## 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.

**Does Economic Policy Uncertainty Forecast Real Housing Returns in a Panel of OECD Countries? A Bayesian Approach**

*by*Christina Christou & Rangan Gupta & Christis Hassapis

**The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach**

*by*Rangan Gupta & Anandamayee Majumdar & Mark Wohar

**Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries**

*by*Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar

**BVAR mapping**

*by*Demeshev, Boris & Malakhovskaya, Oxana

**Forecasting of the global migration situation based on the analysis of net migration in the countries**

*by*Lifshits, Marina

**House prices and interest rates: Bayesian evidence from Germany**

*by*Hanck, Christoph & Prüser, Jan

**Forecasting euro area recessions in real-time**

*by*Pirschel, Inske

**Approximating fixed-horizon forecasts using fixed-event forecasts**

*by*Knüppel, Malte & Vladu, Andreea L.

**Point, interval and density forecasts of exchange rates with time-varying parameter models**

*by*Abbate, Angela & Marcellino, Massimiliano

**Credit risk interconnectedness: What does the market really know?**

*by*Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia

**The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach**

*by*Donal Smith

**Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models**

*by*Florian Ziel & Rafal Weron

**Recent advances in electricity price forecasting: A review of probabilistic forecasting**

*by*Jakub Nowotarski & Rafal Weron

**Automated variable selection and shrinkage for day-ahead electricity price forecasting**

*by*Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron

**On the importance of the long-term seasonal component in day-ahead electricity price forecasting**

*by*Jakub Nowotarski & Rafal Weron

**To combine or not to combine? Recent trends in electricity price forecasting**

*by*Jakub Nowotarski & Rafal Weron

**Adaptive shrinkage in Bayesian vector autoregressive models**

*by*Florian Huber & Martin Feldkircher

**EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk**

*by*Marcin Chlebus

**One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable**

*by*Marcin Chlebus

**Understanding the sources of macroeconomic uncertainty**

*by*Barbara Rossi & Tatevik Sekhposyan & Matthieu Soupre

**In-sample inference and forecasting in misspecified factor models**

*by*Marine Carrasco & Barbara Rossi

**Forecasting with Neural Networks Models**

*by*Francis Bismans & Igor N. Litvine

**On the use of high frequency measures of volatility in MIDAS regressions**

*by*Elena Andreou

**Prediction of Gas Concentration Based on the Opposite Degree Algorithm**

*by*Xiao-Guang Yue & Rui Gao & Michael McAleer

**Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set**

*by*Herman Stekler & Yongchen Zhao

**A Comparison of Three Models to Predict Liquidity Flows between Banks Based on Daily Payments Transactions**

*by*Triepels, Ron & Daniels, Hennie

**Forecasting using Random Subspace Methods**

*by*Tom Boot & Didier Nibbering

**Accounting for Missing Values in Score-Driven Time-Varying Parameter Models**

*by*Andre Lucas & Anne Opschoor & Julia Schaumburg

**Prediction of Gas Concentration based on the Opposite Degree Algorithm**

*by*Xiao-Guang Yue & Rui Gao & Michael McAleer

**Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**Forecasting Turkish Real GDP Growth in a Data Rich Environment**

*by*Bahar Sen Dogan & Murat Midilic

**Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter**

*by*Christian Hepenstrick & Massimiliano Marcellino

**Exchange Rate Predictability and State-of-the-Art Models**

*by*Pinar Yesin

**Foreign PMIs: A reliable indicator for exports?**

*by*Sandra Hanslin & Rolf Scheufele

**The Impact of BREXIT on the Foreign Direct Investment in the United Kingdom**

*by*Mihaela Simionescu

**Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator**

*by*Dilip Kumar

**Stock Return Predictability in South Africa: An Alternative Approach**

*by*Ailie Charteris and Barry Strydom

**Nowcasting Real GDP growth in South Africa**

*by*Alain Kabundi, Elmarie Nel and Franz Ruch

**Estimation Of Star-Garch Models With Iteratively Weighted Least Squares**

*by*Murat Midilic

**A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models**

*by*Martyna Marczak & Tommaso Proietti & Stefano Grassi

**“Butterfly Effect" vs Chaos in Energy Futures Markets**

*by*Loretta Mastroeni & Pierluigi Vellucci

**Forecast Combinations For Realized Volatility In Presence Of Structural Breaks**

*by*Davide De Gaetano

**Forecasting Unemployment with Google Searches**

*by*Tuhkuri, Joonas

**ETLAnow: A Model for Forecasting with Big Data – Forecasting Unemployment with Google Searches in Europe**

*by*Tuhkuri, Joonas

**Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency**

*by*Michael Clements

**Which Sentiment Indicators Matter? An Analysis of the European Commercial Real Estate Market**

*by*Steffen Heinig & Anupam Nanda & Sotiris Tsolacos

**Are Macroeconomic Density Forecasts Informative?**

*by*Michael Clements

**A wavelet-based multivariate multiscale approach for forecasting**

*by*António Rua

**A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data**

*by*Cláudia Duarte & Paulo M.M. Rodrigues & António Rua

**Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach**

*by*Matteo Bonato & Riza Demirer & Rangan Gupta & Christian Pierdzioch

**Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test**

*by*Mehmet Balcilar & Esin Cakan & Rangan Gupta

**Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach**

*by*Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar

**Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty**

*by*Christina Christou & Rangan Gupta

**The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis**

*by*Nikolaos Antonakakis & Tsangyao Chang & Juncal Cunado & Rangan Gupta

**Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis**

*by*Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar

**The Term Premium as a Leading Macroeconomic Indicator**

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

**Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data**

*by*Degiannakis, Stavros & Potamia, Artemis

**Is the Threat of Foreign Aid Withdrawal an Effective Deterrent to Political Oppression? Evidence from 53 African Countries**

*by*Asongu, Simplice & Nwachukwu, Jacinta

**On the choice of covariance specifications for portfolio selection problems**

*by*R. Ferreira, Alexandre & A. P. Santos, Andre

**Risk adjustment of the credit-card augmented Divisia monetary aggregates**

*by*Barnett, William & Su, Liting

**Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates**

*by*Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

**The credit-card-services augmented Divisia monetary aggregates**

*by*Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

**A Standardized Treatment of Binary Similarity Measures with an Introduction to k-Vector Percentage Normalized Similarity**

*by*Stacey, Brian

**“Attitudes to Leadership and Voting: Finding the Efficient Frontier”**

*by*Davis, Brent

**Determining Statistical Pattern on the Drug-Related Killing in Philippines Using ARIMA and Poisson Techniques**

*by*Tamayo, Adrian

**The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?**

*by*Fantazzini, Dean

**Everything you always wanted to know about bitcoin modelling but were afraid to ask**

*by*Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey

**Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence**

*by*Thomadakis, Apostolos

**The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment**

*by*Hännikäinen, Jari

**Models of Mortality rates - analysing the residuals**

*by*O'Hare, Colin & Li, Youwei

**Modelling mortality: Are we heading in the right direction?**

*by*O'Hare, Colin & Li, Youwei

**Automating Analytics: Forecasting Time Series in Economics and Business**

*by*Gerunov, Anton

**When does the yield curve contain predictive power? Evidence from a data-rich environment**

*by*Hännikäinen, Jari

**Forecasting football match results: Are the many smarter than the few?**

*by*García, Jaume & Pérez, Levi & Rodríguez, Plácido

**Experts, firms, consumers or even hard data? Forecasting employment in Germany**

*by*Lehmann, Robert & Wohlrabe, Klaus

**Forecasting oil price realized volatility: A new approach**

*by*Degiannakis, Stavros & Filis, George

**Foreign exchange rates with the Taylor rule and VECMs**

*by*Piersanti, Fabio Massimo & Rizzati, Massimiliano & Nakmai, Siwat

**Forecast future production of municipal waste on the basis of a panel data model in Algeria**

*by*Djemaci, Brahim

**Prospects for Africa's economic growth**

*by*Przemyslaw Cieslak

**Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK**

*by*Janine Aron & John Muellbauer

**Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations**

*by*David Hendry & Andrew B. Martinez

**A Quantile Regression Model for Electricity Peak Demand Forecasting: An Approach to Avoiding Power Blackouts**

*by*Niematallah Elamin & Mototsugu Fukushige

**Forecasting GDP during and after the Great Recession: A contest between small-scale bridge and large-scale dynamic factor models**

