My JEL codes
Follow this JEL code
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 following RePEc Biblio entries:
This topic is covered by the following reading lists:
2022
- Christian Gourieroux & Joann Jasiak, 2022. "Long Run Predictions," Annals of Economics and Statistics, GENES, issue 145, pages 75-90.
- Paul Beaudry & Tim Willems, 2022.
"On the Macroeconomic Consequences of Over-Optimism,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 14(1), pages 38-59, January.
- Paul Beaudry & Tim Willems, 2018. "On the Macroeconomic Consequences of Over-Optimism," NBER Working Papers 24685, National Bureau of Economic Research, Inc.
- Tim Willems & Paul Beaudry, 2018. "On the Macroeconomic Consequences of Over-Optimism," IMF Working Papers 2018/122, International Monetary Fund.
- Ilya V. Naumov & Sergey S. Krasnykh & Yulia S. Otmakhova, 2022. "Scenario forecasting of the socio-economic consequences of the COVID-19 pandemic in Russian regions," R-Economy, Ural Federal University, Graduate School of Economics and Management, vol. 8(1), pages 5-20.
- Nuno Goncalves, 2022. "Most probable or more prudent? Analysing CFP's macroeconomic projections, 2015-2019," CFP Occasional Papers 02/2022, Portuguese Public Finance Council.
- Lafond, François & Farmer, J. Doyne & Mungo, Luca & Astudillo-Estévez, Pablo, 2022. "Reconstructing production networks using machine learning," INET Oxford Working Papers 2022-02, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
CEPR Discussion Papers
17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Papers 2201.05556, arXiv.org.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Fiaschi, Davide & Tealdi, Cristina, 2022.
"Scarring Effects of the COVID-19 Pandemic on the Italian Labour Market,"
IZA Discussion Papers
15102, Institute of Labor Economics (IZA).
- Davide Fiaschi & Cristina Tealdi, 2022. "Scarring effects of the COVID-19 pandemic on the Italian labour market," Papers 2202.13317, arXiv.org.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022.
"Forecasting US Inflation Using Bayesian Nonparametric Models,"
Working Papers
22-05, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Papers 2202.13793, arXiv.org.
- Francis X. Diebold & Glenn D. Rudebusch & Maximilian Gobel & Philippe Goulet Coulombe & Boyuan Zhang, 2022.
"When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume,"
PIER Working Paper Archive
22-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Glenn D. Rudebusch & Maximilian Goebel & Philippe Goulet Coulombe & Boyuan Zhang, 2022. "When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume," Papers 2203.04040, arXiv.org.
- Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
- Hossein Hosseini & Craig Johnston & Craig Logan & Miguel Molico & Xiangjin Shen & Marie-Christine Tremblay, 2022. "Assessing Climate-Related Financial Risk: Guide to Implementation of Methods," Technical Reports 120, Bank of Canada.
- James Chapman & Ajit Desai, 2022. "Macroeconomic Predictions Using Payments Data and Machine Learning," Staff Working Papers 22-10, Bank of Canada.
- Celal OZTURK & Cemal IBIS, 2022. "Behavioral Modelling of Non-Maturing and Time Deposits in Liquidity Risk Management," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 16(1), pages 1-26.
- Donato Ceci & Andrea Silvestrini, 2022. "Nowcasting the state of the Italian economy: the role of financial markets," Temi di discussione (Economic working papers) 1362, Bank of Italy, Economic Research and International Relations Area.
- Youssef Ulgazi & Paul Vertier, 2022. "Forecasting Inflation in France: an Update of MAPI," Working papers 869, Banque de France.
- Ana Aguilar & María Diego-Fernández & Rocio Elizondo & Jessica Roldán-Peña, 2022. "Term premium dynamics and its determinants: the Mexican case," BIS Working Papers 993, Bank for International Settlements.
- Aleksei Kipriyanov, 2022. "Comparison of Models for Growth-at-Risk Forecasting," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 23-45, March.
- Sergey Ivashchenko, 2022. "Dynamic Stochastic General Equilibrium Model with Multiple Trends and Structural Breaks," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 46-72, March.
- Urmat Dzhunkeev, 2022. "Forecasting Unemployment in Russia Using Machine Learning Methods," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 73-87, March.
- Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022.
"Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
- Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020. "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper 106150, University Library of Munich, Germany.
- Shang Han Lin & Zhang Xibin, 2022. "Bayesian bandwidth estimation for local linear fitting in nonparametric regression models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 55-71, February.
- Segnon Mawuli & Wilfling Bernd & Lau Chi Keung & Gupta Rangan, 2022.
"Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 73-98, February.
- Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta, 2017. "Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data," Working Papers 201739, University of Pretoria, Department of Economics.
- Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta, 2017. "Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data," CQE Working Papers 6117, Center for Quantitative Economics (CQE), University of Muenster.
- Pesaran, M. H. & Pick, A. & Timmermann, A., 2022. "Forecasting with panel data: estimation uncertainty versus parameter heterogeneity," Cambridge Working Papers in Economics 2219, Faculty of Economics, University of Cambridge.
- Mueller, H. & Rauh, C., 2022. "Using Past Violence and Current News to Predict Changes in Violence," Cambridge Working Papers in Economics 2220, Faculty of Economics, University of Cambridge.
- Mueller, H. & Rauh, C., 2022. "Using Past Violence and Current News to Predict Changes in Violence," Janeway Institute Working Papers 2209, Faculty of Economics, University of Cambridge.
- Congressional Budget Office, 2022. "The Accuracy of CBO’s Budget Projections for Fiscal Year 2021," Reports 57614, Congressional Budget Office.
- Congressional Budget Office, 2022. "A Markov-Switching Model of the Unemployment Rate: Working Paper 2022-05," Working Papers 57582, Congressional Budget Office.
- U. Devrim Demirel & James Otterson, 2022. "Quantifying the Uncertainty of Long-Term Economic Projections: Working Paper 2022-07," Working Papers 57711, Congressional Budget Office.
- Xu, Yongdeng, 2022. "Exponential High-Frequency-Based-Volatility (EHEAVY) Models," Cardiff Economics Working Papers E2022/5, Cardiff University, Cardiff Business School, Economics Section.
- Blazsek, Szabolcs & Escribano, Álvaro, 2022. "Score-driven threshold ice-age models: benchmark models for long-run climate forecasts," UC3M Working papers. Economics 34757, Universidad Carlos III de Madrid. Departamento de Economía.
- Lukas Boer, 2022. "Steigende Metallpreise als mögliches Hindernis der Energiewende," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 89(4), pages 47-55.
- Chahad, Mohammed & Hofmann-Drahonsky, Anna-Camilla & Page, Adrian & Tirpák, Marcel & Meunier, Baptiste, 2022. "What explains recent errors in the inflation projections of Eurosystem and ECB staff?," Economic Bulletin Boxes, European Central Bank, vol. 3.
- Andrey V. Polbin & Andrey V. Shumilov, 2022. "Об Использовании Моделей Панельных Данных Для Прогнозирования Темпов Роста Отраслей Российской Обрабатывающей Промышленности," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 2, pages 15-19, February.
- Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022.
"The illusion of oil return predictability: The choice of data matters!,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Thomas Conlon & John Cotter & Emmanuel Eyiah-Donkor, 2022. "The illusion of oil return predictability: The choice of data matters!," Post-Print hal-03519860, HAL.
- Jardet Caroline & Meunier Baptiste, 2020.
"Nowcasting World GDP Growth with High-Frequency Data,"
Working papers
788, Banque de France.
- Caroline Jardet & Baptiste Meunier, 2022. "Nowcasting world GDP growth with high‐frequency data," Post-Print hal-03647097, HAL.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
CEPR Discussion Papers
17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Papers 2201.05556, arXiv.org.
- Gergõ Tóth & Zoltán Elekes & Adam Whittle & Changjun Lee & Dieter F. Kogler, 2022. "Technology network structure conditions the economic resilience of regions," CERS-IE WORKING PAPERS 2202, Institute of Economics, Centre for Economic and Regional Studies.
- Morita, Hiroshi, 2022. "Forecasting GDP growth using stock returns in Japan: A factor-augmented MIDAS approach," Discussion paper series HIAS-E-118, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Montserrat Reyna Miranda & Ricardo Massa Roldán & Vicente Gómez Salcido, 2022. "Neuro-wavelet Model for price prediction in high-frequency data in the Mexican Stock market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-23, Enero - M.
- Davide Fiaschi & Cristina Tealdi, 2022.
"Scarring effects of the COVID-19 pandemic on the Italian labour market,"
Papers
2202.13317, arXiv.org.
- Fiaschi, Davide & Tealdi, Cristina, 2022. "Scarring Effects of the COVID-19 Pandemic on the Italian Labour Market," IZA Discussion Papers 15102, Institute of Labor Economics (IZA).
- Immervoll, Herwig & Hyee, Raphaela & Fernandez, Rodrigo & Lee, Jongmi, 2022. "How Reliable Are Social Safety Nets? Value and Accessibility in Situations of Acute Economic Need," IZA Discussion Papers 15232, Institute of Labor Economics (IZA).
- Foltas Alexander, 2022. "Testing Investment Forecast Efficiency with Forecasting Narratives," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 242(2), pages 191-222, April.
- Fabian Baier & Peter Berster & Marc Gelhausen, 2022. "Global cargo gravitation model: airports matter for forecasts," International Economics and Economic Policy, Springer, vol. 19(1), pages 219-238, February.
- Chris Charalambous & Spiros H. Martzoukos & Zenon Taoushianis, 2022. "Estimating corporate bankruptcy forecasting models by maximizing discriminatory power," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 297-328, January.
- Ludmila Fadejeva & Boriss Siliverstovs & Karlis Vilerts & Anete Brinke, 2022. "Consumer Spending in the Covid-19 Pandemic: Evidence from Card Transactions in Latvia," Discussion Papers 2022/01, Latvijas Banka.
- Andreas Marcus Gohs, 2022. "Forecasting Market Diffusion of Innovative Battery-Electric and Conventional Vehicles in Germany under Model Uncertainty," MAGKS Papers on Economics 202209, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Tino Berger & Christian Ochsner, 2022. "Tracking the German Business Cycle," MAGKS Papers on Economics 202212, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Makram El-Shagi & Yizhuang Zheng, 2022.
"Money Demand in China: A Meta Study,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(1), pages 145-163, January.
- Makram El-Shagi & Yizhuang Zheng, 2017. "Money Demand in China: A Meta-Study," CFDS Discussion Paper Series 2017/3, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
- Andras Viktor Szabo, 2022. "Credit Risk Modelling of Mortgage Loans in the Supervisory Stress Test of the Magyar Nemzeti Bank," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 21(1), pages 56-94.
- Bianca Reichert & Adriano Mendonça Souza, 2022. "Can the Heston Model Forecast Energy Generation? A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 289-295.
- Ambya Ambya & Lies Maria Hamzah, 2022. "Indonesian Coal Exports: Dynamic Panel Analysis Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 390-395.
- Nikodinoska, Dragana & Käso, Mathias & Müsgens, Felix, 2022. "Solar and wind power generation forecasts using elastic net in time-varying forecast combinations," Applied Energy, Elsevier, vol. 306(PA).
- Wichitaksorn, Nuttanan, 2022. "Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach," Journal of Asian Economics, Elsevier, vol. 78(C).
- Longo, Luigi & Riccaboni, Massimo & Rungi, Armando, 2022.
"A neural network ensemble approach for GDP forecasting,"
Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Luigi Longo & Massimo Riccaboni & Armando Rungi, 2021. "A Neural Network Ensemble Approach for GDP Forecasting," Working Papers 02/2021, IMT School for Advanced Studies Lucca, revised Mar 2021.
- Tsuchiya, Yoichi, 2022. "Evaluating the European Central Bank’s uncertainty forecasts," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 321-330.
- Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022. "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, vol. 107(C).
- Jang, Hyuna & Kim, Jong-Min & Noh, Hohsuk, 2022. "Vine copula Granger causality in mean," Economic Modelling, Elsevier, vol. 109(C).
- Yang, Yanlin & Hu, Xuemei & Jiang, Huifeng, 2022. "Group penalized logistic regressions predict up and down trends for stock prices," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
- Salisu, Afees A. & Gupta, Rangan & Pierdzioch, Christian, 2022. "Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks☆," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
- Santos, Douglas G. & Candido, Osvaldo & Tófoli, Paula V., 2022. "Forecasting risk measures using intraday and overnight information," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
- Bognanni, Mark, 2022. "Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”," Journal of Econometrics, Elsevier, vol. 227(2), pages 498-505.
- Angelico, Cristina & Marcucci, Juri & Miccoli, Marcello & Quarta, Filippo, 2022. "Can we measure inflation expectations using Twitter?," Journal of Econometrics, Elsevier, vol. 228(2), pages 259-277.
- Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
- Zhang, Han & Guo, Bin & Liu, Lanbiao, 2022. "The time-varying bond risk premia in China," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 51-76.
- Meira, Erick & Cyrino Oliveira, Fernando Luiz & de Menezes, Lilian M., 2022. "Forecasting natural gas consumption using Bagging and modified regularization techniques," Energy Economics, Elsevier, vol. 106(C).
- Pincheira-Brown, Pablo & Bentancor, Andrea & Hardy, Nicolás & Jarsun, Nabil, 2022. "Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis," Energy Economics, Elsevier, vol. 106(C).
- Mahler, Valentin & Girard, Robin & Kariniotakis, Georges, 2022. "Data-driven structural modeling of electricity price dynamics," Energy Economics, Elsevier, vol. 107(C).
- Ren, Xiaohang & Duan, Kun & Tao, Lizhu & Shi, Yukun & Yan, Cheng, 2022. "Carbon prices forecasting in quantiles," Energy Economics, Elsevier, vol. 108(C).
- Salisu, Afees A. & Gupta, Rangan & Demirer, Riza, 2022.
"Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model,"
Energy Economics, Elsevier, vol. 108(C).
- Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model," Working Papers 202121, University of Pretoria, Department of Economics.
- Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
- Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).
- Salisu, Afees A. & Olaniran, Abeeb & Tchankam, Jean Paul, 2022. "Oil tail risk and the tail risk of the US Dollar exchange rates," Energy Economics, Elsevier, vol. 109(C).
- Umar, Zaghum & Aharon, David Y. & Esparcia, Carlos & AlWahedi, Wafa, 2022. "Spillovers between sovereign yield curve components and oil price shocks," Energy Economics, Elsevier, vol. 109(C).
- Kertlly de Medeiros, Rennan & da Nóbrega Besarria, Cássio & Pitta de Jesus, Diego & Phillipe de Albuquerquemello, Vinicius, 2022. "Forecasting oil prices: New approaches," Energy, Elsevier, vol. 238(PC).
- Kuang, Wei, 2022. "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, vol. 239(PA).
- Resce, Giuliano & Vaquero-Pineiro, Cristina, 2022. "Predicting Agri-food Quality across Space: A Machine Learning Model for the Acknowledgment of Geographical Indications," Economics & Statistics Discussion Papers esdp22082, University of Molise, Department of Economics.
- Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2020.
"On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates,"
Papers
2012.11649, arXiv.org, revised Jan 2021.
- Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2022. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," NBER Working Papers 29635, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2021. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates," PIER Working Paper Archive 21-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2021. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," Working Papers 21-06, Federal Reserve Bank of Philadelphia.
- Richard B. Freeman, 2022. "Planning for the “Expected Unexpected”: Work and Retirement in the U.S. After the COVID-19 Pandemic Shock," NBER Working Papers 29653, National Bureau of Economic Research, Inc.
- Petar Rangelov, 2022. "Application of Simulation-based Approach for Determining the Value of Companies Operating in an Environment of Uncertainty," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 111-131, March.
- Grégoire Tallard & Marcel Adenäuer & Koen Deconinck & Gaëlle Gouarin, 2022. "Potential impact of dietary changes on the triple challenge facing food systems: Three stylised scenarios," OECD Food, Agriculture and Fisheries Papers 173, OECD Publishing.
- Francis X. Diebold & Maximilian Gobel, 2022. "A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting," PIER Working Paper Archive 22-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Glenn D. Rudebusch & Maximilian Goebel & Philippe Goulet Coulombe & Boyuan Zhang, 2022.
"When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume,"
Papers
2203.04040, arXiv.org.
- Francis X. Diebold & Glenn D. Rudebusch & Maximilian Gobel & Philippe Goulet Coulombe & Boyuan Zhang, 2022. "When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume," PIER Working Paper Archive 22-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Weshah Razzak, 2021.
"The Ownership of Oil, Democracy, and Iraq's Past, Present and Future,"
Discussion Papers
2102, School of Economics and Finance, Massey University, New Zealand.
- Razzak, Weshah, 2022. "The Ownership of Oil, Democracy, and Iraq’s Past, Present, and Future," MPRA Paper 111417, University Library of Munich, Germany.
- Pincheira, Pablo & Hardy, Nicolas, 2022. "Correlation Based Tests of Predictability," MPRA Paper 112014, University Library of Munich, Germany.
- Arikha, Dahlia, 2022. "Strategi Pembangunan Ekonomi Islam M. Umer Chapra [The Strategy of Islamic Economic Development in Perspective of M. Umer Chapra]," MPRA Paper 112257, University Library of Munich, Germany, revised 28 Feb 2022.
- G.K., Chetan Kumar & K.B., Rangappa & S., Suchitra, 2022. "Analyzing the Impact of Companies’ Investment on Skill Upgradation in Improving their Resilience amidst COVID-19," MPRA Paper 112425, University Library of Munich, Germany.
- Naimoli, Antonio, 2022. "The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets," MPRA Paper 112588, University Library of Munich, Germany.
- Lehmann, Robert & Wikman, Ida, 2022. "Quarterly GDP Estimates for the German States," MPRA Paper 112642, University Library of Munich, Germany.
- Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
- Christina Anderl & Guglielmo Maria Caporale, 2022. "Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts," CESifo Working Paper Series 9687, CESifo.
- M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2022. "Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity," CESifo Working Paper Series 9690, CESifo.
- Didier Sornette & Florian Ulmann & Alexander Wehrli, 2022. "On the Directional Destabilizing Feedback Effects of Option Hedging," Swiss Finance Institute Research Paper Series 22-34, Swiss Finance Institute.
- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021.
"Macroeconomic Forecasting in a Multi-country Context,"
Working Papers
22-02, Federal Reserve Bank of Cleveland.
- Bai, Yu & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022. "Macroeconomic Forecasting in a Multi-country Context," CEPR Discussion Papers 16994, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
Papers
2201.05556, arXiv.org.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," CEPR Discussion Papers 17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Pesaran, M Hashem & Pick, Andreas & Timmermann, Allan, 2022. "Forecasting with panel data: estimation uncertainty versus parameter heterogeneity," CEPR Discussion Papers 17123, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Rossi, Barbara & Wang, Yiru, 2022. "Local Projections in Unstable Environments: How Effective is Fiscal Policy?," CEPR Discussion Papers 17134, C.E.P.R. Discussion Papers.
- Verena Monschang & Bernd Wilfling, 2022. "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers 9722, Center for Quantitative Economics (CQE), University of Muenster.
- Alanya-Beltran, Willy, 2022. "Modelling stock returns volatility with dynamic conditional score models and random shifts," Finance Research Letters, Elsevier, vol. 45(C).
- Sheng, Xin & Gupta, Rangan & Salisu, Afees A. & Bouri, Elie, 2022.
"OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning,"
Finance Research Letters, Elsevier, vol. 45(C).
