

*by*Sucarrat, Genaro

**Does money still matter for U.S. output?**

*by*Berger, Helge & Österholm, Pär

**Does global liquidity matter for monetary policy in the Euro area?**

*by*Berger, Helge & Harjes, Thomas

**How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts**

*by*Knüppel, Malte & Schultefrankenfeld, Guido

**Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment**

*by*Wang, Mu-Chun

**Short-term forecasting of electricity prices: Do we need a different model for each hour?**

*by*Adam Misiorek

**Forecasting inflation with dynamic factor model – the case of Poland**

*by*Jacek Kotlowski

**Explanations of the inconsistencies in survey respondents'forecasts**

*by*Clements, Michael P.

**Rounding of probability forecasts : The SPF forecast probabilities of negative output growth**

*by*Clements, Michael P.

**Valuation of open space: Hedonic house price analyses in the Dutch Randstad region**

*by*Dekkers, J. & Koomen, E.

**Volatility forecasting: the jumps do matter**

*by*Fulvio Corsi & Davide Pirino & Roberto Renò

**Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process**

*by*Francesco Audrino & Marcelo C. Medeiros

**Modeling Tick-by-Tick Realized Correlations**

*by*Fulvio Corsi & Francesco Audrino

**Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects**

*by*Fulvio Corsi & Francesco Audrino

**Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing**

*by*Chunming Yuan

**Real Time Detection of Structural Breaks in GARCH Models**

*by*Zhongfang He & John M Maheu

**Improving Forecasts of Inflation using the Term Structure of Interest Rates**

*by*Alonso Gomez & John M Maheu & Alex Maynard

**Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts**

*by*Frank A.G. den Butter & Pieter W. Jansen

**Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling**

*by*Lennart Hoogerheide & Herman K. van Dijk

**Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**An Hourly Periodic State Space Model for Modelling French National Electricity Load**

*by*V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet

**Out-of-sample comparison of copula specifications in multivariate density forecasts**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)**

*by*Daniel Buncic

**Is There A Trade-off Between Regional Growth and National Income? Theory and Evidence from the EU**

*by*Young-Bae Kim

**Neural Network Models for Inflation Forecasting: An Appraisal**

*by*Ali Choudhary & Adnan Haider

**The Financial Accelerator: Evidence using a procedure of Structural Model Design**

*by*Roger Hammersland & Dag Henning Jacobsen

**Classical identification: A viable road for data to inform structural modeling**

*by*Roger Hammersland

**Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Modelsand Observation Windows**

*by*Katrin Assenmacher-Wesche & M. Hashem Pesaran

**The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve**

*by*Clive Bowsher & Roland Meeks

**Is a DFM Well Suited for Forecasting Regional House Price Inflation?**

*by*Sonali Das & Rangan Gupta & Alain Kabundi

**Inflation Forecasting with Inflation Sentiment Indicators**

*by*Roland Döhrn & Christoph M. Schmidt & Tobias Zimmermann

**Understanding Errors in EIA Projections of Energy Demand**

*by*Fischer, Carolyn & Herrnstadt, Evan & Morgenstern, Richard D.

**A Small BVAR-DSGE Model for Forecasting the Australian Economy**

*by*Andrew Hodge & Tim Robinson & Robyn Stuart

**Combining Multivariate Density Forecasts Using Predictive Criteria**

*by*Hugo Gerard & Kristoffer Nimark

**Forecasting with Dynamic Models using Shrinkage-based Estimation**

*by*Andrea Carriero & George Kapetanios & Massimiliano Marcellino

**Forecasting Exchange Rates with a Large Bayesian VAR**

*by*Andrea Carriero & George Kapetanios & Massimiliano Marcellino

**A Review of Forecasting Techniques for Large Data Sets**

*by*Jana Eklund & George Kapetanios

**Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting**

*by*Jan J.J. Groen & George Kapetanios

**On the uncertainty and risks of macroeconomic forecasts: Combining judgements with sample and model information**

*by*Maximiano Pinheiro & Paulo Soares Esteves

**Forecasting investment: A fishing contest using survey data**

*by*Sara Serra & José R. Maria

**Forecasting Using Targeted Diffusion Indexes**

*by*Francisco Craveiro Dias & Maximiano Pinheiro & António Rua

**Inflation models, optimal monetary policy and uncertain unemployment dynamics: Evidence from the US and the euro area**

*by*Carlo Altavilla & Matteo Ciccarelli

**Estimating Output Gap for Pakistan Economy:Structural and Statistical Approaches**

*by*S. Adnan H. A. S., Bukhari & Safdar Ullah, Khan

**Airport Choice in a Constraint World: Discrete Choice Models and Capacity Constraints**

*by*Gelhausen, Marc Christopher

**Predicting elections from politicians’ faces**

*by*Armstrong, J. Scott & Green, Kesten C. & Jones, Randall J. & Wright, Malcolm

**A Naïve Sticky Information Model of Households’ Inflation Expectations**

*by*Lanne, Markku & Luoma, Arto & Luoto, Jani

**The Cyclicity as Evolution Form of Economic Activities**

*by*UNGUREANU, Laura

**Параллельные Вычисления В Идентификации Динамических Моделей Экономики // Параллельные Вычислительные Технологии (Павт'2008): Труды Международной Научной Конференции (Санкт-Петербург, 28 Января – 1 Февраля 2008 Г.). – Челябинск: Изд. Юургу, 2008. – 599 С. C.207-214**

*by*Olenev, Nicholas

**Exchange Rate Forecasting: Evidence from the Emerging Central and Eastern European Economies**

*by*Ardic, Oya Pinar & Ergin, Onur & Senol, G. Bahar

**Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets**

*by*Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak

**Modelling The World Exchange Rates:Dynamics, Volatility And Forecasting**

*by*Nwaobi, Godwin

**A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)**

*by*Buncic, Daniel

**Liquidity-Induced Dynamics in Futures Markets**

*by*Fagan, Stephen & Gencay, Ramazan

**Can financial ratios predict the Malaysian stock return?**

*by*Lee, Chin & Lee, Weng Hong

**Структурно-Морфологический Анализ Бизнес-Процессов Коммерческого Банка**

*by*Rumyantsev, Mikhail I.

**Bankruptcy prediction and neural networks: The contribution of variable selection methods**

*by*du Jardin, Philippe

**Forecasting Using Functional Coefficients Autoregressive Models**

*by*Bruno, Giancarlo

**Rules of Origin and Sensitive List under SAFTA and Bilateral FTAs among South Asian Countries: Quantitative Assessments of Potential Implications for Nepal**

*by*Raihan, Selim

**Using sentiment surveys to predict GDP growth and stock returns**

*by*Guzman, Giselle C.

**Using sentiment to predict GDP growth and stock returns**

*by*Guzman, Giselle C.

**Estimation de l'emploi régional et sectoriel salarié français : application à l'année 2006**

*by*Buda, Rodolphe

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*by*Harding, Don

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*by*Lai, Jennifer /J.T.