*by*Patrice Ollivaud & Pierre-Alain Pionnier & Elena Rusticelli & Cyrille Schwellnus & Seung-Hee Koh

**Assessing Point Forecast Accuracy by Stochastic Error Distance**

*by*Francis X. Diebold & Minchul Shin

**Forecasting China's Economic Growth and Inflation**

*by*Patrick Higgins & Tao Zha & Karen Zhong

**Crowdsourcing City Government: Using Tournaments to Improve Inspection Accuracy**

*by*Edward L. Glaeser & Andrew Hillis & Scott Duke Kominers & Michael Luca

**The State of American Entrepreneurship: New Estimates of the Quantity and Quality of Entrepreneurship for 15 US States, 1988-2014**

*by*Jorge Guzman & Scott Stern

**Global or domestic? Which shocks drive inflation in European small open economies?**

*by*Aleksandra Hałka & Jacek Kotłowski

**Forecasting Inflation Using The Phillips Curve: Evidence From Swedish Data**

*by*Diana Gabrielyan

**Bayesian Rank Selection in Multivariate Regression**

*by*Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid

**Data-driven particle Filters for particle Markov Chain Monte Carlo**

*by*Patrick Leung & Catherine S. Forbes & Gael M. Martin & Brendan McCabe

**Visualising forecasting Algorithm Performance using Time Series Instance Spaces**

*by*Yanfei Kang & Rob J. Hyndman & Kate Smith-Miles

**Forecast bankruptcy using a blend of clustering and MARS model - Case of US banks**

*by*Zeineb Affes & Rania Hentati-Kaffel

**Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis**

*by*Zeineb Affes & Rania Hentati-Kaffel

**A note on normalization schemes:The case of generalized forecast error variance decompositions**

*by*Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli

**Overview of the Macedonian Policy Analysis Model (MAKPAM)**

*by*Tibor Hledik & Sultanija Bojceva-Terzijan & Biljana Jovanovic & Rilind Kabashi

**Réduction des maladies cardiovasculaires et dépenses de santé au Québec à l’horizon 2050**

*by*David Boisclair & Yann Décarie & François Laliberté-Auger & Pierre-Carl Michaud

**Replacing Judgment by Statistics: Constructing Consumer Confidence Indicators on the basis of Data-driven Techniques. The Case of the Euro Area**

*by*Christian Gayer & Alessandro Girardi & Andreas Reuter

**Sobre Los Fundamentales Del Precio De La Energía Eléctrica: Evidencia Empírica Para Colombia**

*by*Jorge Barrientos Marín & Mónica Toro Martínez

**Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates**

*by*William Barnett & Liting Su

**Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates**

*by*William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

**The Credit-Card-Services Augmented Divisia Monetary Aggregates**

*by*William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

**Forecasting inbound tourists in Cambodia**

*by*Tanaka, Kiyoyasu

**Global population growth, technology and Malthusian constraints: A quantitative growth theoretic perspective**

*by*Bruno Lanz & Simon Dietz & Tim Swanson

**Tricks for improving non-homogeneous regression for probabilistic precipitation forecasts: Perfect predictions, heavy tails, and link functions**

*by*Manuel Gebetsberger & Jakob W. Messner & Georg J. Mayr & Achim Zeileis

**Ensemble Post-Processing of Daily Precipitation Sums over Complex Terrain Using Censored High-Resolution Standardized Anomalies**

*by*Reto Stauffer & Jakob W. Messner & Georg J. Mayr & Nikolaus Umlauf & Achim Zeileis

**Predictive Bookmaker Consensus Model for the UEFA Euro 2016**

*by*Achim Zeileis & Christoph Leitner & Kurt Hornik

**Spatial Ensemble Post-Processing with Standardized Anomalies**

*by*Markus Dabernig & Georg J. Mayr & Jakob W. Messner & Achim Zeileis

**Spatio-Temporal Precipitation Climatology over Complex Terrain Using a Censored Additive Regression Model**

*by*Reto Stauffer & Jakob W. Messner & Georg J. Mayr & Nikolaus Umlauf & Achim Zeileis

**Assessing Causality and Delay within a Frequency Band**

*by*Jörg Breitung & Sven Schreiber

**Forecast Disagreement and the Inflation Outlook: New International Evidence**

*by*Pierre L. Siklos

**Dynamiczne wlasnosci miar ubostwa energetycznego**

*by*Maciej Lis & Agata Miazga & Michal Ramsza

**Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics**

*by*Ying Chen & Wolfgang K. Härdle & Wee Song Chua

**Academic Ranking Scales in Economics: Prediction and Imputation**

*by*Alona Zharova & Andrija Mihoci & Wolfgang Karl Härdle &

**On Persistence of Uncertainty Shocks**

*by*Sergey Egiev

**Structural Breaks in Potential GDP Of Three Major Economies: Just Impaired Credit or the “New Normal”?**

*by*Alexander Yu. Apokin & Irina B. Ipatova

**Adjusting for Information Content when Comparing Forecast Performance**

*by*Andersson, Michael K. & Aranki, Ted & Reslow, André

**Forecasting Goods and Services Inflation in Sweden**

*by*Mossfeldt, Marcus & Stockhammar, Pär

**The distributive effects of work-family life policies in European welfare states**

*by*Tine Hufkens & Gerlinde Verbist

**The Total Fertility Rate in Germany until 2040 - A Stochastic Principal Components Projection based on Age-specific Fertility Rates**

*by*Vanella, Patrizio

**Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting**

*by*Kruse, Robinson & Leschinski, Christian & Will, Michael

**Could The Start Of The German Recession 2008-2009 Have Been Foreseen? Evidence From Real-Time Data**

*by*Ulrich Heilemann & Susanne Schnorr-Bäcker

**Forecasting the USD/CNY Exchange Rate under Different Policy Regimes**

*by*Yuxuan Huang

**Bayesian Compressed Vector Autoregressions**

*by*Gary Koop & Dimitris Korobilis & Davide Pettenuzzo

**Global Population Growth, Technology and Malthusian Constraints: A Quantitative Growth Theoretic Perspective**

*by*Bruno Lanz & Simon Dietz & Tim Swanson

**Russian industrial enterprises in 2015 (on the basis of business surveys)**

*by*Tsukhlo Sergey

**Industrial production dynamics in particular sectors of Russian industry**

*by*Idrisov Georgy & Kaukin Andrey & Ponomarev Yuri

**Scenarios to explore global food security up to 2050: Development process, storylines and quantification of drivers**

*by*Michiel van Dijk & Maryia Mandryk & Marc Gramberger & David Laborde & Lindsay Shutes & Elke Stehfest & Hugo Valin & Katharina Zellmer

**On the use of interview data for the microsimulation of ideological conflicts : an analysis of the political cleavages of the European left**

*by*Mueller, Georg P.

**Copula--based Specification of vector MEMs**

*by*Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo

**Forecasting Economic Activity with Mixed Frequency Bayesian VARs**

*by*Brave, Scott & Butters, R. Andrew & Justiniano, Alejandro

**Heterogeneity in the Dynamics of Disaggregate Unemployment**

*by*Ahn, Hie Joo

**Nowcasting Turkish GDP and News Decomposition**

*by*Michele Modugno & Baris Soybilgen & M. Ege Yazgan

**A Nowcasting Model for Canada: Do U.S. Variables Matter?**

*by*Daniela Bragoli & Michele Modugno

**A Time Series Model of Interest Rates With the Effective Lower Bound**

*by*Benjamin K. Johannsen & Elmar Mertens

**Inflation as a global phenomenon - some implications for policy analysis and forecasting**

*by*Kabukcuoglu, Ayse & Martinez-Garcia, Enrique

**Large Vector Autoregressions with Stochastic Volatility and Flexible Priors**

*by*Clark, Todd E. & Carriero, Andrea & Marcellino, Massimiliano

**Forecasting China's Economic Growth and Inflation**

*by*Higgins, Patrick C. & Zha, Tao & Zhong, Karen

**The role of commodity prices in forecasting U.S. core inflation**

*by*Gospodinov, Nikolay

**Risk Management of Demand Deposits in a Low Interest Rate Environment**

*by*Hana Dzmuranova

**Prediction of Gas Concentration Based on the Opposite Degree Algorithm**

*by*Yue, X-G. & Gao, R. & McAleer, M.J.