- Xin Sheng & Rangan Gupta & Afees A. Salisu & Elie Bouri, 2021. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning," Working Papers 202101, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Tchankam, Jean Paul, 2022. "US Stock return predictability with high dimensional models," Finance Research Letters, Elsevier, vol. 45(C).
- Kutuk, Yasin & Barokas, Lina, 2022. "Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries," Finance Research Letters, Elsevier, vol. 45(C).
- Duan, Yuejiao & Goodell, John W. & Li, Haoran & Li, Xinming, 2022. "Assessing machine learning for forecasting economic risk: Evidence from an expanded Chinese financial information set," Finance Research Letters, Elsevier, vol. 46(PA).
- Nonejad, Nima, 2022. "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, vol. 46(PA).
- Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022.
"YOLO trading: Riding with the herd during the GameStop episode,"
Finance Research Letters, Elsevier, vol. 46(PA).
- Lyócsa, Štefan & Baumöhl, Eduard & Vŷrost, Tomáš, 2021. "YOLO trading: Riding with the herd during the GameStop episode," EconStor Preprints 230679, ZBW - Leibniz Information Centre for Economics.
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2022.
"Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data,"
Finance Research Letters, Elsevier, vol. 46(PB).
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021. "Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data," Working Papers 202146, University of Pretoria, Department of Economics.
- Zhang, Dan & Farnoosh, Arash & Lantz, Frédéric, 2022. "Does something change in the oil market with the COVID-19 crisis?," International Economics, Elsevier, vol. 169(C), pages 252-268.
- Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022.
"Optimal probabilistic forecasts: When do they work?,"
International Journal of Forecasting, Elsevier, vol. 38(1), pages 384-406.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers 33/20, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & Rub'en Loaiza-Maya & David T. Frazier & Worapree Maneesoonthorn & Andr'es Ram'irez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Papers 2009.09592, arXiv.org.
- Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2022.
"Forecasting realized volatility of agricultural commodities,"
International Journal of Forecasting, Elsevier, vol. 38(1), pages 74-96.
- Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2019. "Forecasting Realized Volatility of Agricultural Commodities," MPRA Paper 96267, University Library of Munich, Germany.
- Lahiri, Kajal & Yang, Cheng, 2022.
"Boosting tax revenues with mixed-frequency data in the aftermath of COVID-19: The case of New York,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 545-566.
- Kajal Lahiri & Cheng Yang, 2021. "Boosting Tax Revenues with Mixed-Frequency Data in the Aftermath of Covid-19: The Case of New York," CESifo Working Paper Series 9365, CESifo.
- Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022.
"The illusion of oil return predictability: The choice of data matters!,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Thomas Conlon & John Cotter & Emmanuel Eyiah-Donkor, 2022. "The illusion of oil return predictability: The choice of data matters!," Post-Print hal-03519860, HAL.
- Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Huang, Rong & Pilbeam, Keith & Pouliot, William, 2022. "Are macroeconomic forecasters optimists or pessimists? A reassessment of survey based forecasts," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 706-724.
- Obaid, Khaled & Pukthuanthong, Kuntara, 2022. "A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news," Journal of Financial Economics, Elsevier, vol. 144(1), pages 273-297.
- Kishor, N. Kundan & Marfatia, Hardik A. & Nam, Gooan & Rizi, Majid Haghani, 2022. "The local employment effect of house prices: Evidence from U.S. States," Journal of Housing Economics, Elsevier, vol. 55(C).
- Degiannakis, Stavros & Filis, George, 2022.
"Oil price volatility forecasts: What do investors need to know?,"
Journal of International Money and Finance, Elsevier, vol. 123(C).
- Degiannakis, Stavros & Filis, George, 2019. "Oil price volatility forecasts: What do investors need to know?," MPRA Paper 94445, University Library of Munich, Germany.
- Stolbov, Mikhail & Shchepeleva, Maria, 2022. "Modeling global real economic activity: Evidence from variable selection across quantiles," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
- Liu, Guangqiang & Guo, Xiaozhu, 2022. "Forecasting stock market volatility using commodity futures volatility information," Resources Policy, Elsevier, vol. 75(C).
- Salisu, Afees A. & Gupta, Rangan & Ji, Qiang, 2022.
"Forecasting oil prices over 150 years: The role of tail risks,"
Resources Policy, Elsevier, vol. 75(C).
- Afees A. Salisu & Rangan Gupta & Qiang Ji, 2021. "Forecasting Oil Price over 150 Years: The Role of Tail Risks," Working Papers 202120, University of Pretoria, Department of Economics.
- Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
- Salisu, Afees A. & Gupta, Rangan & Karmakar, Sayar & Das, Sonali, 2022.
"Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty,"
Resources Policy, Elsevier, vol. 75(C).
- Afees A. Salisu & Rangan Gupta & Sayar Karmakar & Sonali Das, 2021. "Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty," Working Papers 202133, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Sayar Karmakar & Sonali Das, 2021. "Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty," GRU Working Paper Series GRU_2021_017, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Caperna, Giulio & Colagrossi, Marco & Geraci, Andrea & Mazzarella, Gianluca, 2022. "A babel of web-searches: Googling unemployment during the pandemic," Labour Economics, Elsevier, vol. 74(C).
- Maples, Chellie H. & Hagerman, Amy D. & Lambert, Dayton M., 2022. "Ex-ante effects of the 2018 Agricultural Improvement Act’s grassland initiative," Land Use Policy, Elsevier, vol. 116(C).
- Umar, Zaghum & Yousaf, Imran & Gubareva, Mariya & Vo, Xuan Vinh, 2022. "Spillover and risk transmission between the term structure of the US interest rates and Islamic equities," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
- Bui, Quynh & Ślepaczuk, Robert, 2022. "Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
- Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
- Cerqua, Augusto & Letta, Marco, 2022.
"Local inequalities of the COVID-19 crisis,"
Regional Science and Urban Economics, Elsevier, vol. 92(C).
- Cerqua, Augusto & Letta, Marco, 2021. "Local inequalities of the COVID-19 crisis," GLO Discussion Paper Series 875, Global Labor Organization (GLO).
- Islam, Md. Monirul & Irfan, Muhammad & Shahbaz, Muhammad & Vo, Xuan Vinh, 2022. "Renewable and non-renewable energy consumption in Bangladesh: The relative influencing profiles of economic factors, urbanization, physical infrastructure and institutional quality," Renewable Energy, Elsevier, vol. 184(C), pages 1130-1149.
- Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022.
"Geopolitical risks and historical exchange rate volatility of the BRICS,"
International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
- Afees A. Salisu & Juncal Cunado & Rangan Gupta, 2020. "Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS," Working Papers 2020105, University of Pretoria, Department of Economics.
- Umar, Zaghum & Riaz, Yasir & Aharon, David Y., 2022. "Network connectedness dynamics of the yield curve of G7 countries," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 275-288.
- Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Semi-nonparametric risk assessment with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
- Liu Yang & Kajal Lahiri & Adrian Pagan, 2022. "Getting the ROC into Sync," CAMA Working Papers 2022-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Calonaci, Fabio & Kapetanios, George & Price, Simon, 2022.
"Stock returns predictability with unstable predictors,"
Essex Finance Centre Working Papers
32331, University of Essex, Essex Business School.
- Fabio Calonaci & George Kapetanios & Simon Price, 2022. "Stock returns predictability with unstable predictors," CAMA Working Papers 2022-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ferrara, Laurent & Karadimitropoulou, Aikaterini & Triantafyllou, Athanasios, 2021.
"Commodity price uncertainty comovement: Does it matter for global economic growth?,"
Essex Finance Centre Working Papers
30945, University of Essex, Essex Business School.
- Laurent Ferrara & Aikaterini Karadimitropoulou & Athanasios Triantafyllou, 2022. "Commodity price uncertainty comovement: Does it matter for global economic growth?," CAMA Working Papers 2022-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mawuli Segnon & Rangan Gupta & Bernd Wilfling, 2022. "Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks," Working Papers 202203, University of Pretoria, Department of Economics.
- Oguzhan Cepni & Rangan Gupta & Daniel Pienaar & Christian Pierdzioch, 2022. "Forecasting the Realized Variance of Oil-Price Returns Using Machine-Learning: Is there a Role for U.S. State-Level Uncertainty?," Working Papers 202205, University of Pretoria, Department of Economics.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates," Working Papers 202210, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Elie Bouri, 2022. "Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach," Working Papers 202211, University of Pretoria, Department of Economics.
- Elie Bouri & Christina Christou & Rangan Gupta, 2022. "Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models," Working Papers 202213, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch, 2022. "Do Economic Conditions of U.S. States Predict the Realized Volatility of Oil-Price Returns? A Quantile Machine-Learning Approach," Working Papers 202216, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2022. "Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data," Working Papers 202217, University of Pretoria, Department of Economics.
- Amaro, Raphael & Pinho, Carlos & Madaleno, Mara, 2022. "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 77-101.
- Zubarev, Andrei & Kirillova, Maria, 2022. "Modeling COVID-19 spread in the Russian Federation using global VAR approach," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 117-138.
- Mihaela Simionescu & Mihaela-Daniela Vornicescu (Niculescu), 2022. "The Impact of the European Economic Integration on Sustainable Development in the EU New Member States," Bulgarian Economic Papers bep-2022-02, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised Jan 2022.
- Christian Hepenstrick & Jason Blunier, 2022. "What were they thinking? Estimating the quarterly forecasts underlying annual growth projections," Working Papers 2022-05, Swiss National Bank.
- Gabriel Lyrio de Oliveira & Andre Luis Squarize Chagas, Denise Leyi Li, 2022. "Public Sector Procurements and Reference Prices Estimation with Small Samples in Brazil," Working Papers, Department of Economics 2022_02, University of São Paulo (FEA-USP).
- Yuting Chen & Don Bredin & Valerio Potì & Roman Matkovskyy, 2022. "COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic," Digital Finance, Springer, vol. 4(1), pages 17-61, March.
- Helmut Wasserbacher & Martin Spindler, 2022. "Machine learning for financial forecasting, planning and analysis: recent developments and pitfalls," Digital Finance, Springer, vol. 4(1), pages 63-88, March.
- Lixiong Yang, 2022. "Threshold mixed data sampling (TMIDAS) regression models with an application to GDP forecast errors," Empirical Economics, Springer, vol. 62(2), pages 533-551, February.
- Julián Andrada-Félix & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2022.
"Time connectedness of fear,"
Empirical Economics, Springer, vol. 62(3), pages 905-931, March.
- Julián Andrada-Félixa & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2018. "“Time connectedness of fear”," IREA Working Papers 201818, University of Barcelona, Research Institute of Applied Economics, revised Sep 2018.
- Julia Kielmann & Hans Manner & Aleksey Min, 2022. "Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models," Empirical Economics, Springer, vol. 62(4), pages 1543-1574, April.
- Chao Liang & Yin Liao & Feng Ma & Bo Zhu, 2022. "United States Oil Fund volatility prediction: the roles of leverage effect and jumps," Empirical Economics, Springer, vol. 62(5), pages 2239-2262, May.
- Şirin Özlem & Omer Faruk Tan, 2022. "Predicting cash holdings using supervised machine learning algorithms," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
- Eva O. Arceo-Gomez & Raymundo M. Campos-Vazquez & Raquel Y. Badillo & Sergio Lopez-Araiza, 2022. "Gender stereotypes in job advertisements: What do they imply for the gender salary gap?," Journal of Labor Research, Springer, vol. 43(1), pages 65-102, March.
- Richard J. Arend, 2022. "Balancing the perceptions of NK modelling with critical insights," Journal of Innovation and Entrepreneurship, Springer, vol. 11(1), pages 1-15, December.
- Stephanie Glaser & Robert C. Jung & Karsten Schweikert, 2022. "Spatial panel count data: modeling and forecasting of urban crimes," Journal in Spatial Econometrics, Springer, vol. 3(1), pages 1-29, December.
- Jakob A. Dambon & Stefan S. Fahrländer & Saira Karlen & Manuel Lehner & Jaron Schlesinger & Fabio Sigrist & Anna Zimmermann, 2022. "Examining the vintage effect in hedonic pricing using spatially varying coefficients models: a case study of single-family houses in the Canton of Zurich," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 158(1), pages 1-14, December.
- Siddhartha Pradeep, 2022. "Role of monetary policy on CO2 emissions in India," SN Business & Economics, Springer, vol. 2(1), pages 1-33, January.
- Mar Delgado-Téllez & Esther Gordo & Iván Kataryniuk & Javier J. Pérez, 2022.
"The decline in public investment: ``social dominance’’ or too-rigid fiscal rules?,"
Applied Economics, Taylor & Francis Journals, vol. 54(10), pages 1123-1136, February.
- Mar Delgado-Téllez & Esther Gordo & Iván Kataryniuk & Javier J. Pérez, 2020. "The decline in public investment: “social dominance” or too-rigid fiscal rules?," Working Papers 2025, Banco de España.
- Ioannis Sitzimis, 2022. "An Optimal Forecasting Method of Passenger Traffic in Greek Coastal Shipping," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 14(3), pages 72-87, January.
- Fabio Calonaci & George Kapetanios & Simon Price, 2022.
"Stock returns predictability with unstable predictors,"
CAMA Working Papers
2022-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Calonaci, Fabio & Kapetanios, George & Price, Simon, 2022. "Stock returns predictability with unstable predictors," Essex Finance Centre Working Papers 32331, University of Essex, Essex Business School.
- Ina Hajdini, 2022. "Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model," Working Papers 22-03, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022.
"Forecasting US Inflation Using Bayesian Nonparametric Models,"
Papers
2202.13793, arXiv.org.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Working Papers 22-05, Federal Reserve Bank of Cleveland.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," Working Papers 22-06, Federal Reserve Bank of Cleveland.
- James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12, Federal Reserve Bank of Cleveland.
- Michael Clements & Robert W. Rich & Joseph Tracy, 2022. "Surveys of Professionals," Working Papers 22-13, Federal Reserve Bank of Cleveland.
- Amy Y. Guisinger & Michael W. McCracken & Michael T. Owyang, 2022. "Reconsidering the Fed’s Forecasting Advantage," Working Papers 2022-001, Federal Reserve Bank of St. Louis, revised 02 Jan 2022.
- Andrey Yu. Nevela & Victor A. Lapshin, 2022. "Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 127006, Russia, issue 2, pages 91-112, April.
- Andrey V. Polbin & Andrey V. Shumilov, 2022. "Forecasting Output Growth of Russian Manufacturing Industries Using Panel Data Models [Об Использовании Моделей Панельных Данных Для Прогнозирования Темпов Роста Отраслей Российской Обрабатывающей ," Russian Economic Development, Gaidar Institute for Economic Policy, issue 2, pages 15-19, February.
- Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022. "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-013/III, Tinbergen Institute.
- Aman Ullah & Tao Wang & Weixin Yao, 2022. "Nonlinear Modal Regression for Dependent Data with Application for Predicting COVID-19," Working Papers 202207, University of California at Riverside, Department of Economics.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2021.
"Optimal Forecast under Structural Breaks,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202207, University of Kansas, Department of Economics, revised Feb 2022.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Optimal Forecast under Structural Breaks," Working Papers 202208, University of California at Riverside, Department of Economics.
- Todd H. Kuethe & Brady Brewer & Chad Fiechter, 2022. "Loss Aversion in Farmland Price Expectations," Land Economics, University of Wisconsin Press, vol. 98(1), pages 98-114.
- Srhoj Stjepan, 2022. "Can we predict high growth firms with financial ratios?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 18(1), pages 66-73, March.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2022.
"A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 384-400, January.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2019. "A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data," Working Papers 201978, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Edmond Berisha & Oğuzhan Çepni & Rangan Gupta, 2022.
"The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1979-1988, April.
- Mehmet Balcilar & Edmond Berisha & Oguzhan Cepni & Rangan Gupta, 2019. "The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis," Working Papers 201981, University of Pretoria, Department of Economics.
- Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022.
"Common factors of commodity prices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
- S. Delle Chiaie & L. Ferrara & D. Giannone, 2017. "Common Factors of Commodity Prices," Working papers 645, Banque de France.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common Factors of Commodity Prices," CEPR Discussion Papers 12767, C.E.P.R. Discussion Papers.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2017. "Common factors of commodity prices," Working Paper Series 2112, European Central Bank.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022.
"An automated prior robustness analysis in Bayesian model comparison,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "An automated prior robustness analysis in Bayesian model comparison," CAMA Working Papers 2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Michael P. Clements, 2022.
"Individual forecaster perceptions of the persistence of shocks to GDP,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 640-656, April.
- Michael P. Clements, 2020. "Individual Forecaster Perceptions of the Persistence of Shocks to GDP," ICMA Centre Discussion Papers in Finance icma-dp2020-02, Henley Business School, University of Reading.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022.
"Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 303-315, March.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis," Working Papers 202114, University of Pretoria, Department of Economics.
- Barbara Jarmulska, 2022.
"Random forest versus logit models: Which offers better early warning of fiscal stress?,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 455-490, April.
- Jarmulska, Barbara, 2020. "Random forest versus logit models: which offers better early warning of fiscal stress?," Working Paper Series 2408, European Central Bank.
- Lucija Benko & Karlo Krstanović & Luka Sovulj, 2022. "Procjena učinaka pandemije koronavirusa na turističke dolaske i noćenja u Republici Hrvatskoj te na vrijednost CROBEXturist indeksa Zagrebačke burze," EFZG Working Papers Series 2201, Faculty of Economics and Business, University of Zagreb.
- Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2022. "Addressing COVID-19 outliers in BVARs with stochastic volatility," Discussion Papers 13/2022, Deutsche Bundesbank.
- Hauber, Philipp, 2022. "Real-time nowcasting with sparse factor models," EconStor Preprints 251551, ZBW - Leibniz Information Centre for Economics.
- Duan, Fang, 2022. "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers 945, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
2021
- Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
- Aldott, Zoltan, 2021. "Predicting Specialty Coffee Auction Prices Using Machine Learning," Warwick-Monash Economics Student Papers 15, Warwick Monash Economics Student Papers.
- Gan-Ochir Doojav & Davaasukh Damdinjav, 2021.
"Policy-Driven Boom and Bust in the Housing Market: Evidence from Mongolia,"
Surface Review and Letters (SRL), World Scientific Publishing Co. Pte. Ltd., vol. 38(02), pages 279-317.
- Gan-Ochir Doojav & Davaasukh Damdinjav, 2021. "Policy-Driven Boom and Bust in the Housing Market: Evidence from Mongolia," Asian Development Review (ADR), World Scientific Publishing Co. Pte. Ltd., vol. 38(02), pages 279-317, September.
- Doojav, Gan-Ochir & Damdinjav, Davaasukh, 2019. "The policy-driven boom and bust in the housing market: Evidence from Mongolia," MPRA Paper 102933, University Library of Munich, Germany, revised 2019.
- Gan-Ochir Doojav & Davaasukh Damdinjav, 2021.
"Policy-Driven Boom and Bust in the Housing Market: Evidence from Mongolia,"
Asian Development Review (ADR), World Scientific Publishing Co. Pte. Ltd., vol. 38(02), pages 279-317, September.
- Gan-Ochir Doojav & Davaasukh Damdinjav, 2021. "Policy-Driven Boom and Bust in the Housing Market: Evidence from Mongolia," Surface Review and Letters (SRL), World Scientific Publishing Co. Pte. Ltd., vol. 38(02), pages 279-317.
- Doojav, Gan-Ochir & Damdinjav, Davaasukh, 2019. "The policy-driven boom and bust in the housing market: Evidence from Mongolia," MPRA Paper 102933, University Library of Munich, Germany, revised 2019.