**The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey**

*by*Omay, Tolga

**An Early Warning Signals Approach for Currency Crises: The Turkish Case**

*by*Ari, Ali

**Smoothing Transition Autoregressive (STAR) Models with Ordinary Least Squares and Genetic Algorithms Optimization**

*by*Giovanis, Eleftherios

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*by*Giovanis, eleftheios

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*by*Giovanis, Eleftherios

**Neuro-Fuzzy approach for the predictions of economic crisis**

*by*Giovanis, Eleftherios

**Implied Volatility with Time-Varying Regime Probabilities**

*by*Lanne, Markku & Ahoniemi, Katja

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*by*Korobilis, Dimitris

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*by*Maldonado, Diego & Pazmiño, Mariela

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**Nyquist Frequency in Sequentially Sampled Data**

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*by*Courtioux, Pierre

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*by*Andrle, Michal

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*by*Cooper, Russel & Madden, Gary G

**Infrastructure for Sustainable Growth: A Demand Projection Exercise for India**

*by*Majumder, Rajarshi

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*by*Green, Kesten C & Armstrong, J Scott & Soon, Willie

**Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK**

*by*Guidi, Francesco

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*by*Nikolsko-Rzhevskyy, Alex

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*by*Visser, Marcel P.

**Forecasting macroeconomic variables using a structural state space model**

*by*de Silva, Ashton

**Direct and iterated multistep AR methods for difference stationary processes**

*by*Proietti, Tommaso

**Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models**

*by*Weron, Rafal & Misiorek, Adam

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*by*Baptista, Ricardo F. de F. & Valls Pereira, Pedro L.

**A panel data analysis for the greenhouse effects in fifteen countries of European Union**

*by*Giovanis, Eleftherios

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*by*Rosenthal, Dale W.R.

**The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange**

*by*Attiya Y. Javid & Eatzaz Ahmad

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*by*Massimiliano Caporin & Juliusz Pres

**Multi-sector inflation forecasting - quarterly models for South Africa**

*by*Janine Aron & John Muellbauer

**Forecasting with Equilibrium-correction Models during Structural Breaks**

*by*Jennifer Castle & David Hendry & Nicholas W.P. Fawcett

**Comparing the New Keynesian Phillips Curve with Time Series Models to Forecast Inflation**

*by*Fabio Rumler & Maria Teresa Valderrama

**Estimating a Supply Block for Poland**

*by*Rafal Kierzenkowski & Patrice Ollivaud & Franck Sédillot & Philippe Briard

**Incorporating judgement with DSGE models**

*by*Jaromír Beneš & Andrew Binning & Kirdan Lees

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*by*Chris Bloor & Troy Matheson

**The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve**

*by*Clive G. Bowsher & Roland Meeks

**Forecast Evaluation of Small Nested Model Sets**

*by*Kirstin Hubrich & Kenneth D. West

**Phillips Curve Inflation Forecasts**

*by*James H. Stock & Mark W. Watson

**Efficient Prediction of Excess Returns**

*by*Jon Faust & Jonathan H. Wright

**The Continuing Puzzle of Short Horizon Exchange Rate Forecasting**

*by*Kenneth S. Rogoff & Vania Stavrakeva

**Can Exchange Rates Forecast Commodity Prices?**

*by*Yu-Chin Chen & Kenneth Rogoff & Barbara Rossi

**Global Forces and Monetary Policy Effectiveness**

*by*Jean Boivin & Marc Giannoni

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*by*K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze & G. Rünstler

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*by*Ralph D. Snyder & Anne B. Koehler

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*by*Rob J Hyndman & Shu Fan

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*by*Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu

**The tourism forecasting competition**

*by*George Athanasopoulos & Rob J Hyndman & Haiyan Song & Doris C Wu

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*by*Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy

**Business surveys modelling with seasonal-cyclical long memory models**

*by*Laurent Ferrara & Dominique Guegan

**Forecasting chaotic systems : the role of local Lyapunov exponents**

*by*Dominique Guegan & Justin Leroux

**Effect of noise filtering on predictions : on the routes of chaos**

*by*Dominique Guegan

**Estimation of k-factor GIGARCH process : a Monte Carlo study**

*by*Abdou Kâ Diongue & Dominique Guegan

**Measuring bank capital requirements through Dynamic Factor analysis**

*by*Andrea Cipollini & Giuseppe Missaglia

**Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities**

*by*Csaba Csávás

**Milan’s Cycle as an Accurate Leading Indicator for the Italian Business Cycle**

*by*Matteo Pelagatti & Valeria Negri

**Asymmetries in the sport-forward G10 exchange rates: an answer to an old puzzle?**

*by*George Christodoulakis & Emmanuel Mamatzakis

**Seasonal Mackey-Glass-GARCH process and short-term dynamics**

*by*Catherine Kyrtsou & Michel Terraza

**Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield**

*by*Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien

**Short-Term Forecasts of Latvia's Real Gross Domestic Product Growth Using Monthly Indicators**

*by*Konstantins Benkovskis

**Short-Term Forecasting of GDP Using Large Monthly Datasets: A Pseudo Real-Time Forecast Evaluation Exercise**

*by*G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze

**The information content of KOF indicators on Swiss current account data revisions**

*by*Jan P.A.M. Jacobs & Sturm Jan-Egbert

**Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model**

*by*Christian Conrad & Menelaos Karanasos

**Managing Disinflation under Uncertainty**

*by*Mewael F. Tesfaselassie & Eric Schaling

**Forecasting Using Functional Coefficients Autoregressive Models**

*by*Giancarlo Bruno

**Nonlinear Exchange Rate Predictability**

*by*Carlos Felipe Lopez Suarez & Jose Antonio Rodriguez Lopez

**Forecasting the maximum compensation offer in the automobile BI claims negotiation proces**

*by*Mercedes Ayuso & Miguel Santolino

**Poverty Estimating Poverty for Indigenous Groups by Matching Census and Survey Data**

*by*Claudio Agostini & Phillip Brown & Andrei Roman

**Poverty and Inequality among Ethnic Groups in Chile**

*by*Claudio Agostini & Phillip Brown & Andrei Roman

**Combination of Forecast Methods Using Encompassing Tests. An Algorithm-Based Procedure ; For the revised version of this paper, see Working Paper 240, Economics Series, June 2009, which includes some changes. The most important change regards the reference of Kisinbay (2007), which was not reported in the previous version. The hierarchical procedure proposed in the paper is based on the approach of Kisinbay (2007), but some modifications of that approach are provided**

*by*Costantini, Mauro & Pappalardo, Carmine

**Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems**

*by*Dominique Guégan & Justin Leroux

**Regional unemployment forecasts with spatial interdependencies**

*by*Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje

**Testing directional forecast value in the presence of serial correlation**

*by*Oliver Blaskowitz & Helmut Herwartz

**A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure**

*by*Oliver Blaskowitz & Helmut Herwartz

**Modeling and Forecasting Age-Specific Mortality: A Bayesian Approach**

*by*Wolfgang Reichmuth & Samad Sarferaz

**Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality**

*by*Wolfgang Reichmuth & Samad Sarferaz

**Measuring and Modeling Risk Using High-Frequency Data**

*by*Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch

**The Accuracy of Long-term Real Estate Valuations**

*by*Rainer Schulz & Markus Staiber & Martin Wersing & Axel Werwatz

**Adaptive Forecasting of the EURIBOR Swap Term Structure**

*by*Oliver Blaskowitz & Helmut Herwatz

**Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns**

*by*Shiyi Chen & Kiho Jeong & Wolfgang Härdle

**House Prices and Replacement Cost: A Micro-Level Analysis**

*by*Rainer Schulz & Axel Werwatz

**Value-at-Risk and Expected Shortfall when there is long range dependence**

*by*Wolfgang Härdle & Julius Mungo

**Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models**

*by*Tom Pak-wing Fong & Chun-shan Wong

**Comparing Forecast Performance of Exchange Rate Models**

*by*Lillie Lam & Laurence Fung & Ip-wing Yu

**A Corrected Value-at-Risk Predictor**

*by*Lönnbark, Carl

**Macroeconomic Impact on Expected Default Frequency**

*by*Åsberg Sommar, Per & Shahnazarian, Hovick

**Business surveys and inflation forecasting in China**

*by*Kaaresvirta, Juuso & Mehrotra, Aaron

**Forecasting Inflation in China**

*by*Mehrotra , Aaron & Sánchez-Fung, José R.