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

*by*Hilde C. Bjornland & Francesco Ravazzolo & Leif Anders Thorsrud

**Forecasting the Estonian rate of inflation using factor models**

*by*Nicolas Reigl

**Reject inference in application scorecards: evidence from France**

*by*Ha-Thu Nguyen

**Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries**

*by*Jos Jansen & Jasper de Winter

**Updated Reference Forecasts for Global CO2 Emissions from Fossil-Fuel Consumption**

*by*José M. Belbute & Alfredo Marvão Pereira

**A unfi ed view of systemic risk: detecting SIFIs and forecasting the fi nancial cycle via EWSs**

*by*Alessandro Spelta

**A new combination approach to reducing forecast errors with an application to volatility forecasting**

*by*Till Weigt & Bernd Wilfling

**Understanding the Sources of Macroeconomic Uncertainty**

*by*Rossi, Barbara & Sekhposyan, Tatevik & Soupre, Mattheiu

**Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts**

*by*Rossi, Barbara & Sekhposyan, Tatevik

**In-sample Inference and Forecasting in Misspecified Factor Models**

*by*Carrasco, Marine & Rossi, Barbara

**Forecasting Macroeconomic Variables under Model Instability**

*by*Pettenuzzo, Davide & Timmermann, Allan G

**On the use of high frequency measures of volatility in MIDAS regressions**

*by*Andreou, Elena

**Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK**

*by*Aron, Janine & Muellbauer, John

**Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us**

*by*Baumeister, Christiane & Kilian, Lutz

**Modelling the Impacts of a Cut to Company Tax in Australia**

*by*J.M. Dixon & J. Nassios

**Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star**

*by*Miller Ariza

**The productivity of top researchers: A semi-nonparametric approach**

*by*Lina M. Cortés & Javier Perote & Andrés Mora-Valencia

**Credit Funding and Banking Fragility: An Empirical Analysis for Emerging Economies**

*by*Alexander Guarín-López & Ignacio Lozano-Espitia

**Comparison of Methods for Estimating the Uncertainty of Value at Risk**

*by*Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno

**Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations**

*by*Michal Franta

**A composite leading cycle indicator for Uruguay**

*by*Pablo Galaso & Sandra Rodríguez

**Forecasting U.S. Recessions and Economic Activity**

*by*Rachidi Kotchoni & Dalibor Stevanovic

**Réduction des maladies cardiovasculaires et dépenses de santé au Québec à l’horizon 2050**

*by*David Boisclair & Yann Décarie & François Laliberté-Auger & Pierre-Carl Michaud

**Prévision de l’activité économique au Québec**

*by*Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic

**Real-Time State Space Method for Computing Smoothed Estimates of Future Revisions of U.S. Monthly Chained CPI**

*by*Peter A. Zadrozny

**A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil**

*by*Christiane Baumeister & Lutz Kilian

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

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

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

*by*Christiane Baumeister & Lutz Kilian

**Joint Confidence Sets for Structural Impulse Responses**

*by*Atsushi Inoue & Lutz Kilian

**Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us**

*by*Christiane Baumeister & Lutz Kilian

**A Semiparametric Intraday GARCH Model**

*by*Peter Malec

**Spline-DCS for Forecasting Trade Volume in High-Frequency Finance**

*by*Ryoko Ito

**Realised Variance Forecasting Under Box-Cox Transformations**

*by*Nick Taylor

**Bayesian Compressed Vector Autoregressions**

*by*Davide Pettenuzzo & Gary Koop & Dimitris Korobilis

**Bayesian Compressed Vector Autoregressions**

*by*Davide Pettenuzzo & Gary Koop & Dimitris Korobilis

**Measuring Underlying Inflation Using Dynamic Model Averaging**

*by*Yuto Iwasaki & Sohei Kaihatsu

**Credit risk stress testing for EU15 banks: a model combination approach**

*by*George Papadopoulos & Savas Papadopoulos & Thomas Sager

**Systemic early warning systems for EU15 based on the 2008 crisis**

*by*Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager

**The Aino 2.0 model**

*by*Kilponen, Juha & Orjasniemi, Seppo & Ripatti, Antti & Verona, Fabio

**How informative are aggregated inflation expectations? Evidence from the ECB Survey of Professional Forecasters**

*by*Oinonen, Sami & Paloviita, Maritta

**Macroeconomic tail events with non-linear Bayesian VARs**

*by*Chiu, Ching-Wai (Jeremy) & Hacioglu Hoke, Sinem

**The dynamic Black-Litterman approach to asset allocation**

*by*Harris, Richard D F & Stoja, Evarist & Tan, Linzhi

**A Bayesian VAR benchmark for COMPASS**

*by*Domit, Sílvia & Monti, Francesca & Sokol, Andrej

**Adaptive models and heavy tails**

*by*Petrella, Ivan & Delle Monache, Davide

**Detecting imbalances in house prices: What goes up must come down?**

*by*André K. Anundsen

**Joint prediction bands for macroeconomic risk management**

*by*Farooq Akram & Andrew Binning & Junior Maih

**Understanding the Sources of Macroeconomic Uncertainty**

*by*Barbara Rossi & Tatevik Sekhposyan & Matthiew Soupre

**Testing Subspace Granger Causality**

*by*Majid M. Al-Sadoon

**The PRISME model: can disaggregation on the production side help to forecast GDP?**

*by*C. Thubin & T. Ferrière & E. Monnet & M. Marx & V. Oung

**Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD**

*by*Benavides Guillermo

**Adaptive models and heavy tails**

*by*Davide Delle Monache & Ivan Petrella

**A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil**

*by*Christiane Baumeister & Lutz Kilian

**New Housing Registrations as a Leading Indicator of the BC Economy**

*by*Calista Cheung & Dmitry Granovsky

**Forecasting inflation in post-oil boom years: A case for non-linear models?**

*by*Vugar Ahmadov & Shaig Adigozalov & Salman Huseynov & Fuad Mammadov & Vugar Rahimov

**Is the Threat of Foreign Aid Withdrawal an Effective Deterrent to Political Oppression? Evidence from 53 African Countries**

*by*Simplice Asongu & Jacinta C. Nwachukwu

**State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models**

*by*Luis Uzeda

**Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting**

*by*Robinson Kruse & Christian Leschinski & Michael Will

**Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index**

*by*Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd

**A generalized exponential time series regression model for electricity prices**

*by*Niels Haldrup & Oskar Knapik & Tommaso Proietti

**Renewed Momentum in the German Housing Market: Real-Time Monitoring of Boom vs. Bubble**

*by*Xi Chen & Michael Funke

**ifo Konjunkturumfragen und Konjunkturanalyse: Band II**

*by*Wolfgang Nierhaus & Timo (Hrsg.) Wollmershäuser

**Economic Growth and Business Cycle Forecasting at the Regional Level**

*by*Robert Lehmann

**The new hybrid value at risk approach based on the extreme value theory**

*by*Nikola Radivojevic & Milena Cvjetkovic & Saša Stepanov

**Real-Time Properties of the Federal Reserve's Output Gap**

*by*Rochelle M. Edge & Jeremy B. Rudd

**Forecasting Conditional Probabilities of Binary Outcomes under Misspecification**

*by*Graham Elliott & Dalia Ghanem & Fabian Krüger

**Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models**

*by*Siem Jan Koopman & André Lucas & Marcel Scharth

**Modelling cross-dependencies between Spain’s regional tourism markets with an extension of the Gaussian process regression model**

*by*Oscar Claveria & Enric Monte & Salvador Torra

**Household disaggregation and forecasting in a regional econometric input–output model**

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*by*Kitlinski, Tobias & an de Meulen, Philipp