- Laura Coroneo & Fabrizio Iacone, 2021. "Testing for equal predictive accuracy with strong dependence," Discussion Papers 21/03, Department of Economics, University of York.
- Laura Coroneo, & Fabrizio Iacone, & Giancarlo Manzi, & Silvia Salini, 2021. "Predicting the COVID-19 epidemic: is a regional approach preferable?," Discussion Papers 21/06, Department of Economics, University of York.
- Moench, Emanuel & Stein, Tobias, 2021.
"Equity premium predictability over the business cycle,"
CEPR Discussion Papers
16357, C.E.P.R. Discussion Papers.
- Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
- Marta Bañbura & Danilo Leiva-León & Jan-Oliver Menz, 2021.
"Do inflation expectations improve model-based inflation Forecasts?,"
Working Papers
2138, Banco de España.
- Bańbura, Marta & Leiva-León, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Discussion Papers 48/2021, Deutsche Bundesbank.
- Bańbura, Marta & Leiva-Leon, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Working Paper Series 2604, European Central Bank.
- Kukacka, Jiri & Sacht, Stephen, 2021. "Estimation of Heuristic Switching in Behavioral Macroeconomic Models," Economics Working Papers 2021-01, Christian-Albrechts-University of Kiel, Department of Economics.
- Ofori, Isaac K. & Quaidoo, Christopher & Ofori, Pamela E., 2021. "What Drives Financial Sector Development in Africa? Insights from Machine Learning," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics.
- Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022.
"YOLO trading: Riding with the herd during the GameStop episode,"
Finance Research Letters, Elsevier, vol. 46(PA).
- Lyócsa, Štefan & Baumöhl, Eduard & Vŷrost, Tomáš, 2021. "YOLO trading: Riding with the herd during the GameStop episode," EconStor Preprints 230679, ZBW - Leibniz Information Centre for Economics.
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- Bubalo, Branko, 2021. "Airport Capacity and Performance in Europe - A study of transport economics, service quality and sustainability," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 229442, December.
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"Pricing the exotic: Path-dependent American options with stochastic barriers,"
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"¿Qué nos dicen las encuestas sobre la formación de expectativas de inflación?,"
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"Short-term inflation projections model and its assessment in Latvia,"
Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 21(2), pages 184-204.
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"Nowcasting monthly GDP with big data: A model averaging approach,"
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"Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions,"
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"Domestic and Global Determinants of Inflation: Evidence from Expectile Regression,"
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"Inflation Dynamics and Forecast: Frequency Matters,"
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"Rising Temperatures, Falling Ratings: The Effect of Climate Change on Sovereign Creditworthiness,"
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"Efficient Combined Estimation under Structural Breaks,"
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"Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates,"
MPRA Paper
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"Optimal Forecast under Structural Breaks,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202207, University of Kansas, Department of Economics, revised Feb 2022.
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"High-Frequency Volatility Forecasting of US Housing Markets,"
The Journal of Real Estate Finance and Economics, Springer, vol. 62(2), pages 283-317, February.
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"Estimation and Forecasting of Industrial Production Index,"
Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 26(1), pages 1-30, Jan-June.
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"The Ownership of Oil, Democracy, and Iraq's Past, Present and Future,"
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"Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO,"
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Energies, MDPI, vol. 14(14), pages 1-15, July.
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"A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios,"
Energies, MDPI, vol. 14(20), pages 1-12, October.
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"Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment,"
Energies, MDPI, vol. 14(23), pages 1-18, December.
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"Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg,"
Forecasting, MDPI, vol. 3(4), pages 1-30, October.
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"Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure,"
JRFM, MDPI, vol. 14(11), pages 1-23, October.
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"Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs,"
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"Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR,"
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"Pricing the exotic: Path-dependent American options with stochastic barriers,"
Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(1).
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"News-driven inflation expectations and information rigidities,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 507-520.
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"Structural scenario analysis with SVARs,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 798-815.
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- Zhou, Xuemei & Liu, Qiang & Guo, Shuxin, 2021. "Do overnight returns explain firm-specific investor sentiment in China?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 451-477.
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"Time-varying evidence of predictability of financial stress in the United States over a century: The role of inequality,"
Structural Change and Economic Dynamics, Elsevier, vol. 57(C), pages 87-92.
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- K. Peren Arin & Kevin Devereux & Mieszko Mazur, 2021.
"Taxes and Firm Investment,"
Working Papers
202102, School of Economics, University College Dublin.
- K. Peren Arin & Kevin Devereux & Mieszko Mazur, 2021. "Taxes and firm investment," CAMA Working Papers 2021-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hilde Christiane Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2020.
"Oil and Fiscal Policy Regimes,"
Working Papers
No 11/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2021. "Oil and fiscal policy regimes," CAMA Working Papers 2021-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Patrycja Klusak & Matthew Agarwala & Matt Burke & Moritz Kraemer & Kamiar Mohaddes, 2021.
"Rising Temperatures, Falling Ratings: The Effect of Climate Change on Sovereign Creditworthiness,"
Working Papers
EPRG2110, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
- Patrycja Klusak & Matthew Agarwala & Matt Burke & Moritz Kraemer & Kamiar Mohaddes, 2021. "Rising temperatures, falling ratings: The effect of climate change on sovereign creditworthiness," CAMA Working Papers 2021-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Agarwala, Matthew & Burke, Matt & Klusak, Patrycja & Kraemer, Moritz & Mohaddes, Kamiar, 2021. "Rising temperatures, falling ratings: The effect of climate change on sovereign creditworthiness," IMFS Working Paper Series 158, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Klusak, P. & Agarwala, M. & Burke, M. & Kraemer, M. & Mohaddes, K., 2021. "Rising Temperatures, Falling Ratings: The Effect of Climate Change on Sovereign Creditworthiness," Cambridge Working Papers in Economics 2127, Faculty of Economics, University of Cambridge.
- Fernando, Roshen & Liu, Weifeng & McKibbin, Warwick, 2021.
"Global Economic Impacts of Climate Shocks, Climate Policy and Changes in Climate Risk Assessment,"
CEPR Discussion Papers
16154, C.E.P.R. Discussion Papers.
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- Mototsugu Shintani & Kozo Ueda, 2021.
"Identifying the Source of Information Rigidities in the Expectations Formation Process,"
CARF F-Series
CARF-F-516, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Mototsugu Shintani & Kozo Ueda, 2021. "Identifying the source of information rigidities in the expectations formation process," CAMA Working Papers 2021-48, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Laura Coroneo & Fabrizio Iacone & Alessia Paccagnini & Paulo Santos Monteiro, 2020.
"Testing the predictive accuracy of COVID-19 forecasts,"
Discussion Papers
20/10, Department of Economics, University of York.
- Laura Coroneo & Fabrizio Iacone & Alessia Paccagnini & Paulo Santos Monteiro, 2021. "Testing the predictive accuracy of COVID-19 forecasts," CAMA Working Papers 2021-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hanol Lee & Jong-Wha Lee, 2021. "Why East Asian students perform better in mathematics than their peers: An investigation using a machine learning approach," CAMA Working Papers 2021-66, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jaumotte, Florence & Liu, Weifeng & McKibbin, Warwick, 2021.
"Mitigating Climate Change: Growth-Friendly Policies to Achieve Net Zero Emissions by 2050,"
CEPR Discussion Papers
16553, C.E.P.R. Discussion Papers.
- Florence Jaumotte & Weifeng Liu & Warwick J. McKibbin, 2021. "Mitigating climate change: Growth-friendly policies to achieve net zero emissions by 2050," CAMA Working Papers 2021-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Weifeng Liu & Warwick J. McKibbin & Ms. Florence Jaumotte, 2021. "Mitigating Climate Change: Growth-Friendly Policies to Achieve Net Zero Emissions by 2050," IMF Working Papers 2021/195, International Monetary Fund.
- Tino Berger & Paul David Boll & James Morley & Benjamin Wong, 2021. "Cyclical signals from the labor market," CAMA Working Papers 2021-91, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stephen Walker, 2021. "Critique of an Article on Machine Learning in the Detection of Accounting Fraud," Econ Journal Watch, Econ Journal Watch, vol. 18(1), pages 1-61–70, March.
- Yang Bao & Bin Ke & Bin Li & Y. Julia Yu & Jie Zhang, 2021. "A Response to "Critique of an Article on Machine Learning in the Detection of Accounting Fraud"," Econ Journal Watch, Econ Journal Watch, vol. 18(1), pages 1-71–78, March.
- Stephen Walker, 2021. "Rejoinder to the Critique of an Article on Machine Learning in the Detection of Accounting Fraud," Econ Journal Watch, Econ Journal Watch, vol. 18(2), pages 230–234-2, September.
- Daniel Goller & Michael C. Knaus & Michael Lechner & Gabriel Okasa, 2021.
"Predicting match outcomes in football by an Ordered Forest estimator,"
Chapters, in: Ruud H. Koning & Stefan Kesenne (ed.), A Modern Guide to Sports Economics, chapter 22, pages 335-355,
Edward Elgar Publishing.
- Goller, Daniel & Knaus, Michael C. & Lechner, Michael & Okasa, Gabriel, 2018. "Predicting Match Outcomes in Football by an Ordered Forest Estimator," Economics Working Paper Series 1811, University of St. Gallen, School of Economics and Political Science.
- Jean-David Fermanian & Dominique Guégan, 2021. "Fair learning with bagging," Documents de travail du Centre d'Economie de la Sorbonne 21034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- George Athanasopoulos & Nikolaos Kourentzes, 2021. "On the Evaluation of Hierarchical Forecasts," Monash Econometrics and Business Statistics Working Papers 10/21, Monash University, Department of Econometrics and Business Statistics.
- Bodha Hannadige, Sium & Gao, Jiti & Silvapulle, Mervyn & Silvapulle, Param, 2021.
"Time Series Forecasting using a Mixture of Stationary and Nonstationary Predictors,"
MPRA Paper
108669, University Library of Munich, Germany, revised 30 Apr 2021.
- Sium Bodha Hannadige & Jiti Gao & Mervyn J Silvapulle & Param Silvapulle, 2021. "Time Series Forecasting Using a Mixture of Stationary and Nonstationary Predictors," Monash Econometrics and Business Statistics Working Papers 6/21, Monash University, Department of Econometrics and Business Statistics.
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"Loss-Based Variational Bayes Prediction,"
Papers
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- Andres Algaba & Samuel Borms & Kris Boudt & Brecht Verbeken, 2021. "Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence," Working Paper Research 396, National Bank of Belgium.
- Anirban Basu & Noah Hammarlund & Sara Khor & Aasthaa Bansal, 2021. "Understanding Algorithmic Discrimination in Health Economics Through the Lens of Measurement Errors," NBER Working Papers 29413, National Bureau of Economic Research, Inc.
- Ali Hortaçsu & Olivia R. Natan & Hayden Parsley & Timothy Schwieg & Kevin R. Williams, 2021. "Organizational Structure and Pricing: Evidence from a Large U.S. Airline," NBER Working Papers 29508, National Bureau of Economic Research, Inc.
- Frank Schorfheide & Dongho Song, 2020.
"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
Working Papers
20-26, Federal Reserve Bank of Philadelphia.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
- Schorfheide, Frank & Song, Dongo, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Rudrani Bhattacharya & Bornali Bhandari & Sudipto Mundle, 2021. "Nowcasting India's Quarterly GDP Growth: A Factor Augmented Time-Varying Coefficient Regression Model (FA-TVCRM)," NCAER Working Papers 130, National Council of Applied Economic Research.
- Novikova, T. & Tsyplakov, A., 2021. "Social policy development based on a combination of agent-oriented and inter-industrial approaches," Journal of the New Economic Association, New Economic Association, vol. 52(4), pages 12-36.
- Ali Hortaçsu & Olivia R. Natan & Hayden Parsley & Timothy Schwieg & Kevin R. Williams, 2021. "Organizational Structure and Pricing: Evidence from a Large U.S. Airline," Working Papers 21-09, NET Institute.
- Bhattacharya, Rudrani & Bhandari, Bornali & Mundle, Sudipto, 2021. "Nowcasting India's Quarterly GDP Growth: A Factor Augmented Time-Varying Coefficient Regression Model (FA-TVCRM)," Working Papers 21/357, National Institute of Public Finance and Policy.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2021. "Smooth Robust Multi-Horizon Forecasts," Economics Papers 2021-W01, Economics Group, Nuffield College, University of Oxford.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2020.
"Smooth Robust Multi-Horizon Forecasts,"
Working Papers
2020-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2021. "Smooth Robust Multi-Horizon Forecasts," Economics Papers 2021-W01, Economics Group, Nuffield College, University of Oxford.
- Victor Yotzov, 2021. "Commodity Market Structure and Risk Factor Analysis in Bulgaria," Godishnik na UNSS, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 1-53–73, December.
- Iva Raycheva, 2021. "Child Poverty among European Countries and Bulgaria’s Place among Them. Statistical Analysis of Convergence," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 37-51, September.
- Kensuke Tanaka, 2021. "Forecasting developing Asian economies during normal times and large external shocks: Approaches and challenges," OECD Development Centre Working Papers 345, OECD Publishing.
- Gerhard Fenz & Helmut Stix, 2021. "Monitoring the economy in real time with the weekly OeNB GDP indicator: background, experience and outlook," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/20-Q1/, pages 17-40.
- Lidia Vesa & Marcel Ioan Boloş & Claudia Diana Sabău-Popa, 2021. "Inventory Decision In Vuca World Using Economic Logic Quantity," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 251-267, July.
- Ionuţ Gavriş & Valentin Toader, 2021. "The Probability Of Uncertainty: Romania’S Growth Perspectives," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 71-81, July.
- Rachel R. Cheti & Bahati Ilembo, 2021. "Vector Autoregressive Approach After First Differencing: A Time Series Analysis Of Inflation And Its Determinants In Tanzania," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 6(2), pages 43-56, September.
- Michael Cai & Marco Del & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021.
"Online estimation of DSGE models,"
Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.
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- Michael D. Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," NBER Working Papers 26826, National Bureau of Economic Research, Inc.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Staff Reports 893, Federal Reserve Bank of New York.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," Liberty Street Economics 20190821, Federal Reserve Bank of New York.
- Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," Finance and Economics Discussion Series 2020-023, Board of Governors of the Federal Reserve System (U.S.).
- Fred Liu & Lars Stentoft, 2021. "Regulatory Capital and Incentives for Risk Model Choice under Basel 3 [Procyclical Leverage and Value-at-Risk]," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(1), pages 53-96.
- Apaar Sadhwani & Kay Giesecke & Justin Sirignano, 2021. "Deep Learning for Mortgage Risk [The Subprime Virus]," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(2), pages 313-368.
- Giuseppe Buccheri & Fulvio Corsi, 2021. "HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(4), pages 614-649.
- Daniele Bianchi & Matthias Büchner & Andrea Tamoni, 2021. "Bond Risk Premiums with Machine Learning [Quadratic term structure models: Theory and evidence]," Review of Financial Studies, Society for Financial Studies, vol. 34(2), pages 1046-1089.
- Romero Martínez, Mariano & Carmona Ibáñez, Pedro & Pozuelo Campillo, José, 2021. "Utilidad del Deep Learning en la predicción del fracaso empresarial en el ámbito europeo || The usefulness of Deep Learning in the prediction of business failure at the European level," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 392-414, December.
- Wolfgang Bessler & Georgi Taushanov & Dominik Wolff, 2021. "Factor investing and asset allocation strategies: a comparison of factor versus sector optimization," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 488-506, October.
- János Varga & Jan in ’t Veld, 2021. "The Impact of the EU Cohesion Policy Spending: A Model-Based Assessment," Studies in Economic Transition, in: Michael Landesmann & István P. Székely (ed.), Does EU Membership Facilitate Convergence? The Experience of the EU's Eastern Enlargement - Volume II, chapter 0, pages 89-112, Palgrave Macmillan.
- Alessandro Bitetto & Paola Cerchiello & Stefano Filomeni & Alessandra Tanda & Barbara Tarantino, 2021. "Machine Learning and Credit Risk: Empirical Evidence from SMEs," DEM Working Papers Series 201, University of Pavia, Department of Economics and Management.
- Alessandro Bitetto & Stefano Filomeni & Michele Modina, 2021. "Understanding corporate default using Random Forest: The role of accounting and market information," DEM Working Papers Series 205, University of Pavia, Department of Economics and Management.
- Mario Papik & Lenka Papikova, 2021. "Application of selected data mining techniques in unintentional accounting error detection," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 16(1), pages 185-201, March.
- Martins, Manuel M. F. & Verona, Fabio, 2021.
"Inflation dynamics and forecast : frequency matters,"
Research Discussion Papers
8/2021, Bank of Finland.
- Manuel M. F. Martins & Fabio Verona, 2021. "Inflation Dynamics and Forecast: Frequency Matters," CEF.UP Working Papers 2101, Universidade do Porto, Faculdade de Economia do Porto.
- Valerio Mendoza, Octasiano Miguel & Borsi, Mihály Tamás & Comim, Flavio, 2022.
"Human capital dynamics in China: Evidence from a club convergence approach,"
Journal of Asian Economics, Elsevier, vol. 79(C).
- Valerio Mendoza, Octasiano & Borsi, Mihály Tamás & Comim, Flavio, 2021. "Human capital dynamics in China: Evidence from a club convergence approach," MPRA Paper 105200, University Library of Munich, Germany.
- Pincheira, Pablo & Hardy, Nicolas, 2021. "The Mean Squared Prediction Error Paradox," MPRA Paper 107403, University Library of Munich, Germany.
- VINTU, Denis, 2021. "GDP Modelling and Forecasting Using ARIMA. An Empirical Assessment for Innovative Economy Formation," MPRA Paper 107603, University Library of Munich, Germany, revised 11 Feb 2021.
- Pincheira, Pablo & Hardy, Nicolas & Bentancor, Andrea & Henriquez, Cristóbal & Tapia, Ignacio, 2021. "Forecasting Base Metal Prices with an International Stock Index," MPRA Paper 107828, University Library of Munich, Germany.
- Ofori, Isaac Kwesi, 2021.
"Catching The Drivers of Inclusive Growth in Sub-Saharan Africa: An Application of Machine Learning,"
EconStor Preprints
235482, ZBW - Leibniz Information Centre for Economics.
- Ofori, Isaac K, 2021. "Catching The Drivers of Inclusive Growth In Sub-Saharan Africa: An Application of Machine Learning," MPRA Paper 108622, University Library of Munich, Germany.
- Isaac K. Ofori, 2021. "Catching the Drivers of Inclusive Growth in Sub-Saharan Africa: An Application of Machine Learning," Research Africa Network Working Papers 21/044, Research Africa Network (RAN).
- Isaac K. Ofori, 2021. "Catching the Drivers of Inclusive Growth in Sub-Saharan Africa: An Application of Machine Learning," Working Papers of the African Governance and Development Institute. 21/044, African Governance and Development Institute..
- Isaac K. Ofori, 2021. "Catching the Drivers of Inclusive Growth in Sub-Saharan Africa: An Application of Machine Learning," Working Papers 21/044, European Xtramile Centre of African Studies (EXCAS).
- Youssef, Jamile & Ishker, Nermeen & Fakhreddine, Nour, 2021. "GDP Forecast of the Biggest GCC Economies Using ARIMA," MPRA Paper 108912, University Library of Munich, Germany.
- Andres, Antonio Rodriguez & Otero, Abraham & Amavilah, Voxi Heinrich, 2021. "Using Deep Learning Neural Networks to Predict the Knowledge Economy Index for Developing and Emerging Economies," MPRA Paper 109137, University Library of Munich, Germany.