**Are 'unbiased' forecasts really unbiased? Another look at the Fed forecasts**

*by*Tara M. Sinclair & Fred Joutz & Herman O. Stekler

**Jointly Evaluating the Federal Reserve’s Forecasts of GDP Growth and Inflation**

*by*Tara M. Sinclair & Edward N. Gamber & H.O. Stekler & Elizabeth Reid

**A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets**

*by*Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi

**Comparison of Volatility Measures: a Risk Management Perspective**

*by*Christian T. Brownlees & Giampiero Gallo

**Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models**

*by*Vít Bubák

**Path Forecast Evaluation**

*by*Òscar Jordà & Massimiliano Marcellino

**Forecasting Exchange Rates with a Large Bayesian VAR**

*by*A. Carriero & G. Kapetanios & M. Marcellino

**A Monthly Indicator of the Euro Area GDP**

*by*Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti

**Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change**

*by*Anindya Banerjee & Massimiliano Marcellino & Igor Masten

**Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP**

*by*Massimiliano Marcellino & Christian Schumacher

**Estimating critical mass in the global cellular telephony market**

*by*Michal Grajek & Tobias Kretschmer

**Flexible Decision Support in Dynamic Interorganizational Networks**

*by*Collins, J. & Ketter, W. & Gini, M.

**Choosing Attribute Weights for Item Dissimilarity using Clikstream Data with an Application to a Product Catalog Map**

*by*Kagie, M. & van Wezel, M.C. & Groenen, P.J.F.

**Experts' Stated Behavior**

*by*Boulaksil, Y. & Franses, Ph.H.B.F.

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*by*McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.

**The ten commandments for optimizing value-at-risk and daily capital charges**

*by*McAleer, M.J.

**Modelling sustainable international tourism demand to the Brazilian Amazon**

*by*Divino, J.A. & McAleer, M.J.

**Model selection for forecast combination**

*by*Franses, Ph.H.B.F.

**Modeling monetary policy in real time:Does discreteness matter?**

*by*Sirchenko Andrey

**Forecasting economic activity for Estonia : The application of dynamic principal component analyses**

*by*Christian Schulz

**Short-Term Forecasts of Euro Area GDP Growth**

*by*Elena Angelini & Gonzalo Camba-Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler

**Large Bayesian VARs**

*by*Martha Banbura & Domenico Giannone & Lucrezia Reichlin

**Has modelsí forecasting performance for US output growth and inflation changed over time, and when?**

*by*Tatevik Sekhposyan & Barbara Rossi

**Forecast Comparisons in Unstable Environments**

*by*Giacomini, Raffaella & Rossi, Barbara

**Can Exchange Rates Forecast Commodity Prices?**

*by*Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara

**A methodology for population projections: an application to Spain**

*by*Andrés M. Alonso & Daniel Peña & Julio Rodríguez

**Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting**

*by*andrés M. Alonso & Carolina Garcia-Martos & Julio Rodriguez & Maria Jesus Sanchez

**Measuring causality between volatility and returns with high-frequency data**

*by*Jean-Marie Dufour & René García & Abderrahim Taamouti

**Short and long run causality measures: theory and inference**

*by*Jean-Marie Dufour & Abderrahim Taamouti

**General to specific modelling of exchange rate volatility : a forecast evaluation**

*by*Luc Bauwens & Genaro Sucarrat

**Multi-sector inflation forecasting - quarterly models for South Africa**

*by*Janine Aron & John Muellbauer

**Are Prices Really Affected by Mergers?**

*by*X. BOUTIN & L. JANIN

**Path Forecast Evaluation**

*by*Jordà, Òscar & Marcellino, Massimiliano

**Forecasting Exchange Rates with a Large Bayesian VAR**

*by*Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano

**A Monthly Indicator of the Euro Area GDP**

*by*Frale, Cecilia & Marcellino, Massimiliano & Mazzi, Gian Luigi & Proietti, Tommaso

**Short-term Forecasts of Euro Area GDP Growth**

*by*Angelini, Elena & Camba-Mendez, Gonzalo & Giannone, Domenico & Reichlin, Lucrezia & Rünstler, Gerhard

**Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP**

*by*Marcellino, Massimiliano & Schumacher, Christian

**Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change**

*by*Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor

**Evaluating CPB's published GDP growth forecasts; a comparison with individual and pooled VAR based forecasts**

*by*Adam Elbourne & Henk Kranendonk & Rob Luginbuhl & Bert Smid & Martin Vromans

**Investigating uncertainty in macroeconomic forecasts by stochastic simulation**

*by*Debby Lanser & Henk Kranendonk

**An easy test for two stationary long processes being uncorrelated via AR approximations**

*by*WANG , Shin-Huei & HSIAO, Cheng

**Modelling the Economic Effects of Population Ageing**

*by*James Giesecke & G.A. Meagher

**Pronósticos de agregados a partir de desagregados Caso empírico: Inflación de alimentos en Colombia**

*by*Eliana Rocío González Molano

**An estimation of the pattern of diffusion of mobile phones: the case of Colombia**

*by*Luis Fernando Gamboa & Jesus Otero

**Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators**

*by*Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz

**Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models**

*by*Nikolay Robinzonov & Klaus Wohlrabe

**Learning Trend Inflation – Can Signal Extraction Explain Survey Forecasts?**

*by*Steffen Henzel

**A High-Low Model of Daily Stock Price Ranges**

*by*Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan

**Forecasting Euro Area Real GDP: Optimal Pooling of Information**

*by*Oliver Hülsewig & Johannes Mayr & Timo Wollmershäuser

**The Information Content of KOF Indicators on Swiss Current Account Data Revisions**

*by*Jan Jacobs & Jan-Egbert Sturm

**Optimal Asset Allocation with Factor Models for Large Portfolios**

*by*M. Hashem Pesaran & Paolo Zaffaroni

**Forecasting Random Walks Under Drift Instability**

*by*M. Hashem Pesaran & Andreas Pick

**A VECX Model of the Swiss Economy**

*by*Katrin Assenmacher-Wesche & M. Hashem Pesaran

**Forecasting Economic and Financial Variables with Global VARs**

*by*M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith

**Path Forecast Evaluation**

*by*Oscar Jorda & Massimiliano Marcellino

**Some New Approaches to Forecasting the Price of Electricity: A Study of Californian Market**

*by*Eduardo Mendes & Les Oxley & Marco Reale

**Now-casting Irish GDP**

*by*D'Agostino, Antonello & McQuinn, Kieran & O'Brien, Derry

**Identifying and Forecasting House Price Dynamics in Ireland**

*by*D'Agostino, Antonello & McQuinn, Kieran & O' Reilly, Gerard

**Are sectoral stock prices useful for predicting euro area GDP?**

*by*Andersson, Magnus & D'Agostino, Antonello

**Asymmetries in Inflation Expectation Formation Across Demographic Groups**

*by*Pfajfar, D. & Santoro, E.