**With or without you: Do financial data help to forecast industrial production?**

*by*Kitlinski, Tobias

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

*by*Döhrn, Roland & an de Meulen, Philipp

**Optimizing Policymakers' Loss Functions in Crisis Prediction: Before, Within or After?**

*by*Sarlin, Peter & von Schweinitz, Gregor

**Model pooling and changes in the informational content of predictors: An empirical investigation for the euro area**

*by*Schwarzmüller, Tim

**Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey**

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

**Radical uncertainty: Sources, manifestations and implications**

*by*Müller, Christian

**A data-cleaning augmented Kalman filter for robust estimation of state space models**

*by*Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano

**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

**Forty years of oil price fluctuations: Why the price of oil may still surprise us**

*by*Baumeister, Christiane & Kilian, Lutz

**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.

**A macroeconomic reverse stress test**

*by*Grundke, Peter & Pliszka, Kamil

**European economic sentiment indicator: An empirical reappraisal**

*by*Petar Sorić & Ivana Lolić & Mirjana Čižmešija

**TIPS Liquidity Premium and Quantitative Easing**

*by*Laura Coroneo

**Comparing predictive accuracy in small samples**

*by*Laura Coroneo & Fabrizio Iacone

**A Bayesian Decision-Theoretic Model of Sequential Experimentation with Delayed Response**

*by*Stephen Chick & Martin Forster & Paolo Pertile

**Electric load forecasting with recency effect: A big data approach**

*by*Pu Wang & Bidong Liu & Tao Hong

**A hybrid model for GEFCom2014 probabilistic electricity price forecasting**

*by*Katarzyna Maciejowska & Jakub Nowotarski

**Improving short term load forecast accuracy via combining sister forecasts**

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

**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

**Who Creates Jobs? Econometric Modeling and Evidence for Austrian Firm Level Data**

*by*Peter Huber & Harald Oberhofer & Michael Pfaffermayr

**Speculative Bubbles in Urban Housing Markets in Germany**

*by*Konstantin Kholodilin

**Bivariate GARCH models for single asset returns**

*by*Tomasz Skoczylas

**Using Land-Use Modelling to Statistically Downscale Population Projections to Small Areas**

*by*Michael P. Cameron & William Cochrane

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

*by*Roberto Casarin & Federico Bassetti & Francesco Ravazzolo

**Market Sentiment and Paradigm Shifts**

*by*Liya Chu & Xue-Zhong He & Kai Li & Jun Tu

**Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation**

*by*Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina

**Macroeconomic Factors and Equity Premium Predictability**

*by*Buncic, Daniel & Tischhauser, Martin

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

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

**Testing subspace Granger causality**

*by*Majid M. Al-Sadoon

**Causal relations between knowledge-intensive business services and regional employment growth**

*by*Brenner T. & Capasso M. & Duschl M. & Frenken K. & Treibich T.G.

**A New Approach to Modeling the Effects of Temperature Fluctuations on Monthly Electricity Demand**

*by*Yoosoon Chang & Chang Sik Kim & J. Isaac Miller & Joon Y. Park & Sungkeun Park

**Finding SPF Percentiles Closest to Greenbook**

*by*Tae-Hwy Lee & Yiyao Wang

**DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa**

*by*Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini

**Oil price forecastability and economic uncertainty**

*by*Stelios D. Bekiros & Rangan Gupta & Alessia Paccagnini

**Volatility spillovers in EMU sovereign bond markets**

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

**A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?**

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

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

*by*Manabu Asai & Michael McAleer

**Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms**

*by*Yongchen Zhao

**Forecasting Consumption: The Role of Consumer Confidence in Real Time with many Predictors**

*by*Kajal Lahiri & George Monokroussos & Yongchen Zhao

**Forecasting Value-at-Risk under Temporal and Portfolio Aggregation**

*by*Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk

**Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance**

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

**Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies**

*by*David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh

**Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode**

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

**What do Professional Forecasters actually predict?**

*by*Didier Nibbering & Richard Paap & Michel van der Wel

**Difference-in-Differences Techniques for Spatial Data: Local Autocorrelation and Spatial Interaction**

*by*Michael S. Delgado & Raymond J.G.M. Florax

**In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models**

*by*Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas

**A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?**

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

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

*by*Manabu Asai & Michael McAleer

**The Explanatory Power and the Forecast Performance of Consumer Confidence Indices for Private Consumption Growth in Turkey**

*by*Hatice Gokce Karasoy & Caglar Yunculer

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

*by*Selen Baser Andic & Fethi Ogunc

**Overcoming the Forecast Combination Puzzle: Lessons from the Time-Varying Effciency of Phillips Curve Forecasts of U.S. Inﬂation**

*by*Christopher G. Gibbs

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

*by*Christopher Gibbs

**Short-term Forecasting of Real GDP Using Monthly Data**

*by*Juraj Hucek & Alexander Karsay & Marian Vavra

**On a Bootstrap Test for Forecast Evaluations**

*by*Marian Vavra

**Small-scale nowcasting models of GDP for selected CESEE countries**

*by*Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth

**Modelling and forecasting rig rates on the Norwegian Continental Shelf**

*by*Terje Skjerpen & Halvor Briseid Storrøsten & Knut Einar Rosendahl & Petter Osmundsen

**Monetary Policy with Diverse Private Expectations**

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

**Hedge fund predictability and optimal asset allocation**

*by*Ekaterini Panopoulou & Theologos Pantelidis & Spyridon Vrontos

**Forecasting South African Gold Sales: The Box-Jenkins Methodology**

*by*Johannes Tshepiso Tsoku & Nonofo Phokontsi & Daniel Metsileng

**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

**Contracting Out Mandatory Counselling And Training For Long-Term Unemployed. Private For-Profit Or Non-Profit, Or Keep It Public?**

*by*Bart Cockx & Stijn Baert

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

*by*Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi

**Using Google Trend Data To Predict The Italian Unemployment Rate**

*by*Alessia Naccarato & Andrea Pierini & Stefano Falorsi

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

*by*Mihaela Simionescu

**Nowcasting Indonesia**

*by*Luciani, Matteo & Pundit, Madhavi & Ramayandi, Arief & Veronese , Giovanni

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

*by*Michael P. Clements &

**Point process models for extreme returns: Harnessing implied volatility**

*by*R Herrera & Adam Clements

**A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models**

*by*Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova

**A Time Varying DSGE Model with Financial Frictions**

*by*Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova

**Large Vector Autoregressions with Asymmetric Priors**

*by*Andrea Carriero & Todd E. Clark & Massimiliano Marcellino

**Decoupling land values in residential property prices: smoothing methods for hedonic imputed price indices**

*by*Alicia N. Rambaldi & Ryan R. J. McAllister & Cameron S. Fletcher

**Causal Relations between Knowledge-Intensive Business Services and Regional Employment Growth**

*by*Thomas Brenner & Marco Capasso & Matthias Duschl & Koen Frenken & Tania Treibich

**Macroeconomic Forecasting Starting from Survey Nowcasts**

*by*João Valle e Azevedo & Inês Gonçalves

**The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test**

*by*Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar

**Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve**

*by*Rangan Gupta & Hylton Hollander & Rudi Steinbach

**The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk**

*by*Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta

**Estimation and prediction of an Index of Financial Safety of Tunisia**

*by*Matkovskyy, Roman & Bouraoui, Taoufik & Hammami, Helmi

**Key sectors after a decade of transformation: Evidence from Poland**

*by*Gurgul, Henryk & Lach, Łukasz

**Forecasting implied volatility indices worldwide: A new approach**

*by*Degiannakis, Stavros & Filis, George & Hassani, Hossein

**Investments and uncertainty revisited: The case of the US economy**

*by*Degiannakis, Stavros & Filis, George & Palaiodimos, George

**Foreign aid instability and bundled governance dynamics in Africa**

*by*Asongu, Simplice A & Nwachukwu, Jacinta C.

**Complex Exponential Smoothing**

*by*Svetunkov, Ivan & Kourentzes, Nikolaos

**Forecasting tourist arrivals to Turkey**

*by*Yılmaz, Engin

**Nowcasting in Real Time Using Popularity Priors**

*by*Monokroussos, George

**The role of component-wise boosting for regional economic forecasting**

*by*Lehmann, Robert & Wohlrabe, Klaus

**Forecasting Tourist Arrivals Using Origin Country Macroeconomics**

*by*Chatziantoniou, Ioannis & Degiannakis, Stavros & Eeckels, Bruno & Filis, George

**An econometric investigation of forecasting liquefied petroleum gas in Ghana**

*by*Yeboah Asuamah, Samuel

**Looking into the Black Box of Boosting: The Case of Germany**

*by*Lehmann, Robert & Wohlrabe, Klaus

**Forecasting Revisions of German Industrial Production**

*by*Wohlrabe, Klaus & Bührig, Pascal

**Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets**

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

**Forecasting Inflation using Functional Time Series Analysis**

*by*Zafar, Raja Fawad & Qayyum, Abdul & Ghouri, Saghir Pervaiz

**Forecasting German Car Sales Using Google Data and Multivariate Models**

*by*Fantazzini, Dean & Toktamysova, Zhamal

**Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach**

*by*Medel, Carlos A.