- Antonio Rodríguez Andrés & Voxi Heinrich S. Amavilah & Abraham Otero, 2021.
"Evaluation of technology clubs by clustering: a cautionary note,"
Applied Economics, Taylor & Francis Journals, vol. 53(52), pages 5989-6001, November.
- Andres, Antonio Rodriguez & Otero, Abraham & Amavilah, Voxi Heinrich, 2021. "Evaluation of technology clubs by clustering: A cautionary note," MPRA Paper 109138, University Library of Munich, Germany.
- Kindop, Igor, 2021. "Ubiquitous multimodality in mixed causal-noncausal processes," MPRA Paper 109594, University Library of Munich, Germany, revised 04 Sep 2021.
- Kadanga, Mayo Takémsi Norris & Togbenu, Fo-Kossi Edem, 2021. "Modélisation et prévision du nombre d’infections au coronavirus au Togo: une approche par un modèle ARIMA avec le logiciel R [Modeling and forecasting the number of coronavirus infections in Togo: ," MPRA Paper 109893, University Library of Munich, Germany.
- Ahamuefula E. Ogbonna & Olusanya E. Olubusoye, 2021.
"Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific,"
Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
- Ogbonna, Ahamuefula & Olubusoye, Olusanya E, 2021. "Tail Risks and Stock Return Predictability: Evidence From Asia-Pacific," MPRA Paper 109922, University Library of Munich, Germany.
- Adekunle, Wasiu & Bekoe, William & Badmus, Sheriff & Anagun, Michael & Alimi, Wasiu, 2021. "Nexus Between Fiscal Discipline And The Budget Process In Africa: Evidence From Nigeria," MPRA Paper 110061, University Library of Munich, Germany.
- William Barnett & Sohee Park, 2021.
"Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202120, University of Kansas, Department of Economics, revised Oct 2021.
- Barnett, William & Park, Sohee, 2021. "Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates," MPRA Paper 110298, University Library of Munich, Germany.
- Mr. Andrea Pescatori & Lukas Boer & Martin Stuermer, 2021.
"Energy Transition Metals,"
IMF Working Papers
2021/243, International Monetary Fund.
- Boer, Lukas & Pescatori, Andrea & Stuermer, Martin, 2021. "Energy Transition Metals," MPRA Paper 110364, University Library of Munich, Germany.
- Lukas Boer & Andrea Pescatori & Martin Stuermer, 2021. "Energy Transition Metals," Discussion Papers of DIW Berlin 1976, DIW Berlin, German Institute for Economic Research.
- Dean Fantazzini & Raffaella Calabrese, 2021.
"Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure,"
JRFM, MDPI, vol. 14(11), pages 1-23, October.
- Fantazzini, Dean & Calabrese, Raffaella, 2021. "Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure," MPRA Paper 110391, University Library of Munich, Germany.
- Dean Fantazzini & Julia Pushchelenko & Alexey Mironenkov & Alexey Kurbatskii, 2021.
"Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg,"
Forecasting, MDPI, vol. 3(4), pages 1-30, October.
- Fantazzini, Dean & Pushchelenko, Julia & Mironenkov, Alexey & Kurbatskii, Alexey, 2021. "Forecasting internal migration in Russia using Google Trends: Evidence from Moscow and Saint Petersburg," MPRA Paper 110452, University Library of Munich, Germany.
- Bhadury, Soumya & Ghosh, Saurabh & Gopalakrishnan, Pawan, 2021. "In quest for policy 'silver bullets' towards triggering a v-shaped recovery," MPRA Paper 110905, University Library of Munich, Germany.
- Degiannakis, Stavros, 2021. "Stock market as a nowcasting indicator for real investment," MPRA Paper 110914, University Library of Munich, Germany.
- Mestiri, Sami, 2021. "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper 111116, University Library of Munich, Germany.
- Dimitris Korobilis & Kenichi Shimizu, 2021.
"Bayesian Approaches to Shrinkage and Sparse Estimation,"
Working Papers
2021_19, Business School - Economics, University of Glasgow.
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"Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US,"
Research Papers in Economics
2020-01, University of Trier, Department of Economics.
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CAMA Working Papers
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- Xin Sheng & Rangan Gupta & Afees A. Salisu & Elie Bouri, 2021. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning," Working Papers 202101, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna & Mark E. Wohar, 2021. "Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis," Working Papers 202102, University of Pretoria, Department of Economics.
- Afees A. Salisu & Umar Bida Ndako & Rangan Gupta, 2021. "Forecasting US Output Growth with Large Information Sets," Working Papers 202103, University of Pretoria, Department of Economics.
- Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
- Riza Demirer & Rangan Gupta & He Li & Yu You, 2021. "Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models," Working Papers 202112, University of Pretoria, Department of Economics.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022.
"Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 303-315, March.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis," Working Papers 202114, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan & Ji, Qiang, 2022.
"Forecasting oil prices over 150 years: The role of tail risks,"
Resources Policy, Elsevier, vol. 75(C).
- Afees A. Salisu & Rangan Gupta & Qiang Ji, 2021. "Forecasting Oil Price over 150 Years: The Role of Tail Risks," Working Papers 202120, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan & Demirer, Riza, 2022.
"Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model,"
Energy Economics, Elsevier, vol. 108(C).
- Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model," Working Papers 202121, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2021.
"Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data,"
Energy, Elsevier, vol. 235(C).
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021. "Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data," Working Papers 202122, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Christian Pierdzioch, 2021. "Predictability of Tail Risks of Canada and the U.S. Over a Century: The Role of Spillovers and Oil Tail Risks," Working Papers 202127, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan & Karmakar, Sayar & Das, Sonali, 2022.
"Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty,"
Resources Policy, Elsevier, vol. 75(C).
- Afees A. Salisu & Rangan Gupta & Sayar Karmakar & Sonali Das, 2021. "Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty," GRU Working Paper Series GRU_2021_017, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Afees A. Salisu & Rangan Gupta & Sayar Karmakar & Sonali Das, 2021. "Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty," Working Papers 202133, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch, 2021.
"Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers,"
Energies, MDPI, vol. 14(14), pages 1-15, July.
- Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers," Working Papers 202135, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns," Working Papers 202137, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta, 2021. "Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals," Working Papers 202144, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2022.
"Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data,"
Finance Research Letters, Elsevier, vol. 46(PB).
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021. "Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data," Working Papers 202146, University of Pretoria, Department of Economics.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021. "Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers 202161, University of Pretoria, Department of Economics.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021. "Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data," Working Papers 202165, University of Pretoria, Department of Economics.
- Karmakar, Sayar & Demirer, Riza & Gupta, Rangan, 2021.
"Bitcoin mining activity and volatility dynamics in the power market,"
Economics Letters, Elsevier, vol. 209(C).
- Sayar Karmakar & Riza Demirer & Rangan Gupta, 2021. "Bitcoin Mining Activity and Volatility Dynamics in the Power Market," Working Papers 202166, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices," Working Papers 202172, University of Pretoria, Department of Economics.
- Jiqian Wang & Rangan Gupta & Oguzhan Cepni & Feng Ma, 2021. "Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty," Working Papers 202173, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch, 2021.
"Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment,"
Energies, MDPI, vol. 14(23), pages 1-18, December.
- Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment," Working Papers 202175, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting the Realized Variance of Oil-Price Returns: A Disaggregated Analysis of the Role of Uncertainty and Geopolitical Risk," Working Papers 202176, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment," Working Papers 202177, University of Pretoria, Department of Economics.
- Ruipeng Liu & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021. "El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach," Working Papers 202179, University of Pretoria, Department of Economics.
- Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century," Working Papers 202183, University of Pretoria, Department of Economics.
- Paulina Ziembińska, 2021. "Quality of Tests of Expectation Formation for Revised Data," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(4), pages 405-453, December.
- Bhumjai Tangsawasdirat & Suranan Tanpoonkiat & Burasakorn Tangsatchanan, 2021. "Credit Risk Database: Credit Scoring Models for Thai SMEs," PIER Discussion Papers 168, Puey Ungphakorn Institute for Economic Research.
- Eliud Silva & Corey Sparks, 2021. "Hierarchical forecasts of Diabetes mortality in Mexico by marginalization and sex to establish resource allocation," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 18(2), pages 82-98, Julio-Dic.
- Luke Hartigan & Michelle Wright, 2021. "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers rdp2021-03, Reserve Bank of Australia.
- Pérez Forero, Fernando, 2021. "Predicción de variables macroeconómicas en el Perú a través un modelo BVAR con media cambiante en el tiempo," Working Papers 2021-001, Banco Central de Reserva del Perú.
- Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
- Anna Gloria Billé & Angelica Gianfreda & Filippo Del Grosso & Francesco Ravazzolo, 2021. "Forecasting Electricity Prices with Expert, Linear and Non-Linear Models," Working Paper series 21-20, Rimini Centre for Economic Analysis.
- Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
- Karen Poghosyan & Ruben Poghosyan, 2021.
"On the Applicability of Dynamic Factor Models for Forecasting Real GDP Growth in Armenia,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 71(1), pages 52-79, June.
- Poghosyan, Karen & Poghosyan, Ruben, 2021. "On the applicability of dynamic factor models for forecasting real GDP growth in Armenia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 28-46.
- Garafutdinov, Robert, 2021. "Influence of some ARFIMA model parameters on the accuracy of financial time series forecasting," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 62, pages 85-100.
- Fokin, Nikita, 2021. "The importance of modeling structural breaks in forecasting Russian GDP," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 5-29.
- ERİLLİ, Necati Alp, 2021. "Use of Trimean in Theil-Sen Regression Analysis," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 6(1), pages 15-26, June.
- Kocak, Necmettin Alpay, 2021. "Analysis of Relationship between the Consumer and Producer Prices in Turkey using Alternative Estimation Methods (Türkiye'de Tüketici ve Üretici Fiyatları Arasındaki İlişkinin Alternatif Tahmin Yöntem," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(1), pages 33-47, January.
- Adli, Kaveh A. & Sener, Ugur, 2021. "Forecasting of the U.S. Steel Prices with LVAR and VEC Models," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(3), pages 509-522, July.
- de Lucio, Juan, 2021. "Estimación adelantada del crecimiento regional mediante redes neuronales LSTM," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 49, pages 45-64.
- Mendoza-González, Miguel Ángel, 2021. "Apertura comercial, choques productivos y externalidades con ciclos espacio-tiempo en el crecimiento económico por entidad federativa en México, 1980-2018," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 50, pages 105-124.
- Bhaghoe, Sailesh & Ooft, Gavin, 2021. "Nowcasting Quarterly GDP Growth in Suriname with Factor-MIDAS and Mixed-Frequency VAR Models," Studies in Applied Economics 176, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
- Rao, Anitha & Wiendling, Mark & Ridgeway, Paul & Kennedy, Liz & Eyre, Harris A. & Pinho, Paulo, 2021. "Bridging the Gap Between Medicine and Insurance: How to Leverage Data, Artificial Intelligence, and Neuroinformatics for Insurance and Financial Risk Management," Journal of Financial Transformation, Capco Institute, vol. 54, pages 142-147.
- Sadeghpour, Solmaz & Heidari, Hassan & Mohseni Zenozi, Seyyed Jamaleddin, 2021. "Study the effect of the monetary and financial shocks in the real sector of Iran's economy with considering of gharz-al -hasanah deposits in the context of a DSGE model," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 8(1), pages 89-114, June.
- Chow, Hwee Kwan & Han, Daniel, 2021. "Forecast Pooling or Information Pooling During Crises? MIDAS Forecasting of GDP in a Small Open Economy," Economics and Statistics Working Papers 6-2021, Singapore Management University, School of Economics.
- Weiwei ZHANG & Tiezhu SUN & Yechi MA & Zilong WANG, 2021. "New Evidence on the Information Content of Implied Volatility of S&P 500: Model-Free versus Model-Based," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 109-121, December.
- Fatemeh SALIMIANRAD & Vali BORIMNEJAD & Sahar DEHYUORI, 2021. "Investigating the Relationship between Natural Capital and Sustainable Economic Growth using the General Equilibrium Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 120-139, June.
- Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel, 2021. "Beta-Adjusted Covariance Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1010, Ghent University, Faculty of Economics and Business Administration.
- George Varghese & Vinodh Madhavan, 2021. "Nonlinearity in Global Crude Oil Benchmarks: Disentangling the Effect of Time Aggregation," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(3), pages 290-307, December.
- Tomas Havranek & Ayaz Zeynalov, 2021.
"Forecasting tourist arrivals: Google Trends meets mixed-frequency data,"
Tourism Economics, , vol. 27(1), pages 129-148, February.
- Havranek, Tomas & Zeynalov, Ayaz, 2018. "Forecasting Tourist Arrivals: Google Trends Meets Mixed Frequency Data," MPRA Paper 90205, University Library of Munich, Germany.
- Wojciech Charemza & Michal Lewandowski & Lukasz Wozny, 2021. "Efficiency in rewarding academic journal publications. The case of Poland," Working Papers 2021-062, Warsaw School of Economics, Collegium of Economic Analysis.
- Alejandro Rodriguez Arana, 2021. "La expansion de Covid-19 en Mexico en 2020: un enfoque desde la econometria de series de tiempo," Sobre México. Revista de Economía, Sobre México. Temas en economía, vol. 1(3), pages 34-66.
- F. Benedetto & L. Mastroeni & P. Vellucci, 2021. "Modeling the flow of information between financial time-series by an entropy-based approach," Annals of Operations Research, Springer, vol. 299(1), pages 1235-1252, April.
- Chrysovalantis Gaganis & Panagiota Papadimitri & Menelaos Tasiou, 2021. "A multicriteria decision support tool for modelling bank credit ratings," Annals of Operations Research, Springer, vol. 306(1), pages 27-56, November.
- Eric Séverin & David Veganzones, 2021. "Can earnings management information improve bankruptcy prediction models?," Annals of Operations Research, Springer, vol. 306(1), pages 247-272, November.
- Yuzhi Cai & Thanaset Chevapatrakul & Danilo V. Mascia, 2021. "How is price explosivity triggered in the cryptocurrency markets?," Annals of Operations Research, Springer, vol. 307(1), pages 37-51, December.
- Christos Agiakloglou & Apostolos Tsimpanos, 2021. "Evaluating information criteria for selecting spatial processes," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 66(3), pages 677-697, June.
- David Volkmann, 2021. "Explaining S&P500 option returns: an implied risk-adjusted approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 665-685, June.
- Michal Mešťan & Ivan Králik & Matej Žofaj & Nikola Karkošiaková & Audrius Kabašinskas, 2021. "Projections of pension benefits in supplementary pension saving scheme in Slovakia," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 687-712, June.
- Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca, 2021. "Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 863-882, December.
- Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva, 2021. "Betting on bitcoin: a profitable trading between directional and shielding strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 883-903, December.
- Prilly Oktoviany & Robert Knobloch & Ralf Korn, 2021. "A machine learning-based price state prediction model for agricultural commodities using external factors," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1063-1085, December.
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021.
"Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 229-264,
Springer.
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print hal-03103717, HAL.
- Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN 2021021, Université catholique de Louvain, Louvain Finance (LFIN).
- Alain Kabundi & Asithandile Mbelu, 2021.
"Estimating a time-varying financial conditions index for South Africa,"
Empirical Economics, Springer, vol. 60(4), pages 1817-1844, April.
- Alain Kabundi & Asi Mbelu, 2017. "Estimating a timevarying financial conditions index for South Africa," Working Papers 8008, South African Reserve Bank.
- Yongchen Zhao, 2021. "The robustness of forecast combination in unstable environments: a Monte Carlo study of advanced algorithms," Empirical Economics, Springer, vol. 61(1), pages 173-199, July.
- Jack Fosten & Daniel Gutknecht, 2021. "Horizon confidence sets," Empirical Economics, Springer, vol. 61(2), pages 667-692, August.
- Serdar Neslihanoglu & Stelios Bekiros & John McColl & Duncan Lee, 2021. "Multivariate time-varying parameter modelling for stock markets," Empirical Economics, Springer, vol. 61(2), pages 947-972, August.
- Georges Tsafack & James Cataldo, 2021. "Backtesting and estimation error: value-at-risk overviolation rate," Empirical Economics, Springer, vol. 61(3), pages 1351-1396, September.
- Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2021.
"Time-varying influence of household debt on inequality in United Kingdom,"
Empirical Economics, Springer, vol. 61(4), pages 1917-1933, October.
- Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2020. "Time-Varying Influence of Household Debt on Inequality in United Kingdom," Working Papers 202017, University of Pretoria, Department of Economics.
- Nima Nonejad, 2021. "Crude oil price point forecasts of the Norwegian GDP growth rate," Empirical Economics, Springer, vol. 61(5), pages 2913-2930, November.
- Ahmet Akca & Ethem Çanakoğlu, 2021. "Adaptive stochastic risk estimation of firm operating profit," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 48(3), pages 463-504, September.
- David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
- Christian Stummer & Lars Lüpke & Markus Günther, 2021. "Beaming market simulation to the future by combining agent-based modeling with scenario analysis," Journal of Business Economics, Springer, vol. 91(9), pages 1469-1497, November.
- Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
- Pelin Akyol & Kala Krishna & Jinwen Wang, 2021.
"Taking PISA Seriously: How Accurate are Low-Stakes Exams?,"
Journal of Labor Research, Springer, vol. 42(2), pages 184-243, June.
- Ş. Pelin Akyol & Kala Krishna & Jinwen Wang, 2018. "Taking PISA Seriously: How Accurate are Low Stakes Exams?," NBER Working Papers 24930, National Bureau of Economic Research, Inc.
- Filippo Massari, 2021. "Price probabilities: a class of Bayesian and non-Bayesian prediction rules," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 72(1), pages 133-166, July.
- Annalisa Cristini & Piero Ferri, 2021. "Nonlinear models of the Phillips curve," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1129-1155, September.
- Ali Habibnia & Esfandiar Maasoumi, 2021. "Forecasting in Big Data Environments: An Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet)," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 363-381, December.
- Roberto S. Mariano & Suleyman Ozmucur, 2021. "Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 383-400, December.
- Subhash C. Sharma & Anil K. Bera, 2021. "Estimation of Random Components and Prediction in One and Two-Way Error Component Regression Models," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 419-441, December.
- Guilherme Lindenmeyer & Pedro Pablo Skorin & Hudson da Silva Torrent, 2021. "Using boosting for forecasting electric energy consumption during a recession: a case study for the Brazilian State Rio Grande do Sul," Letters in Spatial and Resource Sciences, Springer, vol. 14(2), pages 111-128, August.
- Ricarda B. Bouncken & Yixin Qiu & Noemi Sinkovics & Wolfgang Kürsten, 2021. "Qualitative research: extending the range with flexible pattern matching," Review of Managerial Science, Springer, vol. 15(2), pages 251-273, February.
- Rosina O. Weber & Kedma B. Duarte, 2021. "Data-driven artificial intelligence to automate researcher assessment," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(4), pages 3265-3281, April.
- Rodrigo Mulero & Alfredo García-Hiernaux, 2021. "Forecasting Spanish unemployment with Google Trends and dimension reduction techniques," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 12(3), pages 329-349, September.
- Ángel Cuevas & Ramiro Ledo & Enrique M. Quilis, 2021. "Seasonal adjustment of the Spanish sales daily data," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 12(4), pages 687-708, December.