**Forecasting Random Walks Under Drift Instability**

*by*Pesaran, M.H. & Pick, A.

**Optimal Asset Allocation with Factor Models for Large Portfolios**

*by*Pesaran, M.H. & Zaffaroni, P.

**A VECX* Model of the Swiss Economy**

*by*Assenmacher-Wesche, K. & Pesaran, M.H.

**Model Averaging in Risk Management with an Application to Futures Markets**

*by*Pesaran, M.H. & Schleicher, C. & Zaffaroni, P.

**Forecasting Economic and Financial Variables with Global VARs**

*by*Pesaran, M.H. & Schuermann, T. & Smit, L.V.

**The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach**

*by*Akhter Faroque & William Veloce & Jean-Francois Lamarche

**Estimating the output gap in real time: A factor model approach**

*by*Knut Are Aastveit & Tørres G. Trovik

**Combining inflation density forecasts**

*by*Christian Kascha & Francesco Ravazzolo

**The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts**

*by*Christian Huurman & Francesco Ravazzolo & Chen Zhou

**What horizon for targeting inflation?**

*by*Q. Farooq Akram.

**Business surveys modelling with Seasonal-Cyclical Long Memory models**

*by*Ferrara, L. & Guégan, D.

**Monthly forecasting of French GDP: A revised version of the OPTIM model**

*by*Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B.

**Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise**

*by*Barhoumi, K. & Rünstler, G. & Cristadoro, R. & Den Reijer, A. & Jakaitiene, A. & Jelonek, P. & Rua, A. & Ruth, K. & Benk, S. & Van Nieuwenhuyze, C.

**An Inflation Forecasting Model for the Euro Area**

*by*Chauvin, V. & Devulder, A.

**Experts´ Macroeconomics Expectations: An Evaluation of Mexican Short-Run Forecasts**

*by*Carlos Capistrán & Gabriel López-Moctezuma

**Uncertainty and the price of risk in a nominal convergence process**

*by*Ricardo Gimeno & José Manuel Marqués

**A Structural VAR Approach to Core Inflation in Canada**

*by*Sylvain Martel

**Bank lending effect on German commercial property prices**

*by*Gruber, Johannes & Lee, Gabriel

**Disagreement and Biases in Inflation Expectations**

*by*Carlos Capistrán & Allan Timmermann

**The cyclical component factor model**

*by*Christian M. Dahl & Henrik Hansen & John Smidt

**American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution**

*by*Lars Stentoft

**Modelling and Forecasting Multivariate Realized Volatility**

*by*Roxana Chiriac & Valeri Voev

**Option Pricing using Realized Volatility**

*by*Lars Stentoft

**Explaining The Great Moderation: It Is Not The Shocks**

*by*Domenico Giannone & Michele Lenza & Lucrezia Reichlin

**Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?**

*by*Graham Elliott & Ivana Komunjer & Allan Timmermann

**Alternative Measures of Core Inflation in Romania**

*by*Pelinescu, Elena & Dospinescu, Andrei Silviu

**Polynomial Interpolation and Applications to Autoregressive Models**

*by*Mateescu, George Daniel

**An Econometric Macroeconomic Model for Analysis and Forecasting of Key Indicators of the Belarusian Economy**

*by*Kravtsov, Mikhail & Burdyka, Mikalai & Haspadarets, Burdyka & Shynkevich, Natallia & Kartun, Andrei

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*by*CORONEO, Laura & VEREDAS, David

**Deciding between GARCH and stochastic volatility via strong decision rules**

*by*PREMINGER, Arie & HAFNER, Christian M.

**General to specific modelling of exchange rate volatility: a forecast evaluation**

*by*BAUWENS, Luc & SUCARRAT, Genaro

**Intra-daily FX optimal portfolio allocation**

*by*BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick

**Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos**

*by*Julio César Alonso & Mauricio Alejandro Arcos

**Pronósticos de producción agrícola**

*by*Constanza MARTINEZ VENTURA

**Inflación y dinero en Colombia: otro modelo P-estrella**

*by*Andrés González & Luis Fernando Melo & Carlos Esteban Posada

**Identifying Fiscal Policy Shocks In Chile And Colombia**

*by*Jorge E. Restrepo & Hernán Rincón

**Evaluación de pronósticos del tipo de cambio utilizando**

*by*Munir A. Jalil. B & Martha Misas

**An Econometric Analysis of Emission Trading Allowances**

*by*Marc S. Paoletta & Luca Taschini

**Tests in contingency tables as regression tests**

*by*Stanislav Anatolyev & Grigory Kosenok

**Nonparametric retrospection and monitoring of predictability of financial returns**

*by*Stanislav Anatolyev

**Forecasting and Combining Competing Models of Exchange Rate Determination**

*by*Carlo Altavilla & Paul De Grauwe

**(Un)Predictability and Macroeconomic Stability**

*by*D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo

**Assessing the Role of Income and Interest Rates in Determining House Prices**

*by*McQuinn, Kieran & O'Reilly, Gerard

**Space and Time: Wind in an Investment Planning Model**

*by*Neuhoff, K. & Ehrenmann, A. & Butler, L. & Cust, J. & Hoexter, H. & Keats, K. & Kreczko,A. & Sinden, G.

**Computational Intelligence in Exchange-Rate Forecasting**

*by*Andreas S. Andreou & George A. Zombanakis

**Pursuing financial stability under an inflation-targeting regime**

*by*Q. Farooq Akram & Gunnar Bårdsen & Kjersti-Gro Lindquist

**Flexible inflation targeting and financial stability: Is it enough to stabilise inflation and output?**

*by*Q. Farooq Akram & Øyvind Eitrheim

**Deciding Between Garch And Stochastic Volatility Via Strong Decision Rules**

*by*Arie Preminger & Christian M. Hafner

**The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area**

*by*Mésonnier, J-S.

**Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?**

*by*Carlos Capistrán

**Forecast Combination with Entry and Exit of Experts**

*by*Carlos Capistrán & Allan Timmermann

**Disagreement and Biases in Inflation Expectations**

*by*Carlos Capistrán & Allan Timmermann

**Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models**

*by*Guillermo Benavides

**Bank profitability and the business cycle**

*by*Ugo Albertazzi & Leonardo Gambacorta

**Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices**

*by*Jean-Marie Dufour & David Tessier

**Using Monthly Indicators to Predict Quarterly GDP**

*by*Isabel Yi Zheng & James Rossiter

**Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices**

*by*Greg Tkacz & Carolyn Wilkins

**Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies**

*by*Anna Piretti & Charles St-Arnaud

**Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion**

*by*Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon

**Forecasting Substantial Data Revisions in the Presence of Model Uncertainty**

*by*Anthony Garratt & Gary Koop & Shaun P. Vahey

**Investing Under Model Uncertainty: Decision Based Evaluation of Exchange Rate and Interest Rate Forecasts in the US, UK and Japan**

*by*Anthony Garratt & Kevin Lee

**Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis**

*by*Giulio PALOMBA

**Forecasting US bond yields at weekly frequency**

*by*Riccardo LUCCHETTI & Giulio PALOMBA

**China's Economic Growth and its Real Exchange Rate**

*by*Rod Tyers & Jane Golley & Bu Yongxiang & Ian Bain

**Ein multisektoraler Sammelindikator für die Schweizer Konjunktur**

*by*Michael Graff

**The "Dobrescu" Macromodel of the Romanian Transition Economy - Yearly and Monthly Forecast -**

*by*Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca

**The "Dobrescu" Macromodel of the Romanian Transition Economy - Yearly and Monthly Forecast -**

*by*Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca

**Competitiveness and Corruption in Romania - Forecasting in the Context of the Romanian Integration into the European Union**

*by*Ogrean, Claudia & Herciu, Mihaela

**The "Dobrescu" Macromodel of the Romanian Transition Economy - Yearly and Monthly Forecast -**

*by*Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca

**A Model to Forecast the Evolution of the Structure of a System of Economic Indicators**

*by*Andreica, Marin

**An Adaptive Retraining Method for the Exchange Rate Forecasting**

*by*Dobrescu, Emilian & Nastac, Iulian & Pelinescu, Elena

**The "Dobrescu" Macromodel of the Romanian Transition Economy - Yearly and Monthly Forecast -**

*by*Scutaru, Cornelia & Fomin, Petre & Pauna, Bianca

**Stability in Stochastic Forecasting of Time Series**

*by*Kharin, Yuriy

**Predicting the Poverty Impacts of Trade Reform**

*by*Thomas W. Hertel & Jeffrey J. Reimer

**Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index**

*by*Khurshid M. Kiani

**The Usefulness of Consumer Confidence in Forecasting Household Spending in Canada: A National and Regional Analysis**

*by*Andy C.C. Kwan & John A. Cotsomitis

**Modelarea inflaţiei în România**

*by*Pelinescu Elena

**Effects of the additive Outliers in the forecasting of the conditional variance of an Arch model/Efectos de los Outliers aditivos en la predicción de la varianza condicional de un modelo Arch**

*by*CATALÁN, BEATRIZ & TRÍVEZ, F. JAVIER

**Impact of Exchange Market Forces on Pak-Rupee Exchange Rates during Globalization Period: An Empirical Analysis**

*by*Syed Adnan Haider Ali Shah Bukhari & Muhammad Shahbaz Akmal & Mohammad Sabihuddin Butt

**Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia**

*by*María Clara Aristizábal Restrepo

**Forecasting Inflation: An Art as Well as a Science!**

*by*Ard Reijer & Peter Vlaar

**A Bayesian Model Averaging Approach to Enhance Value Investment**

*by*Ron Bird & Richard Gerlach

**Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market**

*by*Kim-Leng Goh & Kim-Lian Kok

**Diseño de un experimento de preferencias declaradas para la elección de modo de transporte urbano de pasajeros**

*by*Juan José Pompilio Sartori

**Assets Return and Risk and Exchange Rate Trends: An Ex Post Analysis**

*by*Dr. Ioannis N. Kallianiotis & Dr. Dean Frear

**A Structural Model For The Demand For Lease Renewals In The U.S. Leasing Industry**

*by*GÓMEZ-SORZANO Gustavo A

**Using Bootstrap to Test Portfolio Efficiency**

*by*Pin-Huang Chou & Guofu Zhou

**Inflation Expectations in Latin America**

*by*Fabia A de Carvalho & Mauricio S. Bugarin

**Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia**

*by*Aristizábal, María Clara

**Einige Prognoseeigenschaften des ifo Geschäftsklimas - Ein Überblick über die neuere wissenschaftliche Literatur**

*by*Klaus Abberger & Klaus Wohlrabe

**Zur Prognosekraft des ifo Indikators**

*by*Hans-Werner Sinn & Klaus Abberger

**A Time to Sow, A Time to Reap for the European countries: A Macro-Econometric Glance at the RTD National Action Plans**

*by*Carole Chevallier & Arnaud Fougeyrollas & Pierre Le Mouël & Paul Zagamé

**The impact of exogenous shocks on the dynamics and persistence of inflation: a macroeconomic model-based approach for Greece**

*by*Theodore M. Mitrakos & Nicholas G. Zonzilos

**Banque de France scores: development, applications, and maintenance**

*by*Bardos, M.

**La contagion du risque via les impayés sur effets de commerce**

*by*BARDOS, M. & STILI, D.

**Ìndice de Atividade Econômica: Construção e Testes de Previsão dos Modelos de Filtro de Kalman e Box-Jenkins**

*by*Vamerson Schwingel Ribeiro & Joilson Dias

**Risk contagion through defaults on trade bills**

*by*Bardos, M. & Stili, D.

**Information In Data Revision Processes: Payroll Employment And Real-Time Measurement Of Employment**

*by*Peter Zadrozny & Ellis Tallman

**An Integrated Approach For Stock Price Forecasting**

*by*Alvaro Veiga & Gustavo Santos Raposo

**Model Uncertainty and Endogenous Volatility**

*by*George W. Evans & William A. Branch

**Multiscale Representation of Agents Heterogeneous Beliefs in Analysis of CAC40 Prices with Frequency Decomposition**

*by*Serge Hayward

**Empirical Best Linear Unbiased Prediction in Misspecified and Improved Panel Data Models with an Application to Gasoline Demand**

*by*I-Lok Chang & P.A.V.B. Swamy & Yaghi Wisam

**Investment Decisions Under Model Uncertainty: An Application Using Exchanger Rate and Interest Rate Forecasts**

*by*Kevin Lee & Anthony Garratt

**Speculative Strategies In The Foreign Exchange Market Based On Genetic Programming Predictions**

*by*MARCOS ALVAREZ-DIAZ AND ALBERTO ÃLVAREZ

**Forecasting Practice: Decision Support System to Assist Judgmental Forecasting**

*by*Gauresh Rajadhyaksha & Abhijeet Dwivedi

**Earnings forecast bias - a statistical analysis**

*by*Michalon, Karine & Lardic, Sandrine & Dossou, François

**Impulse Analyses Of The Romanian Inflation**

*by*Pelinescu, Elena & Dospinescu, Andrei Silviu

**THE “DOBRESCU” MACROMODEL OF THE ROMANIAN TRANSITION ECONOMY – Yearly and Monthly Forecast**

*by*Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca

**A Model To Forecast The Monthly Inflation In Romania**

*by*Pelinescu, Elena & Dospinescu, Andrei Silviu

**THE “DOBRESCU” MACROMODEL OF THE ROMANIAN TRANSITION ECONOMY – Yearly and Monthly Forecast**

*by*Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca

**Combining The Forecasts Using A Statistical Approach**

*by*Dospinescu, Andrei Silviu

**THE “DOBRESCU” MACROMODEL OF THE ROMANIAN TRANSITION ECONOMY – Yearly and Monthly Forecast**

*by*Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca

**THE “DOBRESCU” MACROMODEL OF THE ROMANIAN TRANSITION ECONOMY – Yearly and Monthly Forecast**

*by*Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre & Pauna, Bianca

**Dealing with Unexpected Shocks to the Budget**

*by*Elena Gennari & Raffaela Giordano & Sandro Momigliano

**Dibs Faiz Oranlarında Oynaklığın Koşulu Değişen Varyans Modeli İle Tahmini Ve Öngörülmesi**

*by*Kıvılcım M. ÖZCAN & Suat AYDIN

**A Comparative Analysis Of The Forecasting Ability Of Classic Econometric And Fuzzy Models**

*by*Profillidis, V. & Botzoris, G.