**Quantum microeconomics theory**

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

**Selection of an estimation window in the presence of data revisions and recent structural breaks**

*by*Hännikäinen, Jari

**Short term Bayesian inflation forecasting for Tunisia**

*by*Dahem, Ahlem

**Causal latent Markov model for the comparison of multiple treatments in observational longitudinal studies**

*by*Bartolucci, Francesco & Pennoni, Fulvia & Vittadini, Giorgio

**Inequality Constrained State Space Models**

*by*Qian, Hang

**Forecasting with Temporal Hierarchies**

*by*Athanasopoulos, George & Hyndman, Rob J. & Kourentzes, Nikolaos & Petropoulos, Fotios

**Modeling and Applied Research in Sustainable Development**

*by*Zeng, Xiangyu & Zeng, Zhezhao

**Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting**

*by*Bersimis, Sotirios & Degiannakis, Stavros & Georgakellos, Dimitrios

**Endogenous derivation and forecast of lifetime PDs**

*by*Perederiy, Volodymyr

**A Critical Review of Posch, J. and F. Rumler (2015), 'Semi-Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve,' Journal of Forecasting 34(2): 145-62**

*by*Medel, Carlos A.

**Forecasting Inflation in Tunisia Using Dynamic Factors Model**

*by*AMMOURI, Bilel & TOUMI, Hassen & Zitouna, Habib

**Oil – The Earth’s blood, a paper on how to recover its critical declining prices by using a hedge vaccine through a leading core of countries termed as VIRUS**

*by*Cazotto, Gabriel

**Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach**

*by*Naser, Hanan & Alaali, Fatema

**Robustness in Foreign Exchange Rate Forecasting Models: Economics-based Modelling After the Financial Crisis**

*by*Medel, Carlos & Camilleri, Gilmour & Hsu, Hsiang-Ling & Kania, Stefan & Touloumtzoglou, Miltiadis

**Nowcasting Regional GDP: The Case of the Free State of Saxony**

*by*Henzel, Steffen & Lehmann, Robert & Wohlrabe, Klaus

**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.

**Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər**

*by*Mehdiyev, Mehdi & Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad

**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

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

*by*Kym Anderson & Glyn Wittwer

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

*by*Jonas Dovern & Martin Feldkircher & Florian Huber

**Towards more gender equality in Austria**

*by*Volker Ziemann

**Austria's separate gender roles model was popular in the past, but is becoming a constraint for comprehensive wellbeing**

*by*Rauf Gönenç & Béatrice Guérard & Isabelle Hassler & Andreas Wörgötter

**Does the Post-Crisis Weakness of Global Trade Solely Reflect Weak Demand?**

*by*Patrice Ollivaud & Cyrille Schwellnus

**The Welfare Effects of Nudges: A Case Study of Energy Use Social Comparisons**

*by*Hunt Allcott & Judd B. Kessler

**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

**Whose inflation is it anyway? The inflation spillovers between the euro area and small open economies**

*by*Aleksandra HaÅ‚ka & Karol Szafranek

**FloGARCH : Realizing long memory and asymmetries in returns volatility**

*by*Harry Vander Elst

**FloGARCH : Realizing long memory and asymmetries in returns volatility**

*by*Harry Vander Elst

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

*by*Ahmad Farid Osman & Maxwell L. King

**Forecasting with Temporal Hierarchies**

*by*George Athanasopoulos & Rob J Hyndman & Nikolaos Kourentzes & Fotios Petropoulos

**Forecasting hierarchical and grouped time series through trace minimization**

*by*Shanika L Wickramasuriya & George Athanasopoulos & Rob J Hyndman

**A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction**

*by*Christoph Bergmeir & Rob J Hyndman & Bonsoo Koo

**A fully non-parametric heteroskedastic model**

*by*Matthieu Garcin & Clément Goulet

**A Practical Approach to Financial Crisis Indicators Based on Random Matrices**

*by*Antoine Kornprobst & Raphael Douady

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

*by*Anil Alpman

**The Financial Econometrics of Price Discovery and Predictability**

*by*Seema Narayan & Russell Smyth

**Forecasting VARs, model selection, and shrinkage**

*by*Kascha, Christian & Trenkler, Carsten

**Granger-causal analysis of GARCH models: a Bayesian approach "Abstract: A multivariate GARCH model is used to investigate Granger causality in the conditional variance of time series. Parametric restrictions for the hypothesis of noncausality in conditional variances between two groups of variables, when there are other variables in the system as well, are derived. These novel conditions are convenient for the analysis of potentially large systems of economic variables. To evaluate hypotheses of noncausality, a Bayesian testing procedure is proposed. It avoids the singularity problem that may appear in theWald test and it relaxes the assumption of the existence of higher-order moments of the residuals required in classical tests. "**

*by*Tomasz Wozniak

**Granger Causality and Regime Inference in Bayesian Markov-Switching VARs**

*by*Matthieu Droumagueta & Anders Warneb & Tomasz Wozniakc

**Granger Causality and Regime Inference in Bayesian Markov-Switching VARs**

*by*Matthieu Droumaguet & Anders Warne & Tomasz Wozniak

**Forecasting the Oil-Gasoline Price Relationship: Should We Care about the Rockets and the Feathers?**

*by*Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA

**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

**ISBEM: An econometric model for the Italian State Budget Expenditures**

*by*Giuseppe Bianchi & Tatiana Cesaroni & Ottavio Ricchi

**Suite of Latvia's GDP forecasting models**

*by*Andrejs Bessonovs

**Forecasting Lithuanian Inflation**

*by*Julius Stakenas

**Conditional Term Structure of Inflation Forecast Uncertainty: The Copula Approach**

*by*Wojciech Charemza & Carlos Díaz & Svetlana Makarova

**Dissecting Models’ Forecasting Performance**

*by*Boriss Siliverstovs

**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

**Inflation as a Global Phenomenon—Some Implications for Policy Analysis and Forecasting**

*by*Ayse Kabukcuoglu & Enrique Martínez-García

**Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model**

*by*Fady Barsoum

**Forecasting Euro Area Macroeconomic Variables with Bayesian Adaptive Elastic Net**

*by*Sandra Stankiewicz

**Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates**

*by*Jing Zeng

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

*by*Tim Schwarzmüller

**Contracting Out Mandatory Counselling and Training for Long-Term Unemployed: Private For-Profit or Non-Profit, or Keep It Public?**

*by*Cockx, Bart & Baert, Stijn

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

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

**Optimizing Policymakers' Loss Functions in Crisis Prediction: Before, Within or After?**

*by*P. Sarlin & Gregor von Schweinitz

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

*by*Germán López Espinosa

**Poverty, Vulnerability and the Middle Class in Latin America**

*by*Marco Stampini & Marcos Robles & Mayra Sáenz & Pablo Ibarrarán & Nadin Medellín

**Measuring the Connectedness of the Global Economy**

*by*Matthew Greenwood-Nimmo & Viet Hoang Nguyen

**Factor structural time series models for official statistics with an application to hours worked in Germany**

*by*Weigand, Roland & Wanger, Susanne & Zapf, Ines

**Copula-Based Factor Model for Credit Risk Analysis**

*by*Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Karl Wolfgang & Härdle

**Forecasting the oil price using house prices Mechanism and the Business Cycle**

*by*Rainer Schulz & Martin Wersing & &

**Forecasting Russian Macroeconomic Indicators with BVAR**

*by*Boris B. Demeshev & Oxana A. Malakhovskaya

**Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting**

*by*Lucas, André & Zhang, Xin

**Forest reliance across poverty groups in Tanzania**

*by*Dokken, Therese & Angelsen, Arild

**Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates**

*by*Reese, Simon

**Predicting Recessions in Germany With Boosted Regression Trees**

*by*Jörg Döpke & Ulrich Fritsche & Christian Pierdzioch

**A comparative Study of Volatility Breaks**

*by*Grote, Claudia & Bertram, Philip

**A Nonparametric Approach to Identifying a Subset of Forecasters that Outperforms the Simple Average**

*by*Constantin Bürgi & Tara M. Sinclair

**Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms**

*by*Yongchen Zhao

**Predicting Recessions With Boosted Regression Trees**

*by*Jörg Döpke & Ulrich Fritsche & Christian Pierdzioch

**Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis**

*by*Neil R. Ericsson

**Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates**

*by*William Larson

**Can A Subset Of Forecasters Beat The Simple Average In The Spf?**

*by*Constantin Burgi

**Application of periodic autoregressive process to the modeling of the Garonne river ﬂows**

*by*PEREAU Jean-Christophe & URSU Eugen

**The impact of trade liberalisation on labour markets and poverty in Sri Lanka**

*by*Tilak Liyanaarachchi & Athula Naranpanawa & Jayatilleke S. Bandara

**On the Forecasting of Financial Volatility Using Ultra-High Frequency Data**

*by*António A. F. Santos

**The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures**

*by*António Alberto Santos

**Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula**

*by*Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao

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

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

**Exploring the use of anonymized consumer credit information to estimate economic conditions: an application of big data**

*by*Wilshusen, Stephanie M.