- Raad Mozib Lalon & PhD & Nusrat Jahan, 2021. "Predicting Economic Performance of Bangladesh using Autoregressive Integrated Moving Average (ARIMA) model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(2), pages 1-5.
- Yu-Min Lian & Chia-Hsuan Li & Yi-Hsuan Wei, 2021. "Machine Learning and Time Series Models for VNQ Market Predictions," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(5), pages 1-2.
- Rebecca F. Gleditsch & Adrian F. Rogne & Astri Syse & Michael Thomas, 2021. "The accuracy of Statistics Norway’s national population projections," Discussion Papers 948, Statistics Norway, Research Department.
- Pål Boug & Håvard Hungnes & Takamitsu Kurita, 2021. "The empirical modelling of house prices and debt revisited. A policy-oriented perspective," Discussion Papers 967, Statistics Norway, Research Department.
- Martin Iseringhausen, 2021. "A time-varying skewness model for Growth-at-Risk," Working Papers 49, European Stability Mechanism.
- Hanjo Odendaal, 2021. "A machine learning approach to domain specific dictionary generation. An economic time series framework," Working Papers 06/2021, Stellenbosch University, Department of Economics.
- Constantin Bürgi & Tara M. Sinclair, 2021.
"What does forecaster disagreement tell us about the state of the economy?,"
Applied Economics Letters, Taylor & Francis Journals, vol. 28(1), pages 49-53, January.
- Constantin Bürgi & Tara M. Sinclair, 2020. "What Does Forecaster Disagreement Tell Us about the State of the Economy?," Working Papers 2020-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Riza Demirer & Rangan Gupta & Christian Pierdzioch & Syed Jawad Hussain Shahzad, 2021.
"A note on oil price shocks and the forecastability of gold realized volatility,"
Applied Economics Letters, Taylor & Francis Journals, vol. 28(21), pages 1889-1897, December.
- Riza Demirer & Rangan Gupta & Christian Pierdzioch & Syed Jawad Hussain Shahzad, 2020. "A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility," Working Papers 202010, University of Pretoria, Department of Economics.
- Antonio Rodríguez Andrés & Voxi Heinrich S. Amavilah & Abraham Otero, 2021.
"Evaluation of technology clubs by clustering: a cautionary note,"
Applied Economics, Taylor & Francis Journals, vol. 53(52), pages 5989-6001, November.
- Andres, Antonio Rodriguez & Otero, Abraham & Amavilah, Voxi Heinrich, 2021. "Evaluation of technology clubs by clustering: A cautionary note," MPRA Paper 109138, University Library of Munich, Germany.
- Tommaso Proietti, 2021.
"Predictability, real time estimation, and the formulation of unobserved components models,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 433-454, April.
- Tommaso Proietti, 2019. "Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models," CEIS Research Paper 455, Tor Vergata University, CEIS, revised 22 Mar 2019.
- Antoine A. Djogbenou, 2021.
"Model selection in factor-augmented regressions with estimated factors,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 470-503, April.
- Antoine A. Djogbenou, 2017. "Model Selection In Factor-augmented Regressions With Estimated Factors," Working Paper 1391, Economics Department, Queen's University.
- Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2021.
"Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 307-324, January.
- Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018. "Confidence intervals for bias and size distortion in IV and local projections — IV models," Working Papers 1841, Banco de España.
- Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018. "Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models," Working Papers 1077, Barcelona Graduate School of Economics.
- Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018. "Confidence intervals for bias and size distortion in IV and local projections–IV models," Economics Working Papers 1640, Department of Economics and Business, Universitat Pompeu Fabra.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021.
"Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,"
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- Selcuk Gul & Abdullah Kazdal, 2021. "Nowcasting and Short-term Forecasting Turkish GDP: Factor-MIDAS Approach," Working Papers 2111, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Ioannis Sitzimis, 2021. "An Optimal Forecasting Method of Passenger Traffic in Greek Coastal Shipping," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 14(3), pages 72-87, December.
2020
- Yu. Beketnova M. & Ю. Бекетнова М., 2020. "Синтез социально-экономических карт и визуализация девиантной деятельности объектов финансового мониторинга // Synthesis of Socio-Economic Maps and Visualization of Deviant Activity Measures of Financ," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 24(4), pages 6-17.
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- Andreas Psimopoulos, 2020. "Forecasting Economic Recessions Using Machine Learning:An Empirical Study in Six Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 18(1), pages 40-99.
- Martínez Vázquez, David Conaly & Pérez Avila, Héctor, 2020. "Proyección Markoviana de riesgos hidrometeorológicos para el cálculo actuarial en México al 2020 / Markovian projection of hydrometeorological risks for actuarial calculation in Mexico up to 2020," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 10(2), pages 163-194, julio-dic.
- Henry Nasses & Rodrigo De Losso, 2020. "Behavior Biases in Macroeconomic Forecasting," Working Papers, Department of Economics 2020_23, University of São Paulo (FEA-USP).
- Ducoudré, Bruno & Hubert, Paul & Tabarly, Guilhem, 2020.
"The state-dependence of output revisions,"
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"Financial variables as predictors of real growth vulnerability,"
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- Bernard Fingleton, 2020.
"Exploring Brexit with dynamic spatial panel models: some possible outcomes for employment across the EU regions,"
The Annals of Regional Science, Springer;Western Regional Science Association, vol. 64(2), pages 455-491, April.
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- Joanna Bruzda, 2020. "Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(1), pages 309-336, March.
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"Forecasting output growth using a DSGE-based decomposition of the South African yield curve,"
Empirical Economics, Springer, vol. 58(1), pages 351-378, January.
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"Business cycle dating and forecasting with real-time Swiss GDP data,"
Empirical Economics, Springer, vol. 58(1), pages 73-105, January.
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"Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts,"
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- Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
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- Chris Heaton & Natalia Ponomareva & Qin Zhang, 2020. "Forecasting models for the Chinese macroeconomy: the simpler the better?," Empirical Economics, Springer, vol. 58(1), pages 139-167, January.
- João C. Claudio & Katja Heinisch & Oliver Holtemöller, 2020.
"Nowcasting East German GDP growth: a MIDAS approach,"
Empirical Economics, Springer, vol. 58(1), pages 29-54, January.
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- Ines Fortin & Sebastian P. Koch & Klaus Weyerstrass, 2020. "Evaluation of economic forecasts for Austria," Empirical Economics, Springer, vol. 58(1), pages 107-137, January.
- Christian Pierdzioch & Marian Risse, 2020. "Forecasting precious metal returns with multivariate random forests," Empirical Economics, Springer, vol. 58(3), pages 1167-1184, March.
- Kyle E. Binder & Mohsen Pourahmadi & James W. Mjelde, 2020. "The role of temporal dependence in factor selection and forecasting oil prices," Empirical Economics, Springer, vol. 58(3), pages 1185-1223, March.
- Aitor Ciarreta & Peru Muniain & Ainhoa Zarraga, 2020. "Realized volatility and jump testing in the Japanese electricity spot market," Empirical Economics, Springer, vol. 58(3), pages 1143-1166, March.
- Rodrigo Herrera & Adam Clements, 2020. "A marked point process model for intraday financial returns: modeling extreme risk," Empirical Economics, Springer, vol. 58(4), pages 1575-1601, April.
- João F. Caldeira, 2020. "Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil," Empirical Economics, Springer, vol. 59(1), pages 395-412, July.
- Holger Stichnoth, 2020.
"Short-run fertility effects of parental leave benefits: evidence from a structural model,"
Empirical Economics, Springer, vol. 59(1), pages 143-168, July.
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- Marcos Álvarez-Díaz, 2020. "Is it possible to accurately forecast the evolution of Brent crude oil prices? An answer based on parametric and nonparametric forecasting methods," Empirical Economics, Springer, vol. 59(3), pages 1285-1305, September.
- Yana Petrova, 2020. "On cointegration between the insurance market and economic activity," Empirical Economics, Springer, vol. 59(3), pages 1127-1138, September.
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"Assessing distributional properties of forecast errors for fan-chart modelling,"
Empirical Economics, Springer, vol. 59(6), pages 2841-2858, December.
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- Lixiong Yang, 2020. "State-dependent biases and the quality of China’s preliminary GDP announcements," Empirical Economics, Springer, vol. 59(6), pages 2663-2687, December.
- Dean Fantazzini & Stephan Zimin, 2020.
"A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies,"
Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
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- Unn Lindholm & Marcus Mossfeldt & Pär Stockhammar, 2020. "Forecasting inflation in Sweden," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(1), pages 39-68, April.
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"A time-varying expectations formation mechanism,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(1), pages 69-103, April.
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- Maud H. Korte & Gertjan S. Verhoeven & Arianne M. J. Elissen & Silke F. Metzelthin & Dirk Ruwaard & Misja C. Mikkers, 2020. "Using machine learning to assess the predictive potential of standardized nursing data for home healthcare case-mix classification," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 21(8), pages 1121-1129, November.
- Maren Hein & Peter Kurz & Winfried J. Steiner, 2020. "Analyzing the capabilities of the HB logit model for choice-based conjoint analysis: a simulation study," Journal of Business Economics, Springer, vol. 90(1), pages 1-36, February.
- Christian Lohmann & Thorsten Ohliger, 2020. "Bankruptcy prediction and the discriminatory power of annual reports: empirical evidence from financially distressed German companies," Journal of Business Economics, Springer, vol. 90(1), pages 137-172, February.
- Yongchen Zhao, 2020. "Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 16(2), pages 77-97, November.
- Kristian Jönsson, 2020. "Machine Learning and Nowcasts of Swedish GDP," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 16(2), pages 123-134, November.
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"Epidemiology of inflation expectations and internet search: an analysis for India,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 649-671, July.
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"A new indicator for nowcasting employment subject to social security contributions in Germany,"
Journal for Labour Market Research, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], vol. 54(1), pages 1-4.
- Christian Hutter, 2020. "A new indicator for nowcasting employment subject to social security contributions in Germany," Journal for Labour Market Research, Springer;Institute for Employment Research/ Institut für Arbeitsmarkt- und Berufsforschung (IAB), vol. 54(1), pages 1-10, December.
- Moses Tule & Afees Salisu & Charles Chiemeke, 2020. "Improving Nigeria’s Inflation Forecast with Oil Price: The Role of Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 191-229, March.
- Dilip Kumar, 2020. "Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 587-610, September.
- Laura Casula & Guglielmo D’Amico & Giovanni Masala & Filippo Petroni, 2020. "Performance estimation of photovoltaic energy production," Letters in Spatial and Resource Sciences, Springer, vol. 13(3), pages 267-285, December.
- Tomasz Brzęczek, 2020. "Optimisation of product portfolio sales and their risk subject to product width and diversity," Review of Managerial Science, Springer, vol. 14(5), pages 1009-1027, October.
- Marc Burri & Daniel Kaufmann, 2020.
"A daily fever curve for the Swiss economy,"
Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-11, December.
- Marc Burri & Daniel Kaufmann, 2020. "A daily fever curve for the Swiss economy," IRENE Working Papers 20-05, IRENE Institute of Economic Research.
- Francesca Carta, 2020. "Timely Indicators for Inequality and Poverty Using the Italian Labour Force Survey," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 149(1), pages 41-65, May.
- Thieß Petersen & Martina Lizarazo López & Serguei Kaniovski & Thomas Url, 2020. "Makroökonomische Folgen der demografischen Alterung [Macroeconomic Consequences of Demographic Ageing: Simulations Until 2050]," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, vol. 100(12), pages 958-963, December.
- Håvard Hungnes, 2020. "Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations," Discussion Papers 931, Statistics Norway, Research Department.
- Håvard Hungnes, 2020. "Predicting the exchange rate path. The importance of using up-to-date observations in the forecasts," Discussion Papers 934, Statistics Norway, Research Department.
- Marina Y. Anokhina & Rakhat Abdrakhmanov & Yelena Evgenevna Gridneva & Milton Arrieta-López & Nuray Romanovna Dzhalilova & Abel Meza-Godoy, 2020. "Formation of the competitive potential of the agricultural territories," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 7(3), pages 1921-1936, March.
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"Quantifying Risks to Sovereign Market Access: Methods and Challenges,"
Globalization Institute Working Papers
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- Edward S. Knotek & Saeed Zaman, 2020.
"Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach,"
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- Edward Knotek & Saeed Zaman, 2020. "Real-time density nowcasts of US inflation: a model-combination approach," Working Papers 2015, University of Strathclyde Business School, Department of Economics.
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"Higher Moment Constraints for Predictive Density Combinations,"
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"A Forward Guidance Indicator For The South African Reserve Bank: Implementing A Text Analysis Algorithm,"
Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(3), pages 41-72, December.
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"IMA(1,1) as a new benchmark for forecast evaluation,"
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"Pre- and within-season attendance forecasting in Major League Baseball: a random forest approach,"
Applied Economics, Taylor & Francis Journals, vol. 52(41), pages 4512-4528, September.
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"The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach,"
Applied Economics, Taylor & Francis Journals, vol. 52(5), pages 528-536, January.
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"Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 47(6), pages 1128-1143, April.
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"Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(531), pages 1092-1110, July.
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"Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure,"
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"Testing for an Omitted Multiplicative Long-Term Component in GARCH Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
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"Markov-Switching Three-Pass Regression Filter,"
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"Detecting Structural Differences in Tail Dependence of Financial Time Series,"
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"The dynamics of ex-ante weighted spread: an empirical analysis,"
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"A Forward Guidance Indicator For The South African Reserve Bank: Implementing A Text Analysis Algorithm,"
Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(3), pages 41-72, December.
- Ruan Erasmus & Hylton Hollander, 2020. "A Forward Guidance Indicator For The South African Reserve Bank: Implementing A Text Analysis Algorithm," Working Papers 04/2020, Stellenbosch University, Department of Economics.
- Troy Lorde & Antonio Alleyne & Roger Hosein & Mu Yifei, 2020.
"Should the Caribbean Look to the East? An Assessment of Caribbean Export Potential,"
The International Trade Journal, Taylor & Francis Journals, vol. 34(1), pages 136-150, January.
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- Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
- Islam, Raisul & Volkov, Vladimir, 2020. "Calm before the storm: an early warning approach before and during the COVID-19 crisis," Working Papers 2020-09, University of Tasmania, Tasmanian School of Business and Economics.
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"Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective,"
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- Laura Liu, 2018. "Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective," Finance and Economics Discussion Series 2018-036, Board of Governors of the Federal Reserve System (U.S.).
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"“Economic determinants of employment sentiment: A socio-demographic analysis for the euro area”,"
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- Marc Burri & Daniel Kaufmann, 2020.
"A daily fever curve for the Swiss economy,"
Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-11, December.
- Marc Burri & Daniel Kaufmann, 2020. "A daily fever curve for the Swiss economy," IRENE Working Papers 20-05, IRENE Institute of Economic Research.
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"On the performance of US fiscal forecasts: government vs. private information,"
Journal of Economic Studies, Emerald Group Publishing, vol. 48(2), pages 367-391, June.
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"COVID-19 and the Future of US Fertility: What Can We Learn from Google?,"
SocArXiv
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- Joshua Wilde & Wei Chen & Sophie Lohmann, 2020. "COVID-19 and the future of US fertility: what can we learn from Google?," MPIDR Working Papers WP-2020-034, Max Planck Institute for Demographic Research, Rostock, Germany.
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"Real Time Forecasting of Covid-19 Intensive Care Units demand,"
Health, Econometrics and Data Group (HEDG) Working Papers
20/16, HEDG, c/o Department of Economics, University of York.
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"Aggregation mechanisms for crowd predictions,"
Experimental Economics, Springer;Economic Science Association, vol. 23(3), pages 788-814, September.
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"Forecasting stock returns with large dimensional factor models,"
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"Machine Learning or Econometrics for Credit Scoring: Let’s Get the Best of Both Worlds,"
LEO Working Papers / DR LEO
2839, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
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"Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle,"
VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking
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"Short-term inflation projections model and its assessment in Latvia,"
Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 21(2), pages 184-204.
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"The Dynamic of COVID-19 New Infections under Different Stringent Policies,"
EERI Research Paper Series
EERI RP 2020/07, Economics and Econometrics Research Institute (EERI), Brussels.
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- Razzak, Weshah, 2020. "The Dynamic of COVID-19 New Infections under Different Stringent Policies," MPRA Paper 100451, University Library of Munich, Germany.
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"Complete Subset Averaging for Quantile Regressions,"
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"Nowcasting Real GDP Growth: Comparison between Old and New EU Countries,"
Eastern European Economics, Taylor & Francis Journals, vol. 58(3), pages 197-220, May.
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"COVID-19: R0 is lower where outbreak is larger,"
Health Policy, Elsevier, vol. 125(2), pages 141-147.
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"Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
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"Good Carry, Bad Carry,"
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"A Model of Global Beverage Markets,"
Journal of Wine Economics, Cambridge University Press, vol. 15(3), pages 330-354, August.
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- Rim Ammar Lamouchi, 2020. "Long Memory and Stock Market Efficiency: Case of Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 29-34.
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"Does judgment improve macroeconomic density forecasts?,"
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"Forecasting Low Frequency Macroeconomic Events with High Frequency Data,"
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- Gaetano Perone, 2020. "An ARIMA model to forecast the spread and the final size of COVID-2019 epidemic in Italy," Health, Econometrics and Data Group (HEDG) Working Papers 20/07, HEDG, c/o Department of Economics, University of York.
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"Real Time Forecasting of Covid-19 Intensive Care Units demand,"
Working Papers
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"Testing the predictive accuracy of COVID-19 forecasts,"
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"Financial Variables as Predictors of Real Growth Vulnerability,"
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"Testing Forecast Rationality for Measures of Central Tendency,"
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"Oil and Fiscal Policy Regimes,"
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"Forecasting Inflation with the New Keynesian Phillips Curve: Frequency Matters,"
CEF.UP Working Papers
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"Do Expert Experience and Characteristics Affect Inflation Forecasts?,"
CFDS Discussion Paper Series
2020/6, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
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"The Hard Problem of Prediction for Conflict Prevention,"
CEPR Discussion Papers
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"State Dependence In Labor Market Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1027-1072, August.
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"A Scoring Rule for Factor and Autoregressive Models Under Misspecification,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
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"A Model of Global Beverage Markets,"
Journal of Wine Economics, Cambridge University Press, vol. 15(3), pages 330-354, August.
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"Forecasting the Results of Experiments: Piloting an Elicitation Strategy,"
AEA Papers and Proceedings, American Economic Association, vol. 110, pages 75-79, May.
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"Cliometrics of Climate Change: A Natural Experiment on the Little Ice Age,"
Working Papers of BETA
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"Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts,"
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"PCA Forecast Averaging—Predicting Day-Ahead and Intraday Electricity Prices,"
Energies, MDPI, vol. 13(14), pages 1-19, July.
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"A Scoring Rule for Factor and Autoregressive Models Under Misspecification,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
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"Complete Subset Averaging for Quantile Regressions,"
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"Targeting predictors in random forest regression,"
CREATES Research Papers
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"COVID-19: R0 is lower where outbreak is larger,"
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"A Dynamic Conditional Approach to Portfolio Weights Forecasting,"
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"A Model of the Fed’s View on Inflation,"
The Warwick Economics Research Paper Series (TWERPS)
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"When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage,"
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"Optimal probabilistic forecasts: When do they work?,"
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"Robust Forecasting,"
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"Using Machine Learning to Create an Early Warning System for Welfare Recipients,"
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"Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit,"
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"The decline in public investment: ``social dominance’’ or too-rigid fiscal rules?,"
Applied Economics, Taylor & Francis Journals, vol. 54(10), pages 1123-1136, February.