**Regularidades no lineales en índices accionarios. Una aproximación con redes neuronales**

*by*Johnson, Christian A. & Padilla, Miguel A.

**An econometric study of the beef meat sector in Cyprus**

*by*Panayiotis Diacos & Spyros Hadjidakis

**The performance of value-at-risk models in emerging markets: evidence from Kuwait stock exchange**

*by*Aktham I. Maghyereh & Sadeg J. Abul

**Firm's R & D Behavior Under Rational Expectations**

*by*Dimitrios D. Thomakos & Prasad S. Bhattacharya

**Do Eurozone Countries Cheat with their Budget Deficit Forecasts?**

*by*Stephan, Andreas & Brück, Tilman

**The volatility of realized volatility**

*by*Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian

**Volatility forecasting**

*by*Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X.

**Modeling the FIBOR/EURIBOR Swap Term Structure : An Empirical Approach**

*by*Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo

**Forecasting stock market volatility with macroeconomic variables in real time**

*by*Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian

**Trends and cycles in the Euro Area: how much heterogeneity and should we worry about it?**

*by*Domenico Giannone & Lucrezia Reichlin

**(Un)Predictability and Macroeconomic Stability**

*by*Antonello D'Agostino & Domenico Giannone & Paolo Surico

**The Cyclical Behaviour of Shadow and Regular Employment**

*by*Maurizio Bovi

**The Dark, and Independent, Side of the Italian Labour Market**

*by*Maurizio Bovi

**The Behavioral Equilibrium Exchange Rate of the Czech Koruna**

*by*Martin Melecky & Lubos Komarek

**Early Locking to the Euro: Some Estimates for the New EU Countries based on Equilibrium Exchange Rates**

*by*Martin Melecky

**Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability**

*by*Barbara Rossi

**Application Of Garch Models In Forecasting The Volatility Of Agricultural Commodities**

*by*Tony Guida & Olivier Matringe

**Persistence Characteristics of the Chinese Stock Markets**

*by*Cornelis A. Los & Bing Yu

**The Degree of Stability of Price Diffusion**

*by*Cornelis A. Los

**From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices**

*by*Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil

**Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate**

*by*Sutthisit Jamdee & Cornelis A. Los

**Measurement of Financial Risk Persistence**

*by*Cornelis A. Los

**How Do People Learn by Listening to Others? Experimental Evidence from Thailand**

*by*Andrew Healy

**Assessing Forecast Performance in a VEC Model: An Empirical Examination**

*by*Zacharias Bragoudakis

**A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios**

*by*Hsiang-Tai Lee & Jonathan Yoder

**Forecasting Spot Electricity Prices With Time Series Models**

*by*Rafal Weron & Adam Misiorek

**What causes the forecasting failure of Markov-Switching models? A Monte Carlo study**

*by*Marie Bessec & Othman Bouabdallah

**Nonlinearity, Nonstationarity and Spurious Forecasts**

*by*Vadim Marmer

**Modeling and forecasting electricity loads: A comparison**

*by*Rafal Weron & Adam Misiorek

**The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend**

*by*Stanislav Radchenko

**Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability**

*by*Barbara Rossi

**Employment Effects of Foreign Direct Investment in Central and Eastern Europe**

*by*Ingo Geishecker & Gabor Hunya

**Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?**

*by*Hui Feng

**On the Rationality of the General Public**

*by*GEBHARD KIRCHGÄSSNER

**A general multivariate threshold GARCH model with dynamic conditional correlations**

*by*Fabio Trojani & Francesco Audrino

**Model-based Measurement of Actual Volatility in High-Frequency Data**

*by*B. Jungbacker & S.J. Koopman

**Survey Expectations**

*by*M. Hashem Pesaran & Martin Weale

**Curve Forecasting by Functional Autoregression**

*by*A. Onatski & V. Karguine

**Should we be surprised by the unreliability of real-time output gap estimates? Density estimates for the Euro area**

*by*James Mitchell

**High Frequency Multiplicative Component Garch**

*by*Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle

**Real-time data for Norway: Output gap revisions and challenges for monetary policy**

*by*TOM BERNHARDSEN & Ã˜YVIND EITRHEIM

**Forecasting Aggregates by Disaggregates**

*by*Kirstin Hubrich & David F. Hendry

**Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?**

*by*Carlos CapistrÃ¡n-Carmona

**Measuring Fiscal Sustainability**

*by*Vito Polito & Mike Wickens

**Variable Selection using Non-Standard Optimisation of Information Criteria**

*by*George Kapetanios

**Empirical Assessment of Sustainability and Feasibility of Government Debt: The Philippines Case**

*by*Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising

**Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case**

*by*Cláudia Duarte & António Rua

**Were There Regime Switches in U.S. Monetary Policy?**

*by*Christopher A. Sims & Tao Zha

**Methods for Scenario-building: it’s importance for policy analysis**

*by*Moniz, António

**Airport Choice in Germany - New Empirical Evidence of the German Air Traveller Survey 2003**

*by*Wilken, Dieter & Berster, Peter & Gelhausen, Marc Christopher

**Economic Growth in Uzbekistan: Sources and Potential**

*by*Lord, Montague

**Análisis de Coyuntura de la Industria Manufacturera en México. Una Propuesta Metodológica y Aplicaciones**

*by*Cabrera-Castellanos, Luis F.