**Exploiting the monthly data flow in structural forecasting**

*by*Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia

**Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR**

*by*McCracken, Michael W. & Owyang, Michael T. & Sekhposyan, Tatevik

**Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis**

*by*Ericsson, Neil R.

**Forecasting with Sufficient Dimension Reductions**

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**To the problem of evaluation of market risk of global equity index portfolio in global capital markets**

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

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

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*by*Knüppel, Malte

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*by*Sebastian Orzel & Aleksander Weron

**The Dynamic Interrelations between Unequal Neighbors: An Austro-German Case Study**

*by*Klaus Prettner & Robert M. Kunst

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*by*Francesco Audrino & Dominik Colangelo

**Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach**

*by*Francesco Audrino & Kameliya Filipova

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

**What Happened to Risk Management During the 2008-09 Financial Crisis?**

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

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

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

**Modelling the Growth and Volatility in Daily International Mass Tourism to Peru**

*by*Jose Angelo Divino & Michael McAleer

**Modelling Sustainable International Tourism Demand to the Brazilian Amazon**

*by*Jose Angelo Divino & Michael McAleer

**State-Uncertainty preferences and the Risk Premium in the Exchange rate market**

*by*Juan-Angel Jimenez-Martin & Alfonso Novales Cinca

**A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk**

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

**Forecasting linear dynamical systems using subspace methods**

*by*Alfredo García-Hiernaux

**Modelling Realized Covariances**

*by*Xin Jin & John M Maheu

**A Method for Implementing Counterfactual Experiments in Models with Multiple Equilibria**

*by*Victor Aguirregabiria

**Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns**

*by*Jan G. de Gooijer & Cees G.H. Diks & Lukasz T. Gatarek

**Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach**

*by*Tim Willems

**Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights**

*by*Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek

**UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?**

*by*Gary Koop & Dimitris Korompilis

**Forecasting realized (co)variances with a block structure Wishart autoregressive model**

*by*Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo

**A VECX* model of the Swiss economy**

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

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

*by*Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli

**Composite Leading Indicators for Ukraine: An Early Warning Model**

*by*Vladimir Dubrovskiy & Inna Golodniuk & Janusz Szyrmer

**Could we have predicted the recent downturn in the South African Housing Market?**

*by*Sonali Das & Rangan Gupta & Alain Kabundi

**Managing Disinflation under Uncertainty**

*by*Mewael F. Tesfaselassie & Eric Schaling

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

*by*Rangan Gupta & Alain Kabundi

**Forecasting Private Consumption: Survey-based Indicators vs. Google Trends**

*by*Torsten Schmidt & Simeon Vosen

**Indicatori privind ConvergenÅ£a RealÄƒ ÅŸi aplicaÅ£iilor acestora**

*by*Pecican, Eugen Stefan

**Short-Run Oil Price Drivers: South America’s Energy Integration**

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**Constructing Consumer Sentiment Index for U.S. Using Google Searches**

*by*Della Penna, Nicolas & Huang, Haifang

**A New Look at Copper Markets: A Regime-Switching Jump Model**

*by*Chan, Wing Hong & Young, Denise

**Bayesian Multivariate Time Series Methods for Empirical Macroeconomics**

*by*Gary Koop & Dimitris Korobilis

**Financial Market Conditions, Real Time, Nonlinearity and European Central Bank Monetary Policy: In-Sample and Out-of-Sample Assessment**

*by*Costas Milas & Ruthira Naraidoo

**Forecasting Inflation Using Dynamic Model Averaging**

*by*Gary Koop & Dimitris Korobilis

**Inflation Volatility and Forecast Accuracy**

*by*Jamie Hall & Jarkko Jääskelä

**Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy**

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**A State Space Approach to Extracting the Signal from Uncertain Data**

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**Back to basics: Data revisions**

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**Are ATM/POS Data Relevant When Nowcasting Private Consumption?**

*by*Paulo Soares Esteves

**Dynamic factor models with jagged edge panel data: Taking on board the dynamics of the idiosyncratic components**

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

**Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features**

*by*Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani

**Eficiencia gerencial: propuesta metodológica para su medición y evaluación en el sector eléctrico de Venezuela**

*by*Acevedo Rueda, Rafael Alexis

**Bankruptcy prediction models: How to choose the most relevant variables?**

*by*du Jardin, Philippe

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

*by*Bruno, Giancarlo

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

*by*Todd, Prono

**Forecasting output growth by the yield curve: the role of structural breaks**

*by*He, Zhongfang

**Wavelet-Based Prediction for Governance, Diversi cation and Value Creation Variables**

*by*Kahloul, Ines & Ben Mabrouk, Anouar & Hallara, Salah-Eddine

**Estimating Value-at-Risk (VaR) using TiVEx-POT Models**

*by*Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese

**Microenvironment-specific Effects in the Application Credit Scoring Model**

*by*Khudnitskaya, Alesia S.

**Examining the Ability of Core Inflation to Capture the Overall Trend of Total Inflation**

*by*Tierney, Heather L.R.

**Forecasting wholesale electricity prices: A review of time series models**

*by*Weron, Rafal

**VAR forecasting using Bayesian variable selection**

*by*Korobilis, Dimitris

**Optimal Risk Management Before, During and After the 2008-09 Financial Crisis**

*by*McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio

**Results of a special questionnaire for participants in the ECB Survey of Professional Forecasters (SPF)**

*by*Meyler, Aidan & Rubene, Ieva

**Būvniecības nozares prognozēšanas modelis**

*by*Skribans, Valerijs

**Bayesian Multivariate Time Series Methods for Empirical Macroeconomics**

*by*Koop, Gary & Korobilis, Dimitris

**Puzzle solver**

*by*Christian, Mueller-Kademann

**External Shocks and the Indian Economy: Analyzing through a Small, Structural Quarterly Macroeconometric Model**

*by*NR, Bhanumurthy & Kumawat, Lokendra

**The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?**

*by*El Bouhadi, Abdelhamid & Achibane, Khalid

**Krīzes un 2009. gada nodokļu politikas izmaiņu ietekme uz Latvijas ekonomiku**

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**Влияние Трудовой Эмиграции На Рынок Труда В Латвии**

*by*Skribans, Valerijs

**Predicting unemployment in short samples with internet job search query data**

*by*Francesco, D'Amuri

**Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach**

*by*Beneki, Christina & Eeckels, Bruno & Leon, Costas

**"Google it!" Forecasting the US unemployment rate with a Google job search index**

*by*D'Amuri, Francesco/FD & Marcucci, Juri/JM

**Evaluating Exclusion-from-Core Measures of Inflation using Real-Time Data**

*by*Tierney, Heather L.R.

**Bubbles and contagion in English house prices**

*by*Fry, J. M.

**Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn**

*by*Bušs, Ginters

**Competitiveness and the real exchange rate: the standpoint of countries in the CEMAC zone**

*by*Lendjoungou, Francis

**Bias Correction and Out-of-Sample Forecast Accuracy**

*by*Kim, Hyeongwoo & Durmaz, Nazif

**Forecasting credit growth rate in Romania: from credit boom to credit crunch?**

*by*Albulescu, Claudiu Tiberiu

**Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach**

*by*Bušs, Ginters

**Understanding forecast failure of ESTAR models of real exchange rates**

*by*Buncic, Daniel

**Predicting Elections from Biographical Information about Candidates**

*by*Armstrong, J. Scott & Graefe, Andreas

**Role thinking: Standing in other people’s shoes to forecast decisions in conflicts**

*by*Green, Kesten C. & Armstrong, J. Scott

**Data Revisions in India and its Implications for Monetary Policy**

*by*Kishor, N. Kundan

**Business Aviation in Germany: An empirical and model-based analysis**

*by*Berster, Peter & Gelhausen, Marc Christopher & Wilken, Dieter

**“No One Saw This Coming”: Understanding Financial Crisis Through Accounting Models**

*by*Bezemer, Dirk J

**General correcting formula of forecasting?**

*by*Harin, Alexander

**“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro**

*by*Boainain, Pedro G. & Valls Pereira, Pedro L.

**Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process**

*by*Gan, Jumwu

**Общая Корректирующая Формула Прогнозирования**

*by*Harin, Alexander

**Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?**

*by*Manzan, Sebastiano & Zerom, Dawit

**Understanding forecast failure in ESTAR models of real exchange rates**

*by*Buncic, Daniel

**Building and Using a Small Macroeconometric Model: Klein Model I as an Example**

*by*Renfro, Charles G

**Bootstrap prediction intervals for threshold autoregressive models**

*by*Jing, Li

**Revisiting the Derivative: Implications on the Rate of Change Analysis**

*by*Khumalo, Bhekuzulu

**Cointegration And The Forecast Accuracy Of Var Models**

*by*Maria M. De Mello

**Testing Predictive Ability and Power Robustification**

*by*Kyungchul Song

**A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting**

*by*Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario A. Maggi

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

*by*Janine Aron

**A defence of the FOMC**

*by*Martin Ellison & Thomas J. Sargent

**Estonia and Euro Adoption: Small Country Challenges of Joining EMU**

*by*Zuzana Brixiova & Margaret Morgan & Andreas Wörgötter

**Measuring output gap uncertainty**

*by*Anthony Garratt & James Mitchell & Shaun P. Vahey

**Forecasting national activity using lots of international predictors: an application to New Zealand**

*by*Sandra Eickmeier & Tim Ng

**Real-time conditional forecasts with Bayesian VARs: An application to New Zealand**

*by*Chris Bloor & Troy Matheson

**A Stochastic Forecast Model For Japan'S Population**

*by*Yoichi Okita & Wade D. Pfau & Giang Thanh Long

**DSGE Model-Based Forecasting of Non-modelled Variables**

*by*Frank Schorfheide & Keith Sill & Maxym Kryshko

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

*by*Lucas W. Davis & Lutz Kilian

**Optimal Probabilistic Forecasts for Counts**

*by*Brendan P.M. McCabe & Gael M. Martin & David Harris

**Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions**

*by*George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid

**Forecasting time series with complex seasonal patterns using exponential smoothing**

*by*Alysha M De Livera & Rob J Hyndman

**The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting**

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**Evolution of Subjective Hurricane Risk Perceptions: A Bayesian Approach**

*by*David Kelly & David Letson & Forest Nelson & David S. Nolan & Daniel Solis

**Modelling and Forecasting Mobile Telecommunication Services: The case of Greece**

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**Labour Market Dynamics in EU: a Bayesian Markov Chain Approach**

*by*George A. Christodoulakis & Emmanuel C. Mamatzakis

**Decomposing Federal Funds Rate forecast uncertainty using real-time data**

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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**

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

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

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**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**

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

**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**

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

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

*by*Pooyan Amir Ahmadi & Albrecht Ritschl

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

*by*Wolfgang Karl HÃ¤rdle & Nikolaus Hautsch & Andrija Mihoci

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

*by*Wolfgang HÃ¤rdle & Alena Mysickova

**Combination of multivariate volatility forecasts**

*by*Alessandra Amendola & Giuseppe Storti

**Volatility Forecasting: The Jumps Do Matter**

*by*Fulvio Corsi & Davide Pirino & Roberto Reno

**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**

*by*Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan

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*by*Lönnbark, Carl

**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**

*by*Zagaglia, Paolo

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

*by*Giordani, Paolo & Villani, Mattias

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

*by*Li, Feng & Villani, Mattias & Kohn, Robert

**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**

*by*Heinen, Florian & Sibbertsen, Philipp & Kruse, Robinson

**Economic impacts of the RES Obligations in Austria – an Application of the Macro-Econometric Model e3.at**

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

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

*by*Tara Sinclair & Frederick L. Joutz

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

*by*Tara Sinclair & H.O. Stekler & Elizabeth Reid & Edward N. Gamber

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

*by*Tara M. Sinclair & Fred Joutz & Herman O. Stekler

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*by*Delphine Bassilière & Francis Bossier & Frédéric Verschueren

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*by*Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo

**Automated Variable Selection in Vector Multiplicative Error Models**

*by*Fabrizio Cipollini & Giampiero M. Gallo

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

*by*Andrea Bastianin

**Um teste a relacao entre os niveis de confianca e de desemprego em Portugal**

*by*António Caleiro

**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**

*by*Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti

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

*by*Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher

**Did the introduction of the euro impact on inflation uncertainty? - An empirical assessment**

*by*Matthias Hartmann & Helmut Herwartz

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

*by*Janos Varga & Jan in 't Veld

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

*by*Rombouts, J.V.K. & Verbeek, M.J.C.M.

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

*by*da Veiga, B. & Chan, F. & McAleer, M.J.

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

*by*McAleer, M.J. & Medeiros, M.C.

**What Happened to Risk Management During the 2008-09 Financial Crisis?**

*by*McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T.

**How Accurate are Government Forecast of Economic Fundamentals?**

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

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

*by*Guo Li & Lee Sanning & Sherrill Shaffer

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

*by*Don Harding & Adrian Pagan

**Understanding forecast failure of ESTAR models of real exchange rates**

*by*Daniel Buncic

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

*by*Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli

**Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors**

*by*Lucia Alessi & Matteo Barigozzi & Marco Capasso

**Model Comparisons in Unstable Environments**

*by*Raffaella Giacomini & Barbara Rossi

**Information Criteria For Impulse Response Function Matching Estimation Of Dsge Models**

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

**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*Escribano, Álvaro & Sucarrat, Genaro

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

*by*Cartea, Álvaro & Karyampas, Dimitrios

**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.

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**Federal Reserve Information During the Great Moderation**

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**Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis**

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**A Monetary Approach to Exchange Rate Dynamics in Low-Income Countries: Evidence from Kenya**

*by*Nandwa, Boaz & Mohan, Ramesh

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**Credit Risk Models for Managing Bank’s Agricultural Loan Portfolio**

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**Exact prediction of inflation and unemployment in Germany**

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**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

**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

**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

**A Comparison of USDA's Agricultural Export Forecasts with ARIMA-based Forecasts**

*by*MacDonald, Stephen

**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

**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

**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

**Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases**

*by*Giannone, Domenico & Reichlin, Lucrezia & Small, David

**Monetary Policy in Real Time**

*by*Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca

**Leading Indicators: What Have We Learned?**

*by*Marcellino, Massimiliano

**Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration**

*by*van Tol, Michel R & Wolff, Christian C

**On the Fit and Forecasting Performance of New Keynesian Models**

*by*Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael

**The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time**

*by*Orphanides, Athanasios & van Norden, Simon

**Forecasting exchange rates: a robust regression approach**

*by*PREMINGER, Arie & FRANCK, Raphael

**The Application of Structured Feedforward Neural Networks to the Modelling of Daily Series of Currency in Circulation**

*by*Marek Hlavacek & Michael Konak & Josef Cada

**The Behavioural Equilibrium Exchange Rate of the Czech Koruna**

*by*Lubos Komarek & Martin Melecky

**Asymptotic distribution of a simple linear estimator for VARMA models in echelon form**

*by*Jean-Marie Dufour & Tarek Jouini

**New Composite Leading Indicators for Hungary and Poland**

*by*Harm Bandholz

**Testable Implications of Forecast Optimality**

*by*Andrew J. Patton & Allan Timmermann

**Early-warning tools to forecast General Government deficit in the euro area: the role of intra-annual fiscal Indicators**

*by*Javier J. Pérez

**Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series**

*by*Pami Dua & Lokendra Kumawat

**Survey Expectations**

*by*Pesaran, M.H. & Weale, M.

**Forecasting Distributions with Experts Advice**

*by*Sancetta, A.