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"Can news help measure economic sentiment? An application in COVID-19 times,"
Economics Letters, Elsevier, vol. 199(C).
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"The time-varying risk of Italian GDP,"
Economic Modelling, Elsevier, vol. 101(C).
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"Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
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"Linear and nonlinear growth determinants: The case of Mongolia and its connection to China,"
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- Laliotis, Ioannis, 2020. "The Covid-19 pandemic in Greece," MPRA Paper 99754, University Library of Munich, Germany.
- Matthew W Clance & Riza Demirer & Rangan Gupta & Clement Kweku Kyei, 2020.
"Predicting firm-level volatility in the United States: the role of monetary policy uncertainty,"
Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 167-177.
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"A note on oil price shocks and the forecastability of gold realized volatility,"
Applied Economics Letters, Taylor & Francis Journals, vol. 28(21), pages 1889-1897, December.
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"Do oil-price shocks predict the realized variance of U.S. REITs?,"
Energy Economics, Elsevier, vol. 104(C).
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"Geopolitical risks and historical exchange rate volatility of the BRICS,"
International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
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"Time-varying influence of household debt on inequality in United Kingdom,"
Empirical Economics, Springer, vol. 61(4), pages 1917-1933, October.
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- Christos Bouras & Christina Christou & Rangan Gupta & Keagile Lesame, 2020. "Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks," Working Papers 202037, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan & Bouri, Elie & Ji, Qiang, 2020.
"The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach,"
Research in International Business and Finance, Elsevier, vol. 54(C).
- Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach," Working Papers 202043, University of Pretoria, Department of Economics.
- Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian & Shahzad, Syed Jawad Hussain, 2020.
"The predictive power of oil price shocks on realized volatility of oil: A note,"
Resources Policy, Elsevier, vol. 69(C).
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- Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility," Working Papers 202049, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Riza Demirer, 2020. "A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment," Working Papers 202050, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions," Working Papers 202051, University of Pretoria, Department of Economics.
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"Time-varying evidence of predictability of financial stress in the United States over a century: The role of inequality,"
Structural Change and Economic Dynamics, Elsevier, vol. 57(C), pages 87-92.
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- Hardik A. Marfatia & Christophe Andre & Rangan Gupta, 2020. "Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties," Working Papers 202061, University of Pretoria, Department of Economics.
- Afees A. Salisu & Juncal Cunado & Kazeem Isah & Rangan Gupta, 2020. "Oil Price and Exchange Rate Behaviour of the BRICS for Over a Century," Working Papers 202064, University of Pretoria, Department of Economics.
- Xin Sheng & Rangan Gupta & Qiang Ji, 2020. "Forecasting Charge-Off Rates with a Panel Tobit Model: The Role of Uncertainty," Working Papers 202092, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch & Afees A. Salisu, 2020. "Oil-Price Uncertainty and the U.K. Unemployment Rate: A Forecasting Experiment with Random Forests Using 150 Years of Data," Working Papers 202095, University of Pretoria, Department of Economics.
- Bouri, Elie & Gupta, Rangan & Majumdar, Anandamayee & Subramaniam, Sowmya, 2021.
"Time-varying risk aversion and forecastability of the US term structure of interest rates,"
Finance Research Letters, Elsevier, vol. 42(C).
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- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2020. "Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note," Working Papers 202099, University of Pretoria, Department of Economics.
- Tomáš Jeøábek, 2020. "The Efficiency of GARCH Models in Realizing Value at Risk Estimates," ACTA VSFS, University of Finance and Administration, vol. 14(1), pages 32-50.
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- Steven F. Lehrer & Tian Xie, 2018.
"The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success,"
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- Andrew Clark, 2020. "A Pound Centric look at the Pound vs. Krona Exchange Rate Movement from 1844 to 1965," Economics Discussion Papers em-dp2020-22, Department of Economics, University of Reading.
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"Do survey joiners and leavers differ from regular participants? The US SPF GDP growth and inflation forecasts,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 634-646.
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"Individual forecaster perceptions of the persistence of shocks to GDP,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 640-656, April.
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"Sign restrictions in high-dimensional vector autoregressions,"
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"A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance,"
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"Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
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"Nowcasting monthly GDP with big data: A model averaging approach,"
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- Robert Wrathall & Rod Falvey & Gulasekaran Rajaguru, 2020. "Do (Australian) jockeys have hot hands?," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 223-239, May.
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"Institutional and Economic Determinants of Regional Public Debt in Spain,"
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"Time-varying risk aversion and the predictability of bond premia,"
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"Information, prices and efficiency in an online betting market,"
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"Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile,"
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"Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities,"
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"Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy,"
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"Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?,"
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"Oil price shocks and economic growth: The volatility link,"
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"Can Google search data help predict macroeconomic series?,"
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"Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model,"
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"A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth,"
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- Mr. Manuk Ghazanchyan & Vibha Nanda & Alex Ho & Mr. Bas B. Bakker, 2020. "The Lack of Convergence of Latin-America Compared with CESEE: Is Low Investment to Blame?," IMF Working Papers 2020/098, International Monetary Fund.
- Rey Francisco Ayala Castrejon & Christian Bucio Pacheco, 2020. "Modelo ARIMA aplicado al tipo de cambio peso-dólar en el periodo 2016-2017 mediante ventanas temporales deslizantes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(3), pages 331-354, Julio - S.
- Sergio Lagunas Puls & Miguel Angel Oropeza Tagle & Juan Bautista Boggio Vázquez, 2020. "Energy Consumption in North America: Visualization and Pyramidal Perspective," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(4), pages 709-723, Octubre -.
- Xavier Estupinan & Mohit Sharma & Sargam Gupta & Bharti Birla, 2020. "Impact of COVID-19 pandemic on labour supply and gross value added in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-022, Indira Gandhi Institute of Development Research, Mumbai, India.
- Lasse Bork & Stig V. Møller & Thomas Q. Pedersen, 2020.
"A New Index of Housing Sentiment,"
Management Science, INFORMS, vol. 66(4), pages 1563-1583, April.
- Lasse Bork & Stig V. Møller & Thomas Q. Pedersen, 2016. "A New Index of Housing Sentiment," CREATES Research Papers 2016-32, Department of Economics and Business Economics, Aarhus University.
- Rutger Jan Lange, 2020. "Bellman filtering for state-space models," Tinbergen Institute Discussion Papers 20-052/III, Tinbergen Institute, revised 19 May 2021.
- Blasques, Francisco & Hoogerkamp, Meindert Heres & Koopman, Siem Jan & van de Werve, Ilka, 2021.
"Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1426-1441.
- Francisco Blasques & Meindert Heres Hoogerkamp & Siem Jan Koopman & Ilka van de Werve, 2020. "Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data," Tinbergen Institute Discussion Papers 20-078/III, Tinbergen Institute, revised 21 Jan 2021.
- Noussair, C.N. & Popescu, Andreea Victoria, 2020.
"Contagion and Return Predictability in Asset Markets : An Experiment with Two Lucas Trees,"
Other publications TiSEM
f29687f7-d02c-4fad-98c2-0, Tilburg University, School of Economics and Management.
- Noussair, C.N. & Popescu, Andreea Victoria, 2020. "Contagion and Return Predictability in Asset Markets : An Experiment with Two Lucas Trees," Discussion Paper 2020-014, Tilburg University, Center for Economic Research.
- Kohei Maehashi & Mototsugu Shintani, 2020. "Macroeconomic Forecasting Using Factor Models and Machine Learning: An Application to Japan," CIRJE F-Series CIRJE-F-1146, CIRJE, Faculty of Economics, University of Tokyo.
- Monokroussos, George & Zhao, Yongchen, 2020.
"Nowcasting in real time using popularity priors,"
International Journal of Forecasting, Elsevier, vol. 36(3), pages 1173-1180.
- Monokroussos, George, 2015. "Nowcasting in Real Time Using Popularity Priors," MPRA Paper 68594, University Library of Munich, Germany.
- George Monokroussos & Yongchen Zhao, 2020. "Nowcasting in Real Time Using Popularity Priors," Working Papers 2020-01, Towson University, Department of Economics, revised Feb 2020.
- Lahiri, Kajal & Zhao, Yongchen, 2020.
"The Nordhaus test with many zeros,"
Economics Letters, Elsevier, vol. 193(C).
- Kajal Lahiri & Yongchen Zhao, 2020. "The Nordhaus Test with Many Zeros," CESifo Working Paper Series 8350, CESifo.
- Kajal Lahiri & Yongchen Zhao, 2020. "The Nordhaus Test with Many Zeros," Working Papers 2020-05, Towson University, Department of Economics, revised Jun 2020.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020.
"Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors,"
The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 2017-026, Federal Reserve Bank of St. Louis.
- Todd E Clark & Michael W McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," BIS Working Papers 667, Bank for International Settlements.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 17-15R, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers (Old Series) 1715, Federal Reserve Bank of Cleveland.
- Felix Haase & Matthias Neuenkirch, 2020.
"Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US,"
Research Papers in Economics
2020-01, University of Trier, Department of Economics.
- Felix Haase & Matthias Neuenkirch, 2021. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," CESifo Working Paper Series 8828, CESifo.
- Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Working Paper Series 2020-03, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Felix Haase & Matthias Neuenkirch, 2020.
"Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US,"
Working Paper Series
2020-03, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Felix Haase & Matthias Neuenkirch, 2021. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," CESifo Working Paper Series 8828, CESifo.
- Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
- Achim Ahrens & Christian B. Hansen & Mark E. Schaffer, 2020.
"lassopack: Model selection and prediction with regularized regression in Stata,"
Stata Journal, StataCorp LP, vol. 20(1), pages 176-235, March.
- Ahrens, Achim & Hansen, Christian B. & Schaffer, Mark E, 2019. "lassopack: Model Selection and Prediction with Regularized Regression in Stata," IZA Discussion Papers 12081, Institute of Labor Economics (IZA).
- Achim Ahrens & Christian B. Hansen & Mark E. Schaffer, 2019. "lassopack: Model selection and prediction with regularized regression in Stata," Papers 1901.05397, arXiv.org.
- Benedikt Janzen & Doina Radulescu, 0.
"Electricity Use as a Real-Time Indicator of the Economic Burden of the COVID-19-Related Lockdown: Evidence from Switzerland,"
CESifo Economic Studies, CESifo, vol. 66(4), pages 303-321.
- Benedikt Janzen & Doina Maria Radulescu, 2020. "Electricity Use as a Real Time Indicator of the Economic Burden of the Covid-19-Related Lockdown: Evidence from Switzerland," CESifo Working Paper Series 8363, CESifo.
- Benedikt Janzen & Doina Radulescu, 2020. "Electricity Use as a Real Time Indicator of the Economic Burden of the COVID-19-Related Lockdown: Evidence from Switzerland," Diskussionsschriften dp2010, Universitaet Bern, Departement Volkswirtschaft.
- Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020.
"Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
- Tong Fang & Tae-Hwy Lee & Zhi Su, 2020. "Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection," Working Papers 202009, University of California at Riverside, Department of Economics.
- Dmytro Krukovets, 2020. "Data Science Opportunities at Central Banks: Overview," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 249, pages 13-24.
- Olivier Damette & Claude Diebolt & Stephane Goutte & Umberto Triacca, 2020.
"Cliometrics of Climate Change: A Natural Experiment on the Little Ice Age,"
Working Papers
02-20, Association Française de Cliométrie (AFC).
- Olivier DAMETTE & Claude DIEBOLT & Stephane GOUTTE & Umberto TRIACCA, 2020. "Cliometrics of Climate Change: A Natural Experiment on the Little Ice Age," Working Papers of BETA 2020-20, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Juan Equiza-Goñi, 2020. "WP02/20 Datos de mortalidad diarios durante la crisis del COVID-19: una propuesta de mejora," Faculty Working Papers 01/20, School of Economics and Business Administration, University of Navarra.
- Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2020.
"Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence,"
Working Paper Series
2020-08, Federal Reserve Bank of San Francisco.
- Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2020. "Has the information channel of monetary policy disappeared? Revisiting the empirical evidence," Economics Working Papers 1701, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Hoesch, Lukas & Rossi, Barbara & Sekhposyan, Tatevik, 2020. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," CEPR Discussion Papers 14456, C.E.P.R. Discussion Papers.
- Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2020. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," Working Papers 1158, Barcelona Graduate School of Economics.
- Breitenstein, Miriam & Anke, Carl-Philipp & Nguyen, Duc Khuong & Walther, Thomas, 2019.
"Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry,"
MPRA Paper
101763, University Library of Munich, Germany.
- Miriam Breitenstein & Carl-Philipp Anke & Duc Khuong Nguyen & T. Walther, 2020. "Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry," Working Papers 2002, Utrecht School of Economics.
- WEBER Matthias, & STRIAUKAS Jonas, & SCHUMACHER Martin, & HARALD Binder,, 2018.
"Network constrained covariate coefficient and connection sign estimation,"
LIDAM Discussion Papers CORE
2018018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jonas Striaukas & Martin Schumacher & Harald Binder & Matthias Weber, 2020. "Network-Constrained Covariate Coefficient and Connection Sign Estimation," Working Papers on Finance 2001, University of St. Gallen, School of Finance.
- Matthias Weber & Jonas Striaukas & Martin Schumacher & Harald Binder, 2018. "Network constrained covariate coefficient and connection sign estimation," Bank of Lithuania Discussion Paper Series 8, Bank of Lithuania.
- Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020. "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series 415, Quantitative Finance Research Centre, University of Technology, Sydney.
- Christina Sklibosios Nikitopoulos & Alice Thomas & Jianxin Wang, 2020. "The Economic Impact of Volatility Persistence on Energy Markets," Research Paper Series 417, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hans R. ISAKSON & Mark D. ECKER & Lee KENNEDY, 2020. "Principles For Calculating Avm Performance Metrics," The Valuation Journal, National Association of Romanian Valuers, vol. 16(2), pages 38-69.
- Hristina Vasileva, 2020. "Application Of Logistic Regressionin Assessing The Credit Risk Of Smes," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 334-345.
- Žmuk Berislav & Kovač Matej, 2020. "Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 6(1), pages 27-42, May.
- Oesterreich Maciej, 2020. "On the Method of Identification of Atypical Observations in Time Series," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(2), pages 1-16, June.
- Krzciuk Małgorzata K., 2020. "On Empirical Best Linear Unbiased Predictor Under a Linear Mixed Model with Correlated Random Effects," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(2), pages 17-29, June.
- Jaworski Stanisław, 2020. "A Few Remarks on the Stochastic Structure of the Unemployment Rate in Poland by Gender," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(2), pages 41-52, June.
- Gürsakal Necmi & Yilmaz Fırat Melih & Uğurlu Erginbay, 2020. "Finding Opportunity Windows in Time Series Data Using the Sliding Window Technique: the Case of Stock Exchanges," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(3), pages 1-19, September.
- Wójcik Filip & Górnik Michał, 2020. "Improvement of E-Commerce Recommendation Systems with Deep Hybrid Collaborative Filtering with Content: A Case Study," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(3), pages 37-50, September.
- Zanka Mikhail, 2020. "A Comparison of Variables Selection Methods and their Sequential Application: A Case Study of the Bankruptcy of Polish Companies," Folia Oeconomica Stetinensia, Sciendo, vol. 20(1), pages 531-543, June.
- Wodecki Andrzej, 2020. "The Reserve Price Optimization for Publishers on Real-Time Bidding on-Line Marketplaces with Time-Series Forecasting," Foundations of Management, Sciendo, vol. 12(1), pages 167-180, January.
- Wodecki Andrzej, 2020. "The Reserve Price Optimization for Publishers on Real-Time Bidding on-Line Marketplaces with Time-Series Forecasting," Foundations of Management, Sciendo, vol. 12(1), pages 167-180, January.
- Rządkowski Grzegorz & Sobczak Lidia, 2020. "A Generalized Logistic Function and Its Applications," Foundations of Management, Sciendo, vol. 12(1), pages 85-92, January.
- Moro Matheus Fernando & Weise Andreas Dittmar & Bornia Antonio Cezar, 2020. "Model Hybrid for Sales Forecast for the Housing Market of São Paulo," Real Estate Management and Valuation, Sciendo, vol. 28(3), pages 45-64, September.
- Ngozi E. Egbuna (PhD) & Maimuna John-Sowe & Santigie M. Kargbo (PhD) & Ibrahima Diallo & Sani Bawa (PhD) & Isatou Mendy, 2020. "When Will Normalcy Return? Exploring The Novel Covid-19 Spread In The West African Monetary Zone," West African Journal of Monetary and Economic Integration, West African Monetary Institute, vol. 20(1b), pages 1-22, June.
- Mateusz Buczyński & Marcin Chlebus, 2020. "Size does matter. A study on the required window size for optimal quality market risk models," Working Papers 2020-09, Faculty of Economic Sciences, University of Warsaw.
- Maciej Wysocki & Robert Ślepaczuk, 2020. "Artificial Neural Networks Performance in WIG20 Index Options Pricing," Working Papers 2020-19, Faculty of Economic Sciences, University of Warsaw.
- Mateusz Kijewski & Robert Ślepaczuk, 2020. "Predicting prices of S&P500 index using classical methods and recurrent neural networks," Working Papers 2020-27, Faculty of Economic Sciences, University of Warsaw.
- Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
- Mateusz Heba & Marcin Chlebus, 2020. "Impact of using industry benchmark financial ratios on performance of bankruptcy prediction logistic regression model," Working Papers 2020-30, Faculty of Economic Sciences, University of Warsaw.
- Bartłomiej Bollin & Robert Ślepaczuk, 2020. "Variance Gamma Model in Hedging Vanilla and Exotic Options," Working Papers 2020-31, Faculty of Economic Sciences, University of Warsaw.
- Robert Ślepaczuk & Igor Wabik, 2020. "The impact of the results of football matches on the stock prices of soccer clubs," Working Papers 2020-35, Faculty of Economic Sciences, University of Warsaw.
- Quynh Bui & Robert Ślepaczuk, 2020. "Applying Hurst Exponent in Pair Trading Strategies," Working Papers 2020-39, Faculty of Economic Sciences, University of Warsaw.
- Stefan Jestl & Roman Römisch, 2020. "On the Economic Effects of a Reallocation of EU Cohesion Policy Expenditures," wiiw Working Papers 183, The Vienna Institute for International Economic Studies, wiiw.
- Capek, Jan & Crespo Cuaresma, Jesus & Hauzenberger, Niko & Reichel, Vlastimil, 2020.
"Macroeconomic forecasting in the euro area using predictive combinations of DSGE models,"
Department of Economics Working Paper Series
305, WU Vienna University of Economics and Business.
- Jan Capek & Jesus Crespo Cuaresma & Niko Hauzenberger & Vlastimil Reichel, 2020. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," Department of Economics Working Papers wuwp305, Vienna University of Economics and Business, Department of Economics.
- Jan Capek & Jesus Crespo Cuaresma & Niko Hauzenberger & Vlastimil Reichel, 2020.
"Macroeconomic forecasting in the euro area using predictive combinations of DSGE models,"
Department of Economics Working Papers
wuwp305, Vienna University of Economics and Business, Department of Economics.
- Capek, Jan & Crespo Cuaresma, Jesus & Hauzenberger, Niko & Reichel, Vlastimil, 2020. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," Department of Economics Working Paper Series 305, WU Vienna University of Economics and Business.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020.
"Forecasting With Dynamic Panel Data Models,"
Econometrica, Econometric Society, vol. 88(1), pages 171-201, January.