**Borderplex Economic Outlook: 2005-2007**

*by*Fullerton, Thomas M., Jr. & Tinajero, Roberto

**بررسي عوامل موثر بر قيمت طلا و ارايه مدل پيش بيني قيمت آن به كمك شبكه هاي عصبي فازي**

*by*Sarfaraz, Leyla & Afsar, Amir

**Econometric analysis and forecasting of Latvia's balance of payments**

*by*Benkovskis, Konstantins

**ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts**

*by*Lahiri, Kajal & Liu, Fushang

**Is there too much certainty when measuring uncertainty**

*by*da Silva Filho, Tito Nícias Teixeira

**Forecasting international bandwidth capability**

*by*Madden, Gary G & Coble-Neal, Grant

**Volatility Forecasting**

*by*Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

**Model Uncertainty and Endogenous Volatility**

*by*Wiliam Branch & George W. Evans

**Monetary policy and asset prices: To respond or not?**

*by*Gunnar Bårdsen & Q. Farooq Akram & Øyvind Eitrheim

**Nonrenewable Resource Prices: Deterministic or Stochastic Trends?**

*by*Junsoo Lee & John A. List & Mark Strazicich

**Understanding and Comparing Factor-Based Forecasts**

*by*Jean Boivin & Serena Ng

**Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference**

*by*Todd E. Clark & Kenneth D. West

**Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form**

*by*DUFOUR, Jean-Marie & JOUINI, Tarek

**Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form**

*by*DUFOUR, Jean-Marie & TAREK, Jouini

**Time Series Forecasting: The Case for the Single Source of Error State Space**

*by*J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds

**Forecasting age-specific breast cancer mortality using functional data models**

*by*Bircan Erbas & Rob J. Hyndman & Dorota M. Gertig

**Demand Forecasting: Evidence-based Methods**

*by*J. Scott Armstrong & Kesten C. Green

**Robust forecasting of mortality and fertility rates: a functional data approach**

*by*Rob J. Hyndman & Md. Shahid Ullah

**Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases**

*by*D. S. Poskitt

**Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study**

*by*Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos

**Another Look at Measures of Forecast Accuracy**

*by*Rob J. Hyndman & Anne B. Koehler

**25 Years of IIF Time Series Forecasting: A Selective Review**

*by*Jan G. De Gooijer & Rob J. Hyndman

**Rating Forecasts for Television Programs**

*by*Denny Meyer & Rob J. Hyndman

**The aim of the present work is to test the predictive power of the term spread in forecasting real economic growth rates and recession probabilities in Italy. According to the most recent literature, the relationship between the term spread and economic growth rates is modelled as a nonlinear one and specifically the Logistic Smooth Transition model is used, while a probit model is implemented to forecast recession probabilities. In both applications evidence supports a relevant informative content of the spread in Italy**

*by*Costanza Torricelli & Marianna Brunetti

**Discounting the distant future: How much does model selection affect the certainty equivalent rate?**

*by*Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis

**Declining Discount Rates: Evidence from the UK**

*by*Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis

**Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange**

*by*Georges Dionne & Pierre Duchesne & Maria Pacurar

**Forecasting Canadian Time Series with the New-Keynesian Model**

*by*Ali Dib & Mohamed Gammoudi & Kevin Moran

**Short-Term Forecasting of Economic Development in Latvia Using Business and Consumer Survey Data**

*by*Aleksejs Melihovs & Svetlana Rusakova

**Innovación y convergencia con la Unión Europea: Diseño de un modelo de convergencia en el desarrollo de la sociedad de la información**

*by*PEREZ-GARCIA, JULIAN

**Non-Linearities, Large Forecasters And Evidential Reasoning Under Rational Expectations**

*by*Ali al-Nowaihi & Sanjit Dhami

**On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models**

*by*Ilias Lekkos & Costas Milas & Theodore Panagiotidis

**On the predictability of common risk factors in the US and UK interest rate swap markets:Evidence from non-linear and linear models**

*by*Ilias Lekkos & Costas Milas & Theodore Panagiotidis

**On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?**

*by*Herbert Brücker & Boriss Siliverstovs

**On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?**

*by*Brücker, Herbert & Siliverstovs, Boriss

**Forecasting Aggregate Demand in West African Economies. The Influence of Immigrant Remittance Flows and of Asymmetric Error Correction**

*by*Jumah, Adusei & Kunst, Robert M.

**Portfolio Value at Risk Based on Independent Components Analysis**

*by*Ying Chen & Wolfgang Härdle & Vladimir Spokoiny

**Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach**

*by*Oliver Blaskowitz & Helmut Herwartz & Gonzalo de Cadenas Santiago

**Inference in Vector Autoregressive Models with an Informative Prior on the Steady State**

*by*Villani, Mattias

**Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area**

*by*Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias

**Evaluating a Central Bank’s Recent Forecast Failure**

*by*Nymoen, Ragnar

**Consumption and population age structure**

*by*Erlandsen, Solveig & Nymoen, Ragnar

**Forecasting economic variables with nonlinear models**

*by*Teräsvirta, Timo

**Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler**

*by*Michael Groemling

**Working Paper 02-05 - The NIME Economic Outlook for the World Economy 2005 - 2011 (Also in this issue: the Lisbon Strategy)**

*by*Eric Meyermans & Patrick Van Brusselen

**A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements**

*by*Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER

**Indirect Robust Estimation of the Short-term interest Rate Process**

*by*Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti

**Real time estimates of GDP growth**

*by*de Groot, E.A. & Franses, Ph.H.B.F.

**Testable implications of forecast optimality**

*by*Andrew J. Patton & Allan Timmermann

**Accuracy of growth forecasts for transition countries: Assessing ten years of EBRD forecasting**

*by*Libor Krkoska & Utku Teksoz

**How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?**

*by*Rossi, Barbara & Giacomini, Raffaella

**Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs**

*by*Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis

**Do Eurozone Countries Cheat with Their Budget Deficit Forecasts?**

*by*Tilman Brück & Andreas Stephan

**Forecast Errors and the Macroeconomy: A Non-Linear Relationship?**

*by*Ulrich Fritsche & Jörg Döpke

**What causes the forecasting failure of Markov-switching models ? A Monte Carlo study**

*by*Bouabdallah, Othman & Bessec, Marie

**Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets**

*by*George Kouretas & Leonidas Zarangas

**Individual responses to BTS and the Forecasting of Manufactured Production**

*by*O. BIAU & H. ERKEL-ROUSSE & N. FERRARI

**A two-states Markov-switching model of inflation in France and the USA: credible target VS inflation spiral**

*by*B. HEITZ

**Firm'investment forecast: An indicator of changes in expectations in industrial investment survey**

*by*N. FERRARI

**Forecast Combinations**

*by*Timmermann, Allan G

**Measuring Fiscal Sustainability**

*by*Polito, Vito & Wickens, Michael R.

**How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation**

*by*Inoue, Atsushi & Kilian, Lutz

**Short-Run Italian GDP Forecasting and Real-Time Data**

*by*Golinelli, Roberto & Parigi, Giuseppe

**Modelling and Forecasting Fiscal Variables for the euro Area**

*by*Favero, Carlo A. & Marcellino, Massimiliano

**Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management**

*by*Pesaran, M Hashem & Zaffaroni, Paolo

**Data Revisions Are Not Well-Behaved**

*by*Aruoba, Boragan

**Forecast Combination and Model Averaging Using Predictive Measures**

*by*Eklund, Jana & Karlsson, Sune

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**A P* Model of Inflation in Puerto Rico**

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**A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough**

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**Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes**

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**Modelling inflation in the Euro Area**

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**Forecasting Time Series Subject to Multiple Structural Breaks**

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**Forecasting Time Series Subject to Multiple Structural Breaks**

*by*Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan

**Real Time Econometrics**

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**Real Time Econometrics**

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**Is more data better?**

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**Repeated surveys and the Kalman filter**

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**Regime switching as an alternative early warning system of currency crises - an application to South-East Asia**

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**Heterogeneous information about the term structure, least-squares learning and optimal rules for inflation targeting**

*by*Schaling , Eric & Eijffinger , Sylvester & Tesfaselassie , Mewael

**Impact of Population Aging on Japanese International Travel**

*by*James Mak & Lonny Carlile & Sally Dai

**Coasean Economics and the Evolution of Marine Property in Hawaii**

*by*Brooks Kaiser & James Roumasset

**Working Paper 16-04 - The NIME Economic Outlook for the World Economy 2004 - 2010 (Also in this issue: oil price shocks)**

*by*Eric Meyermans & Patrick Van Brusselen

**Agent based computational model of trust**

*by*Gorobets, A. & Nooteboom, B.