**The European Union GDP Forecast Rationality under Asymmetric Preferences**

*by*George A. Christodoulakis & Emmanuel C. Mamatzakis

**Monetary policy and asset prices: To respond or not?**

*by*Q. Farook Akram & Gunnar Bårdsen & Øyvind Eitrheim

**Acerca de la estacionalidad estocástica. Una aplicación para la demanda real de dinero en Uruguay**

*by*Elizabeth Bucacos

**Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?**

*by*Andrea Nobili

**Cross-country differences in monetary policy transmission**

*by*Robert-Paul Berben & Alberto Locarno & Julian Morgan & Javier Vallés

**Forecasting Canadian GDP: Region-Specific versus Countrywide Information**

*by*Frédérick Demers & David Dupuis

**MUSE: The Bank of Canada's New Projection Model of the U.S. Economy**

*by*Marc-André Gosselin & René Lalonde

**Estimação De Funções De Demanda Residencial De Água Em Contextos De Preços Não Lineares**

*by*José Airton Mendonça de Melo & Paulo de Melo Jorge Neto

**Are Business Cycles All Alike In Europe?**

*by*Márcio Antônio Salvato & João Victor Issler & Angelo Mont'alverne Duarte

**Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?**

*by*Heather Anderson & Fashid Vahid

**Forecasting the macro economy**

*by*Robert Ewing & David Gruen & John Hawkins

**A Quarterly Macroeconometric Model of the Turkish Economy**

*by*Cem Aysoy & Ahmet N. Kipici

**Detection and Forecasting of Islamic Calendar Effects in Time series Data**

*by*Riaz Riazuddin & Mahmood ul Hasan Khan

**Franco: una mente mai ferma**

*by*Paul A. Samuelson

**Franco: a mind never at rest**

*by*Paul A. Samuelson

**Franco: a mind never at rest**

*by*Paul A. Samuelson

**Escenarios de empleo regional. Una propuesta basada en análisis shift-share/Regionel Employment Scenarios. A Schift-Share Approach**

*by*MAYOR FERNÁNDEZ, M. & LÓPEZ MENÉNDEZ, A.J. & PÉREZ SUÁREZ, R.

**Az első hazai csődmodell újraszámítása neurális hálók segítségével**

*by*Virág, Miklós & Kristóf, Tamás

**Understanding and Comparing Factor-Based Forecasts**

*by*Jean Boivin & Serena Ng

**Some approachs to forecasting economic indicators**

*by*Marina Turuntseva & Sergey Drobyshevsky & Pavel Kadochnnikov

**Forecasting the UK Unemployment Rate: Model Comparisons**

*by*Floros, Ch.

**Órdenes de flujo, tasa de interés y tasa de cambio nominal: un ejemplo de redes neuronales para Colombia 2005**

*by*Octavio José Salcedo Parra & Marco Aguilera Prado

**Gauging Employment: Is the Professional Wisdom Wrong?**

*by*George C. Perry

**Les scores de la Banque de France : leur développement, leurs applications, leur maintenance**

*by*BARDOS, M.

**Investments and Economic Growth Based on Endogenous Factors**

*by*Ivan Stoykov

**Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management**

*by*M. Hashem Pesaran & Paolo Zaffaroni

**Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison**

*by*Mikael Petitjean & Pierre Giot

**How Precise are Our Estimates of the Current Output Gap? New Evidence from Multivariate Estimates for the Euro-Zone**

*by*Simon van Norden

**Using Genetic Programming with Lambda Abstraction to Find Technical Trading Rules**

*by*Tina Yu & Shu-Heng Chen

**Data Revisions in General Equilibrium**

*by*S. Boragan Aruoba

**A DSGE-VAR for the Euro Area**

*by*Marco Del Negro & Frank Schorfheide

**Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination**

*by*Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo

**Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated**

*by*Norman R. Swanson & Valentina Corradi

**Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model**

*by*Yasutomo Murasawa & Roberto S. Mariano

**How Can We Define the Long Memory Concept? An Econometric Survey**

*by*Dominique Guegan

**Causality: Some New Thoughts on an Old Topic**

*by*Clive Granger

**Allowing for basis convergence and long memory in volatility when dynamic hedging the Australian All Ordinaries Index**

*by*Jonathan Dark

**Can Consumer Attitudes Forecast Household Spending in the United States? Further Evidence from the Michigan Survey of Consumers**

*by*Andy C. C. Kwan & John A. Cotsomitis

**Principal Components Model Of The Romanian Economy. Study Of The Oil Price Impact Upon Gdp**

*by*Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Nicolae, Mariana

**Principal Components Model Of The Romanian Economy. Gdp – Production Side**

*by*Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Albu, Lucian Liviu & Stanica, Cristian Nicolae & Nicolae, Mariana & Chilian, Mihaela Nona

**Quarterly Gdp Data Correction Using Principal Components Analysis. The Case Of The Romanian Economy – Gdp Expenditures Side**

*by*Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Albu, Lucian Liviu & Stanica, Cristian Nicolae

**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

**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

**A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices : Are there substantial differences?**

*by*Schmidt, Robert & Leitner, Johannes

**Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models**

*by*Lux, Thomas & Kaizoji, Taisei

**Forecast quality and simple instrument rules: a real-time data approach**

*by*Glück, Heinz & Schleicher, Stefan P.

**Real-time Data for Norway: Challenges for Monetary Policy**

*by*Bernhardsen, Tom & Eitrheim, Øyvind & Jore, Anne Sofie & Røisland, Øistein

**Real-time data and business cycle analysis in Germany**

*by*Döpke, Jörg

**Regional Econometric Housing Start Forecast Accuracy in Florida**

*by*Thomas M. Fullerton Jr. & Carol T. West

**Underground Shocks Ground Zero Responses**

*by*Maurizio Bovi

**Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship**

*by*Jonathan B. Hill

**Learning, inflation expectations and optimal monetary policy**

*by*Eric Schaling

**Is money informative? Evidence from a large model used for policy analysis**

*by*Filippo Altissimo & Eugenio Gaiotti & Alberto Locarno

**Model-Free Impulse Responses**

*by*Oscar Jorda

**Narrowing the US twin deficits: simulations with a world macroeconometric model**

*by*Alberto Bagnai & Silvia Galli & Eleonora Pierucci & Simone Raimondi

**System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets**

*by*Cornelis A Los

**Economic Performance in a Cross-Section of U.S. Native American Economies**

*by*Voxi Heinrich S Amavilah

**Human Capital: Infrastructural and Superstructural Constraints to Economic Performance across U.S. Native American Reservations and Trust Lands**

*by*Voxi Heinrich S Amavilah

**Economic Growth and the Financial Economics of Capital Accumulation under Shifting Technological Change**

*by*Voxi Heinrich S Amavilah & Richard T. Newcomb

**Long-Run Regressions: Theory and Application to US Asset Markets**

*by*Charlotte S. Hansen & Bjorn E. Tuypens

**Genetic Algorithms: Genesis of Stock Evaluation**

*by*Rama Prasad Kanungo

**On aggregation bias in fixed-event forecast efficiency tests**

*by*Gultekin Isiklar

**Is it really long memory we see in financial returns?**

*by*Thomas Mikosch

**Non-stationarities in stock returns**

*by*Catalin Starica & Clive Granger

**Space-Time Lags: Specification Strategy In Spatial Regression Models**

*by*Fernando A. López Hernández & Coro Chasco Yrigoyen

**Confessions of an International Forecaster**

*by*Thomas M Fullerton Jr

**Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach**

*by*Ricardo Gonçalves Silva & Marinho Gomes Andrade & Milton Barossi-Filho

**Policy Makers Priors and Inflation Density Forecasts**

*by*Marco Vega

**Modelos de regresión espacio temporales en la estimación de la renta municipal. Estimación de la renta en los municipios de la Región de Murcia**

*by*Coro Chasco-Yrigoyen & Fernando López-Hernández

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**Methodology Of Scenario Forecasting Of Russia’S Economic Development**

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**Scenarios Of Economic Development In Romania – Medium To Long-Term Forecasting Models**

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**Possible Evolutions Of The Romanian Economy (Macromodel Estimations)**

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**The Romanian Growth Potential – A Cge Analysis**

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**Factors And Mechanisms Of Economic Growth In Transition Economies Of Different Types (Case Of Romania)**

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**Macroeconomic Estimations For The Romanian “Pre-Accession Economic Program” (The 2003 Version)**

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**The Dobrescu Macromodel Of The Romanian Transition Economy – Yearly And Monthly Forecast**

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**Delineating Efficient Portfolios And Forecasting The Conditional Variance: The Case Of The Bucharest Stock Exchange**

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