- Laura Liu & Hyungsik Moon & Frank Schorfheide, 2016. "Forecasting with Dynamic Panel Data Models," PIER Working Paper Archive 16-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 21 Dec 2016.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2017. "Forecasting with Dynamic Panel Data Models," Papers 1709.10193, arXiv.org.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2018. "Forecasting with Dynamic Panel Data Models," NBER Working Papers 25102, National Bureau of Economic Research, Inc.
- Michael W. McCracken, 2020.
"Diverging Tests of Equal Predictive Ability,"
Econometrica, Econometric Society, vol. 88(4), pages 1753-1754, July.
- Michael W. McCracken, 2019. "Diverging Tests of Equal Predictive Ability," Working Papers 2019-018, Federal Reserve Bank of St. Louis, revised 09 Mar 2020.
- Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2020.
"State Dependence In Labor Market Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1027-1072, August.
- Pizzinelli, Carlo & Theodoridis, Konstantinos & Zanetti, Francesco, 2020. "State Dependence in Labor Market Fluctuations," Cardiff Economics Working Papers E2020/2, Cardiff University, Cardiff Business School, Economics Section.
- Francesco Zanetti & Carlo Pizzinelli & Konstantinos Theodoridis, 2020. "State Dependence in Labor Market Fluctuations," Economics Series Working Papers 902, University of Oxford, Department of Economics.
- Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2020. "State dependence in labour market fluctuations," Working Papers 47, European Stability Mechanism.
- Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020.
"Prediction regions for interval‐valued time series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019. "Prediction Regions for Interval-valued Time Series," Working Papers 201921, University of California at Riverside, Department of Economics.
- Jonas Dovern & Hans Manner, 2020.
"Order‐invariant tests for proper calibration of multivariate density forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Duc Khuong Nguyen & Thomas Walther, 2020.
"Modeling and forecasting commodity market volatility with long‐term economic and financial variables,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
- Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
- Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
- Benedikt Maas, 2020.
"Short‐term forecasting of the US unemployment rate,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 394-411, April.
- Maas, Benedikt, 2019. "Short-term forecasting of the US unemployment rate," MPRA Paper 94066, University Library of Munich, Germany.
- Andrea Bucci, 2020.
"Cholesky–ANN models for predicting multivariate realized volatility,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 865-876, September.
- Bucci, Andrea, 2019. "Cholesky-ANN models for predicting multivariate realized volatility," MPRA Paper 95137, University Library of Munich, Germany.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020.
"Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," CAMA Working Papers 2019-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Elie Bouri & Riza Demirer & Rangan Gupta & Xiaojin Sun, 2020.
"The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 957-965, September.
- Elie Bouri & Riza Demirer & Rangan Gupta & Xiaojin Sun, 2019. "The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles," Working Papers 201938, University of Pretoria, Department of Economics.
- Oguzhan Cepni & Rangan Gupta & I. Ethem Güney & M. Yilmaz, 2020.
"Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 966-985, September.
- Oguzhan Cepni & Rangan Gupta & I. Ethem Guney & M. Hasan Yilmaz, 2019. "Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages," Working Papers 201957, University of Pretoria, Department of Economics.
- Cindy S. H. Wang & Shui Ki Wan, 2020. "A VAR Approach to Forecasting Multivariate Long Memory Processes Subject to Structural Breaks," Advances in Econometrics, in: Tong Li & M. Hashem Pesaran & Dek Terrell (ed.), Essays in Honor of Cheng Hsiao, volume 41, pages 105-141, Emerald Publishing Ltd.
- Hardik Marfatia, 2020. "Evaluating the forecasting power of foreign Country's income growth: a global analysis," Journal of Economic Studies, Emerald Group Publishing, vol. 47(5), pages 1071-1092, April.
- Rahul Roy & Santhakumar Shijin, 2020. "The nexus of asset pricing, volatility and the business cycle," Journal of Economic Studies, Emerald Group Publishing, vol. 48(1), pages 79-101, May.
- Zidong An & Joao Tovar Jalles, 2020.
"On the performance of US fiscal forecasts: government vs. private information,"
Journal of Economic Studies, Emerald Group Publishing, vol. 48(2), pages 367-391, June.
- Zidong An & João Tovar Jalles, 2020. "On the Performance of US Fiscal Forecasts: Government vs. Private Information," Working Papers REM 2020/0130, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Philip Hans Franses & Max Welz, 2020.
"Does More Expert Adjustment Associate with Less Accurate Professional Forecasts?,"
JRFM, MDPI, vol. 13(3), pages 1-8, March.
- Franses, Ph.H.B.F. & Welz, M., 2020. "Does More Expert Adjustment Associate with Less Accurate Professional Forecasts?," Econometric Institute Research Papers EI-1687, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Franses, Ph.H.B.F., 2020. "An introduction to time-varying lag autoregression," Econometric Institute Research Papers EI2020-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Raymundo M. Campos Vázquez & Sergio E. López-Araiza B., 2020. "Grandes datos, Google y desempleo/Big Data, Google and Unemployment," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 35(1), pages 125-151.
- Francisco Corona & Jesús López-Pérez, 2020. "Una evaluación econométrica de la retropolación de la actividad económica estatal de México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 35(2), pages 193-212.
- Oscar de J. Gálvez-Soriano, 2020. "Nowcasting Mexico's quarterly GDP using factor models and bridge equations," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 35(2), pages 213-265.
- Baris Yalin Uzunlu & Syed Muzammil Hussain, 2020. "Employing Machine Learning Algorithms to build Trading Strategies with higher than Risk-Free Returns," International Econometric Review (IER), Econometric Research Association, vol. 12(2), pages 112-138, September.
- My-Linh Thi Nguyen, 2020. "The Hedonic Pricing Model Applied to the Housing Market," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 416-428.
- Ioannis N. Kallianiotis & Karen Bianchi & Augustine C. Arize & John Malindretos & Ikechukwu Ndu, 2020. "Financial Assets, Expected Return and Risk, Speculation, Uncertainty, and Exchange Rate Determination," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 3-30.
- Mariusz Doszyn, 2020. "Accuracy of Intermittent Demand Forecasting Systems in the Enterprise," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 912-930.
- Bartlomiej H. Toszek, 2020. "Innovative Arrangements of Waste Management Environment Strategy: The Case of London," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 1024-1032.
- Mariusz Doszyn, 2020. "Biasedness of Forecasts Errors for Intermittent Demand Data," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 1113-1127.
- Anna Warchlewska & Krzysztof Waliszewski, 2020. "Who uses Robo-Advisors? The Polish Case," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 97-114.
- Tomasz Zawadzki & Tomasz Walecki & Halina Swieboda & Ryszard Szpyra & M.Kuczabski & P.Stobiecki, 2020. "Introduction to Methods of Modelling Information Wars as a 21st Century Threat," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 1011-1026.
- Katarzyna Witczynska, 2020. "The Impact of the Electronic Commerce Market in the Supply Chain during COVID-19 Pandemic in Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 648-658.
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- Andrés Berenguer & Luis Gandarias & Álvaro Arévalo, 2020. "Singular spectrum analysis for modelling the hard-to-model risk factors," Risk Management, Palgrave Macmillan, vol. 22(3), pages 178-191, September.
- Wittwer, Glyn & Anderson, Kym, 2020.
"A Model of Global Beverage Markets,"
Journal of Wine Economics, Cambridge University Press, vol. 15(3), pages 330-354, August.
- Anderson, Kym & Wittwer, Glyn, 2020. "A Model of Global Beverage Markets," CEPR Discussion Papers 14387, C.E.P.R. Discussion Papers.
- Glyn Wittwer & Kym Anderson, 2020. "A model of global beverage markets," Departmental Working Papers 2020-05, The Australian National University, Arndt-Corden Department of Economics.
- Glyn Wittwer & Kym Anderson, 2020. "A Model of Global Beverage Markets," Wine Economics Research Centre Working Papers 2019-05, University of Adelaide, Wine Economics Research Centre.
- Roberto S. Mariano & Suleyman Ozmucur, 2020. "Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)Abstract: We study how the separation of time and risk preferences ," PIER Working Paper Archive 20-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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"Robust Forecasting,"
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- Frank Schorfheide & Dongho Song, 2020.
"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
Working Papers
20-26, Federal Reserve Bank of Philadelphia.
- Schorfheide, Frank & Song, Dongo, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
- Tadeusz Kufel, 2020. "ARIMA-based forecasting of the dynamics of confirmed Covid-19 cases for selected European countries," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 15(2), pages 181-204, June.
- Michael Hanias & Stefanos Tsakonas & Lykourgos Magafas & Eleftherios I. Thalassinos & Loukas Zachilas, 2020. "Deterministic chaos and forecasting in Amazon’s share prices," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 15(2), pages 253-273, June.
- Erika Onuferova & Veronika Cabinova & Tunde Dzurov Vargova, 2020. "Analysis of modern methods for increasing and managing the financial prosperity of businesses in the context of performance: a case study of the tourism sector in Slovakia," Oeconomia Copernicana, Institute of Economic Research, vol. 11(1), pages 95-116, March.
- Angelo Gabrielle Santos, 2020. "Forecasting Residential electricity demand in the Philippines using an Error Correction Model," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 57(1), pages 121-151, June.
- Martins, Manuel M. F. & Verona, Fabio, 2020.
"Forecasting inflation with the New Keynesian Phillips curve : Frequency matters,"
Research Discussion Papers
4/2020, Bank of Finland.
- Manuel M. F. Martins & Fabio Verona, 2020. "Forecasting Inflation with the New Keynesian Phillips Curve: Frequency Matters," CEF.UP Working Papers 2001, Universidade do Porto, Faculdade de Economia do Porto.
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"Bayesian dynamic variable selection in high dimensions,"
Papers
1809.03031, arXiv.org, revised May 2020.
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- Gary Koop & Dimitris Korobilis, 2020. "Bayesian dynamic variable selection in high dimensions," Working Papers 2020_11, Business School - Economics, University of Glasgow.
- Weshah Razzak, 2020.
"The Dynamic of COVID-19 New Infections under Different Stringent Policies,"
EERI Research Paper Series
EERI RP 2020/07, Economics and Econometrics Research Institute (EERI), Brussels.
- Razzak, Weshah, 2020. "The Dynamic of COVID-19 New Infections under Different Stringent Policies," MPRA Paper 100451, University Library of Munich, Germany.
- Weshah Razzak, 2020. "The Dynamic of COVID-19 New Infections under Different Stringent Policies," Discussion Papers 2007, School of Economics and Finance, Massey University, New Zealand.
- González Laxe, Fernando & Da Rocha Alvarez, Jose Maria & Armesto Pina, José Francisco & Sanchez-Fernandez, Patricio & Lago-Peñas, Santiago, 2020. "Economía de Galicia tras el COVID-19: prospectiva de escenarios [Economy of Galicia after COVID-covid-19: prospective forecastings]," MPRA Paper 100483, University Library of Munich, Germany, revised May 2020.
- Degiannakis, Stavros & Filis, George, 2020. "Oil price assumptions for macroeconomic policy," MPRA Paper 100705, University Library of Munich, Germany.
- Juan R. Hernández, 2020.
"Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band,"
Working Papers
2020-02, Banco de México.
- Hernández, Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," MPRA Paper 100744, University Library of Munich, Germany.
- Mr. Manuk Ghazanchyan & Vibha Nanda & Alex Ho & Mr. Bas B. Bakker, 2020.
"The Lack of Convergence of Latin-America Compared with CESEE: Is Low Investment to Blame?,"
IMF Working Papers
2020/098, International Monetary Fund.
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- Ahumada, Hildegart & Espina, Santos & Navajas, Fernando H., 2020. "COVID-19 with uncertain phases: estimation issues with an illustration for Argentina," MPRA Paper 101466, University Library of Munich, Germany.
- Van, Germinal, 2020. "Property Rights and Economic Growth in Africa: An Econometric Analysis," MPRA Paper 101681, University Library of Munich, Germany.
- Glocker, Christian & Kaniovski, Serguei, 2020. "Structural modeling and forecasting using a cluster of dynamic factor models," MPRA Paper 101874, University Library of Munich, Germany.
- Sucarrat, Genaro, 2020. "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper 101953, University Library of Munich, Germany.
- Yang, Bill Huajian & Yang, Jenny & Yang, Haoji, 2020. "Modeling Portfolio Loss by Interval Distributions," MPRA Paper 102219, University Library of Munich, Germany.
- Fantazzini, Dean, 2020.
"Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
- Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," MPRA Paper 102315, University Library of Munich, Germany.
- Fantazzini, Dean, 2020. "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper 102317, University Library of Munich, Germany.
- Polterovich, Victor & Denisova, Irina & Shakleina, Marina & Bogatova, Irina & Vartanov, Sergey & Turdyeva, Natalya & Chubarova, Tatiana, 2020. "Социально-Экономические Детерминанты Болезни Паркинсона Для Развитых И Развивающихся Стран [Socioeconomic determinants of Parkinson's disease for developed and developing countries]," MPRA Paper 103126, University Library of Munich, Germany.
- Van, Germinal G., 2020. "Modeling and Forecasting Economic Growth in Sub-Saharan Africa in the Post-Covid Era," MPRA Paper 103153, University Library of Munich, Germany.
- Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
- Poblete-Cazenave, Miguel & Pachauri, Shonali, 2020. "A simulation-based estimation model of household electricity demand and appliance ownership," MPRA Paper 103403, University Library of Munich, Germany.
- Fokin, Nikita & Haritonova, Marina, 2020. "Сравнительный Анализ Прогнозных Моделей Российского Ввп В Условиях Наличия Структурных Сдвигов [Comparative analysis of the forecasting models for Russia’s GDP under the structural breaks]," MPRA Paper 103412, University Library of Munich, Germany.
- Dean Fantazzini & Nikita Kolodin, 2020.
"Does the Hashrate Affect the Bitcoin Price?,"
JRFM, MDPI, vol. 13(11), pages 1-29, October.
- Fantazzini, Dean & Kolodin, Nikita, 2020. "Does the hashrate affect the bitcoin price?," MPRA Paper 103812, University Library of Munich, Germany.
- Soh, Ann-Ni, 2020. "A Review on the Leading Indicator Approach towards Economic Forecasting," MPRA Paper 103854, University Library of Munich, Germany.
- Sinha, Pankaj & Verma, Aniket & Shah, Purav & Singh, Jahnavi & Panwar, Utkarsh, 2020. "Prediction for the 2020 United States Presidential Election using Linear Regression Model," MPRA Paper 103890, University Library of Munich, Germany, revised 20 Oct 2020.
- Cerqua, Augusto & Letta, Marco, 2020. "Local economies amidst the COVID-19 crisis in Italy: a tale of diverging trajectories," MPRA Paper 104404, University Library of Munich, Germany.
- Victor Olkhov, 2020.
"Business Cycles as Collective Risk Fluctuations,"
Papers
2012.04506, arXiv.org.
- Olkhov, Victor, 2020. "Business Cycles as Collective Risk Fluctuations," MPRA Paper 104598, University Library of Munich, Germany.
- Li, Chenxing & Maheu, John M, 2020. "A Multivariate GARCH-Jump Mixture Model," MPRA Paper 104770, University Library of Munich, Germany.
- Pincheira, Pablo & Hardy, Nicolas, 2020. "The Mean Squared Prediction Error Paradox: A summary," MPRA Paper 105020, University Library of Munich, Germany.
- Fajar, Muhammad & Prasetyo, Octavia Rizky & Nonalisa, Septiarida & Wahyudi, Wahyudi, 2020. "Forecasting unemployment rate in the time of COVID-19 pandemic using Google trends data (case of Indonesia)," MPRA Paper 105042, University Library of Munich, Germany, revised 30 Nov 2020.
- Pincheira, Pablo & Jarsun, Nabil, 2020. "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper 105056, University Library of Munich, Germany.
- Olalude, Gbenga Adelekan & Olayinka, Hammed Abiola & Ankeli, Uchechi Constance, 2020. "Modelling and forecasting inflation rate in Nigeria using ARIMA models," MPRA Paper 105342, University Library of Munich, Germany, revised Dec 2020.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2020. "On an integer-valued stochastic intensity model for time series of counts," MPRA Paper 105406, University Library of Munich, Germany.
- Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022.
"Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
- Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020. "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper 106150, University Library of Munich, Germany.
- Tinoco, Marcos, 2020. "Modelando la volatilidad del diferencial TED: Una evaluación de pronósticos de modelos con heterocedasticidad condicional [Modeling the volatility of the TED spread: An assessment of model forecast," MPRA Paper 108086, University Library of Munich, Germany.
- Maiorova, Ksenia & Fokin, Nikita, 2020. "Наукастинг Темпов Роста Стоимостных Объемов Экспорта И Импорта По Товарным Группам [Nowcasting the growth rates of the export and import by commodity groups]," MPRA Paper 109557, University Library of Munich, Germany.
- Nguyen, Phong Thanh, 2020. "Application Machine Learning in Construction Management," MPRA Paper 109899, University Library of Munich, Germany, revised 01 Aug 2021.
- Vîntu, Denis, 2020. "Relegating - The GDP Structural Modelling Strategy, The Dynamics in Time-Series Data: Short-Run Shocks, Disequilibrium Shocks and Innovative Shocks to Nuisance," MPRA Paper 112857, University Library of Munich, Germany, revised 30 Sep 2020.
- Mykola Babiak & Jozef Barunik, 2020.
"Deep Learning, Predictability, and Optimal Portfolio Returns,"
Papers
2009.03394, arXiv.org, revised Jul 2021.
- Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," CERGE-EI Working Papers wp677, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Markus Heinrich & Magnus Reif, 2020. "Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters," CESifo Working Paper Series 8054, CESifo.
- Alexandros Botsis & Christoph Görtz & Plutarchos Sakellaris, 2020. "Quantifying Qualitative Survey Data: New Insights on the (Ir)Rationality of Firms' Forecasts," CESifo Working Paper Series 8148, CESifo.
- Lahiri, Kajal & Zhao, Yongchen, 2020.
"The Nordhaus test with many zeros,"
Economics Letters, Elsevier, vol. 193(C).
- Kajal Lahiri & Yongchen Zhao, 2020. "The Nordhaus Test with Many Zeros," Working Papers 2020-05, Towson University, Department of Economics, revised Jun 2020.
- Kajal Lahiri & Yongchen Zhao, 2020. "The Nordhaus Test with Many Zeros," CESifo Working Paper Series 8350, CESifo.
- Benedikt Janzen & Doina Radulescu, 0.
"Electricity Use as a Real-Time Indicator of the Economic Burden of the COVID-19-Related Lockdown: Evidence from Switzerland,"
CESifo Economic Studies, CESifo, vol. 66(4), pages 303-321.
- Benedikt Janzen & Doina Radulescu, 2020. "Electricity Use as a Real Time Indicator of the Economic Burden of the COVID-19-Related Lockdown: Evidence from Switzerland," Diskussionsschriften dp2010, Universitaet Bern, Departement Volkswirtschaft.
- Benedikt Janzen & Doina Maria Radulescu, 2020. "Electricity Use as a Real Time Indicator of the Economic Burden of the Covid-19-Related Lockdown: Evidence from Switzerland," CESifo Working Paper Series 8363, CESifo.
- Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2020.
"Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks,"
Globalization Institute Working Papers
394, Federal Reserve Bank of Dallas, revised 17 Apr 2021.
- Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2020. "Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks," CESifo Working Paper Series 8475, CESifo.
- Constantin Bürgi & Nisan Gorgulu, 2020. "Social Distancing and the Economic Impact of Covid-19 in the United States," CESifo Working Paper Series 8577, CESifo.