**Decomposing Granger Causality over the Spectrum**

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**The Value of Information in Reverse Logistics**

*by*Ketzenberg, M.E. & van der Laan, E.A. & Teunter, R.H.

**On The Predictive Content Of Production Surveys: A Pan-European Study**

*by*Lemmens, A. & Croux, C. & Dekimpe, M.G.

**Forecasting aggregates using panels of nonlinear time series**

*by*Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F.

**Analyzing the effects of past prices on reference price formation**

*by*van Oest, R.D. & Paap, R.

**Forecasting the density of asset returns**

*by*Trino-Manuel Niguez & Javier Perote

**Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy**

*by*A Garratt & K Lee & M H Pesaran & Yongcheol Shin

**A Nonlinear Model of the Business Cycle**

*by*Simon M. Potter & Edward E. Leamer

**Properties of Optimal Forecasts**

*by*Allan Timmermann & Andrew J. Patton

**Heterogeneous Information about the Term Structure of Interest Rates, Least-Squares Learning and Optimal Interest Rate Rules for Inflation Forecast Targeting**

*by*Mewael Tesfaselassie & Eric Schaling & Sylvester Eijffinger

**Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?**

*by*Allan Timmermann & Graham Elliott & Ivana Komunjer

**Smooth Test Of Density Forecast Evaluation With Independent And Serially Dependent Data**

*by*Aurobindo Ghosh & Anil K. Bera

**Regime Switching for Dynamic Correlations**

*by*Denis Pelletier

**Bagging Time Series Models**

*by*Lutz Kilian & Atsushi Inoue

**Forecasting Chilean Industrial Production with Automated Procedures**

*by*ROMULO A. CHUMACERO

**Macroeconomic Forecasting with Independent Component Analysis**

*by*Ruey Yau

**Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness**

*by*Anthony S. Tay & Aamir R. Hashmi

**Tracking Brazilian Exchange Rate Volatility**

*by*Benjamin Miranda Tabak & Sandro Canesso de Andrade & Eui Jung Chang

**Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility**

*by*Scott I. White & Adam E. Clements & Stan Hurn

**Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?**

*by*Dimitrios D. Thomakos & Prasad S. Bhattacharya

**Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach**

*by*Keen Meng Choy & Hwee Kwan Chow

**Analysis of the predictive ability of information accumulated over nights, weekends and holidays**

*by*Ilias Tsiakas

**A Smooth Test for Density Forecast Evaluation**

*by*Aurobindo Ghosh & Anil K. Bera

**A Constrained State-Space Approach to the Prediction of Comparable Real Income Across Countries**

*by*D.S.P Rao & Rambaldi & A.N.

**On the predictability of GDP data revisions in the Netherlands**

*by*Olivier Roodenburg

**Financial System Development, Regulation and Economic Growth: Evidence from Russia**

*by*Ulrich Thießen

**Growth and Inflation Forecasts for Germany: An Assessment of Accuracy and Dispersion**

*by*Jörg Döpke & Ulrich Fritsche

**A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa**

*by*Janine Aron & John Muellbauer & Coen Pretorius

**Optimal Forecast Combination Under Regime Switching**

*by*Elliott, Graham & Timmermann, Allan G

**Forecasting Time Series Subject to Multiple Structural Breaks**

*by*Pesaran, M Hashem & Pettenuzzo, Davide & Timmermann, Allan G

**Real Time Econometrics**

*by*Pesaran, M Hashem & Timmermann, Allan G

**Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks**

*by*Pesaran, M Hashem & Timmermann, Allan G

**Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model**

*by*Busetti, Fabio

**Bagging Time Series Models**

*by*Inoue, Atsushi & Kilian, Lutz

**Heterogenous Information About the Term Structure of Interest Rates, Least-Squares Learning and Optimal Interest Rate Rules**

*by*Eijffinger, Sylvester C W & Schaling, Eric & Tesfaselassie, Mewael F.

**Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices**

*by*Bofinger, Peter & Leitner, Johannes & Schmidt, Robert

**A leading indicator for the Dutch economy; methodological and empirical revision of the CPB system**

*by*Henk Kranendonk & Jan Bonenkamp & Johan Verbruggen

**Using intra annual information to forecast the annual state deficits : the case of France**

*by*MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David

**Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic**

*by*Alexis Derviz & Jiri Podpiera

**Are Vector Autoregressions And Accurate Model For Dynamic Asset Allocation?**

*by*Francisco Peñaranda

**Forecasting the density of asset returns**

*by*Trino-Manuel Niguez & Javier Perote

**Budgetary Forecasts in Europe – The Track Record of Stability and Convergence Programmes**

*by*Rolf Strauch & Mark Hallerberg & Jürgen von Hagen

**Model-Free Impulse Responses**

*by*Oscar Jorda

**A Model of the Irish Housing Sector**

*by*Mc Quinn, Kieran

**‘Forecasting Time Series Subject to Multiple Structural Breaks’**

*by*Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A.

**‘Real Time Econometrics’**

*by*Pesaran, M.H. & Timmermann, A.

**Consumption and population age structure**

*by*Solveig K. Erlandsen & Ragnar Nymoen

**Oil wealth and real exchange rates: The FEER for Norway**

*by*Q. Farooq Akram

**Modelling inflation in the Euro Area**

*by*Eilev S. Jansen

**Inflation and the Markup in the Euro Area**

*by*Bruneau, C. & De bandt, O. & Flageollet, A.

**Un modello dei conti economici per il sistema bancario italiano**

*by*Luca Casolaro & Leonardo Gambacorta

**Structural Change and Forecasting Long-Run Energy Prices**

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**A Forecasting Model for Inventory Investments in Canada**

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**Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates**

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**Índice De Atividade Econômica: Os Modelos De Filtro De Kalman E Box-Jenkins Comparados**

*by*Vamerson Schwingel Ribeiro & Joilson Dias

**New methodological approaches to the construction of currency crashes models**

*by*Michal Pazour

**Financial Variables and the Simulated Out-of-Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing Approach**

*by*David E. Rapach & Christian E. Weber

**Modelos de regresión espacio-temporales en la estimación de la renta municipal: el caso de la Región de Murcia**

*by*CHASCO, C. & LÓPEZ, F.A.

**20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family**

*by*DE ARCE BORDA, R.

**Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland**

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**A Statistical Forecasting Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model Uncertainty**

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**Agricultural Reform in Slovakia**

*by*Pavel Ciaian & Jan Pokryvcak

**The Nobel Prize Laureates, 2003**

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**The Applied Econometrics: Theory and Praxis (Roman Hušek and Jan Pelikán) (in Czech)**

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**Mobilité européenne, tourisme et diffusion des pièces euros étrangères en France**

*by*Claude Grasland & France Guérin-Pace

**Conditional distribution resampling for time series**

*by*Cees Diks & Svetlana Borovkova

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**Long-Run Dynamics of FDI and its Spillovers Onto Output: Evidence From the Asia-Pacific Economic Cooperation Region**

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**Productivity Analysis in Asia-Pacific Economic Cooperation Region: a Multi-Country Translog Comparative Analysis, 1965-97**

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