- Ahmed, R. & Pesaran, M. H., 2020.
"Regional Heterogeneity and U.S. Presidential Elections,"
Cambridge Working Papers in Economics
2092, Faculty of Economics, University of Cambridge.
- Rashad Ahmed & M. Hashem Pesaran, 2020. "Regional Heterogeneity and U.S. Presidential Elections," CESifo Working Paper Series 8615, CESifo.
- Jon Ellingsen & Vegard H. Larsen & Leif Anders Thorsrud, 2020.
"News media vs. FRED-MD for macroeconomic forecasting,"
Working Paper
2020/14, Norges Bank.
- Jon Ellingsen & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "News Media vs. FRED-MD for Macroeconomic Forecasting," CESifo Working Paper Series 8639, CESifo.
- Jon Ellingsen & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "News media vs. FRED-MD for macroeconomic forecasting," Working Papers No 08/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020.
"Climate risk and commodity currencies,"
Working Paper
2020/18, Norges Bank.
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "Climate Risk and Commodity Currencies," CESifo Working Paper Series 8788, CESifo.
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "Climate Risk and Commodity Currencies," Working Papers No 10/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87, March.
- J-C Gerlach & Dongshuai Zhao, CFA & Didier Sornette, 2020. "Forecasting Financial Crashes: A Dynamic Risk Management Approach," Swiss Finance Institute Research Paper Series 20-103, Swiss Finance Institute.
- Roberto Molinari & Gaetan Bakalli & Stéphane Guerrier & Cesare Miglioli & Samuel Orso & O. Scaillet, 2020. "Swag: A Wrapper Method for Sparse Learning," Swiss Finance Institute Research Paper Series 20-49, Swiss Finance Institute.
- Rebecca Westphal & Didier Sornette, 2020. "How market intervention can prevent bubbles and crashes," Swiss Finance Institute Research Paper Series 20-74, Swiss Finance Institute.
- Marc-Aurèle Divernois, 2020. "A Deep Learning Approach to Estimate Forward Default Intensities," Swiss Finance Institute Research Paper Series 20-79, Swiss Finance Institute.
- J-C Gerlach & Jerome L Kreuser & Didier Sornette, 2020. "Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices," Swiss Finance Institute Research Paper Series 20-85, Swiss Finance Institute.
- Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2020.
"Forecasting the Covid-19 recession and recovery: lessons from the financial crisis,"
Working Paper Series
2468, European Central Bank.
- Claudia Foroni & Massimiliano Marcellino & Dalibor Stevanovic, 2020. "Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis," CIRANO Working Papers 2020s-32, CIRANO.
- Foroni, Claudia & Marcellino, Massimiliano & Stevanovic, Dalibor, 2020. "Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis," CEPR Discussion Papers 15114, C.E.P.R. Discussion Papers.
- Kevin Moran & Dalibor Stevanovic & Adam Kader Touré, 2022.
"Macroeconomic uncertainty and the COVID‐19 pandemic: Measure and impacts on the Canadian economy,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(S1), pages 379-405, February.
- Kevin Moran & Dalibor Stevanovic & Adam Abdel Kader Touré, 2020. "Macroeconomic Uncertainty and the COVID-19 Pandemic: Measure and Impacts on the Canadian Economy," CIRANO Working Papers 2020s-47, CIRANO.
- Milan Szabo, 2020. "Growth-at-Risk: Bayesian Approach," Working Papers 2020/3, Czech National Bank.
- Frantisek Brazdik & Tibor Hledik & Zuzana Humplova & Iva Martonosi & Karel Musil & Jakub Rysanek & Tomas Sestorad & Jaromir Tonner & Stanislav Tvrz & Jan Zacek, 2020. "The g3+ Model: An Upgrade of the Czech National Bank's Core Forecasting Framework," Working Papers 2020/7, Czech National Bank.
- Ramiro Losada & Ricardo Laborda, 2020. "Non-alternative collective investment schemes, connectedness and systemic risk," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2021.
"Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts,"
Energies, MDPI, vol. 14(11), pages 1-26, June.
- Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2020. "Modeling electricity price and quantity uncertainty: An application for hedging with forward contracts," Documentos de Trabajo CIEF 018186, Universidad EAFIT.
- Henry Caicedo-Asprilla *, 2020. "La producción del conocimiento de las regiones competitivas: una aproximación basada en modelos de variables latentes," Estudios Gerenciales, Universidad Icesi, vol. 36(155), pages 177-192, June.
- Paola Mariell Brens Ortega, 2020. "An Econometric Analysis of a Calibrated Macroeconomic Model for the Dominican Republic: A Closer Look into Monetary Policy," Documentos de Trabajo LACEA 018253, The Latin American and Caribbean Economic Association - LACEA.
- Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019.
"From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts,"
Economics Working Papers
1689, Department of Economics and Business, Universitat Pompeu Fabra.
- Ganics, Gergely & Rossi, Barbara & Sekhposyan, Tatevik, 2020. "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts," CEPR Discussion Papers 14267, C.E.P.R. Discussion Papers.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers 1947, Banco de España.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2020. "From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts," Working Papers 1142, Barcelona Graduate School of Economics.
- Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020.
"Financial variables as predictors of real growth vulnerability,"
Discussion Papers
05/2020, Deutsche Bundesbank.
- Hasenzagl, Thomas & Reichlin, Lucrezia & Ricco, Giovanni, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," CEPR Discussion Papers 14322, C.E.P.R. Discussion Papers.
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," Sciences Po publications 06/2020, Sciences Po.
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," Working Papers hal-03403077, HAL.
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," Documents de Travail de l'OFCE 2020-06, Observatoire Francais des Conjonctures Economiques (OFCE).
- Wittwer, Glyn & Anderson, Kym, 2020.
"A Model of Global Beverage Markets,"
Journal of Wine Economics, Cambridge University Press, vol. 15(3), pages 330-354, August.
- Glyn Wittwer & Kym Anderson, 2020. "A model of global beverage markets," Departmental Working Papers 2020-05, The Australian National University, Arndt-Corden Department of Economics.
- Anderson, Kym & Wittwer, Glyn, 2020. "A Model of Global Beverage Markets," CEPR Discussion Papers 14387, C.E.P.R. Discussion Papers.
- Glyn Wittwer & Kym Anderson, 2020. "A Model of Global Beverage Markets," Wine Economics Research Centre Working Papers 2019-05, University of Adelaide, Wine Economics Research Centre.
- Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2020. "Panel Forecasts of Country-Level Covid-19 Infectionsliu," CEPR Discussion Papers 14790, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Soumya Bhadury & Jay Surti, 2020.
"Financial Vulnerability and Risks to Growth in Emerging Markets,"
NBER Working Papers
27411, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Bhadury, Soumya & Surti, Jay, 2020. "Financial Vulnerability and Risks to Growth in Emerging Markets," CEPR Discussion Papers 14962, C.E.P.R. Discussion Papers.
- Hsu, Po-Hsuan & Taylor, Mark P & Wang, Zigan, 2020. "The Out-of-Sample Performance of Carry Trades," CEPR Discussion Papers 15052, C.E.P.R. Discussion Papers.
- Delle-Monache, Davide & De-Polis, Andrea & Petrella, Ivan, 2020.
"Modelling and Forecasting Macroeconomic Downside Risk,"
EMF Research Papers
34, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021. "Modeling and forecasting macroeconomic downside risk," Temi di discussione (Economic working papers) 1324, Bank of Italy, Economic Research and International Relations Area.
- De Polis, Andrea & Delle Monache, Davide & Petrella, Ivan, 2020. "Modeling and Forecasting Macroeconomic Downside Risk," CEPR Discussion Papers 15109, C.E.P.R. Discussion Papers.
- Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2020.
"Forecasting the Covid-19 recession and recovery: lessons from the financial crisis,"
Working Paper Series
2468, European Central Bank.
- Foroni, Claudia & Marcellino, Massimiliano & Stevanovic, Dalibor, 2020. "Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis," CEPR Discussion Papers 15114, C.E.P.R. Discussion Papers.
- Claudia Foroni & Massimiliano Marcellino & Dalibor Stevanovic, 2020. "Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis," CIRANO Working Papers 2020s-32, CIRANO.
- Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
2019
- Hylke Vandenbussche & William Connell & Wouter Simons, 2019. "Global Value Chains, Trade Shocks and Jobs: An Application to Brexit," CESifo Working Paper Series 7473, CESifo.
- Delli Gatti, Domenico & Grazzini, Jakob, 2020.
"Rising to the challenge: Bayesian estimation and forecasting techniques for macroeconomic Agent Based Models,"
Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 875-902.
- Domenico Delli Gatti & Jakob Grazzini, 2019. "Rising to the Challenge: Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models," CESifo Working Paper Series 7894, CESifo.
- Paul Schneider, 2019. "A Theory of Scenario Generation," Swiss Finance Institute Research Paper Series 19-17, Swiss Finance Institute.
- Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2019. "A Flexible Regime Switching Model for Asset Returns," Swiss Finance Institute Research Paper Series 19-27, Swiss Finance Institute, revised May 2019.
- Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
- Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2019. "A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs," Swiss Finance Institute Research Paper Series 19-51, Swiss Finance Institute.
- Dalibor Stevanovic & Stéphane Surprenant & Philippe Goulet Coulombe, 2019.
"How is Machine Learning Useful for Macroeconomic Forecasting?,"
CIRANO Working Papers
2019s-22, CIRANO.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & St'ephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Papers 2008.12477, arXiv.org.
- Mateo Dulce Rubio, 2019. "Predicting criminal behavior with Lévy flights using real data from Bogotá," Documentos CEDE 017198, Universidad de los Andes - CEDE.
- Trespalacios, Alfredo & Cortés, Lina M. & Perote, Javier, 2020.
"Uncertainty in electricity markets from a semi-nonparametric approach,"
Energy Policy, Elsevier, vol. 137(C).
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- Luis Sánchez & Karina Caballero, 2019. "La curva de Kuznets ambiental y su relación con el cambio climático en América Latina y el Caribe: un análisis de cointegración con panel, 1980-2015," Revista de EconomÃa del Rosario, Universidad del Rosario, vol. 22(1), pages 101-142, June.
- Juan Pablo Alfonso Zorro, 2019. "Efectos de las variaciones del IPC en las decisiones financieras," Econógrafos - Escuela de EconomÃa 017329, Universidad Nacional de Colombia -FCE - CID.
- Pérez García, Jorge Iván & Lopera Castaño, Mauricio & Vásquez Bedoya, Fredy Alonso, 2019. "Una breve aplicación a la predicción de la fragilidad de empresas colombianas, mediante el uso de modelos estadísticos," Borradores Departamento de EconomÃa 017525, Universidad de Antioquia - CIE.
- José Manuel Leguizamón Tiusabá & José Manuel Leguizamón Tiusabá, 2019. "Estímulos tributarios y hotelería en Colombia," Revista EconomÃa y Región, Universidad Tecnológica de Bolívar, vol. 13(1), pages 177-198, June.
- Mateo Dulce Rubio, 2019. "Predicting criminal behavior with Levy flights using real data from Bogota," Documentos de Trabajo Quantil 017347, Quantil.
- Bekaert, Geert & Panayotov, George, 2020.
"Good Carry, Bad Carry,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(4), pages 1063-1094, June.
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"Currency Factors,"
NBER Working Papers
25449, National Bureau of Economic Research, Inc.
- Aloosh, Arash & Bekaert, Geert, 2019. "Currency Factors," CEPR Discussion Papers 13464, C.E.P.R. Discussion Papers.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018.
"The global component of inflation volatility,"
Temi di discussione (Economic working papers)
1170, Bank of Italy, Economic Research and International Relations Area.
- Carriero, Andrea & Corsello, Francesco & Marcellino, Massimiliano, 2019. "The Global Component of Inflation Volatility," CEPR Discussion Papers 13470, C.E.P.R. Discussion Papers.
- Hannes Mueller & Christopher Rauh, 2019.
"The hard problem of prediction for conflict prevention,"
Cahiers de recherche
2019-02, Universite de Montreal, Departement de sciences economiques.
- Mueller, Hannes Felix & Rauh, Christopher, 2019. "The Hard Problem of Prediction for Conflict Prevention," CEPR Discussion Papers 13748, C.E.P.R. Discussion Papers.
- Hannes Mueller & Christopher Rauh, 2021. "The Hard Problem of Prediction for Conflict Prevention," Working Papers 1244, Barcelona Graduate School of Economics.
- Mueller, H. & Rauh, C., 2021. "The Hard Problem of Prediction for Conflict Prevention," Cambridge Working Papers in Economics 2103, Faculty of Economics, University of Cambridge.
- Mueller, H. & Rauh, C., 2020. "The Hard Problem of Prediction for Conflict Prevention," Cambridge Working Papers in Economics 2015, Faculty of Economics, University of Cambridge.
- Hannes Mueller & Christopher Rauh, 2019. "The Hard Problem of Prediction for Conflict Prevention," Cahiers de recherche 02-2019, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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"The Promise and Pitfalls of Conflict Prediction: Evidence from Colombia and Indonesia,"
Boston University - Department of Economics - The Institute for Economic Development Working Papers Series
dp-328, Boston University - Department of Economics.
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- Michael Brei & Claudio Borio & Leonardo Gambacorta, 2020.
"Bank intermediation activity in a low‐interest‐rate environment,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
- Michael Brei & Claudio Borio, 2019. "Bank intermediation activity in a low interest rate environment," BIS Working Papers 807, Bank for International Settlements.
- Borio, Claudio & Brei, Michael & Gambacorta, Leonardo, 2019. "Bank intermediation activity in a low interest rate environment," CEPR Discussion Papers 13980, C.E.P.R. Discussion Papers.
- Michael Brei & Claudio Borio & Leonardo Gambacorta, 2020. "Bank intermediation activity in a low‐interest‐rate environment," Post-Print hal-02985986, HAL.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021.
"Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," EMF Research Papers 29, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Temi di discussione (Economic working papers) 1296, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
- Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.
- Bunjira Makond & Mayuening Eso, 2019. "Predictive Models for Classifying the Outcomes of Violence Case Study for Thailand’s Deep South," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(3), pages 56-92, September.
- Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
- Søren Kjærgaard & Yunus Emre Ergemen & Malene Kallestrup-Lamb & Jim Oeppen & Rune Lindahl-Jacobsen, 2019. "Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths," CREATES Research Papers 2019-07, Department of Economics and Business Economics, Aarhus University.
- Søren Kjærgaard & Yunus Emre Ergemen & Marie-Pier Bergeron Boucher & Jim Oeppen & Malene Kallestrup-Lamb, 2019. "Longevity forecasting by socio-economic groups using compositional data analysis," CREATES Research Papers 2019-08, Department of Economics and Business Economics, Aarhus University.
- Daniel Borup & Erik Christian Montes Schütte, 2019. "In search of a job: Forecasting employment growth using Google Trends," CREATES Research Papers 2019-13, Department of Economics and Business Economics, Aarhus University.
- Kristoffer Pons Bertelsen, 2019. "Comparing Tests for Identification of Bubbles," CREATES Research Papers 2019-16, Department of Economics and Business Economics, Aarhus University.
- Malene Kallestrup-Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2019. "Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups," CREATES Research Papers 2019-20, Department of Economics and Business Economics, Aarhus University.
- Bennedsen, Mikkel & Hillebrand, Eric & Koopman, Siem Jan, 2021.
"Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors,"
Energy Economics, Elsevier, vol. 96(C).
- Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2019. "Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors," CREATES Research Papers 2019-21, Department of Economics and Business Economics, Aarhus University.
- Asongu, Simplice & Nnanna, Joseph, 2019.
"Foreign aid, instability and governance in Africa,"
MPRA Paper
101087, University Library of Munich, Germany.
- Simplice A. Asongu & Joseph Nnanna, 2019. "Foreign aid, instability and governance in Africa," Research Africa Network Working Papers 19/022, Research Africa Network (RAN).
- Simplice A. Asongu & Nicholas M. Odhiambo, 2019. "Foreign aid, instability and governance in Africa," Working Papers 19/022, European Xtramile Centre of African Studies (EXCAS).
- Simplice A. Asongu & Joseph Nnanna, 2019. "Foreign aid, instability and governance in Africa," Working Papers of the African Governance and Development Institute. 19/022, African Governance and Development Institute..
- Simplice A. Asongu & Joseph Nnanna, 2019. "Foreign aid, instability and governance in Africa," CEREDEC Working Papers 19/022, Centre de Recherche pour le Développement Economique (CEREDEC).
- Kim, Hyeongwoo & Ko, Kyunghwan, 2020.
"Improving forecast accuracy of financial vulnerability: PLS factor model approach,"
Economic Modelling, Elsevier, vol. 88(C), pages 341-355.
- Hyeongwoo Kim & Kyunghwan Ko, 2017. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2017-03, Department of Economics, Auburn University.
- Hyeongwoo Kim & Kyunghwan Ko, 2019. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2019-03, Department of Economics, Auburn University.
- Kim, Hyeongwoo & Ko, Kyunghwan, 2018. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," MPRA Paper 89449, University Library of Munich, Germany.
- Sarthak Behera & Hyeongwoo Kim, 2019. "Forecasting Dollar Real Exchange Rates and the Role of Real Activity Factors," Auburn Economics Working Paper Series auwp2019-04, Department of Economics, Auburn University.
- Simplice A. Asongu & Joseph Nnanna, 2019.
"Foreign aid, instability and governance in Africa,"
Working Papers of the African Governance and Development Institute.
19/022, African Governance and Development Institute..
- Simplice A. Asongu & Joseph Nnanna, 2019. "Foreign aid, instability and governance in Africa," CEREDEC Working Papers 19/022, Centre de Recherche pour le Développement Economique (CEREDEC).
- Simplice A. Asongu & Nicholas M. Odhiambo, 2019. "Foreign aid, instability and governance in Africa," Working Papers 19/022, European Xtramile Centre of African Studies (EXCAS).
- Asongu, Simplice & Nnanna, Joseph, 2019. "Foreign aid, instability and governance in Africa," MPRA Paper 101087, University Library of Munich, Germany.
- Simplice A. Asongu & Joseph Nnanna, 2019. "Foreign aid, instability and governance in Africa," Research Africa Network Working Papers 19/022, Research Africa Network (RAN).
- T. Bazhenov & D. Fantazzini, 2019.
"Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility,"
Russian Journal of Industrial Economics, MISiS.
- Bazhenov, Timofey & Fantazzini, Dean, 2019. "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," MPRA Paper 93544, University Library of Munich, Germany.
- Ali Babikir & Mohammed Elamin Hassan & Henry Mwambi, 2019. "Asymmetry, Fat-tail and Autoregressive Conditional Density in Daily Stocks Return Data," Annals of Economics and Statistics, GENES, issue 135, pages 57-68.
- Lukas Kremens & Ian Martin, 2019.
"The Quanto Theory of Exchange Rates,"
American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.
- Kremens, Lukas & Martin, Ian, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
- Kremens, Lukas & Martin, Ian, 2019. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019.
"Vulnerable Growth,"
American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2016. "Vulnerable growth," Staff Reports 794, Federal Reserve Bank of New York.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2018. "Vulnerable Growth," Liberty Street Economics 20180409, Federal Reserve Bank of New York.
- Nina Boyarchenko & Domenico Giannone & Tobias Adrian, 2017. "Vulnerable Growth," 2017 Meeting Papers 1317, Society for Economic Dynamics.
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- Daniel J. Wilson, 2019.
"Clearing the Fog: The Predictive Power of Weather for Employment Reports and Their Asset Price Responses,"
American Economic Review: Insights, American Economic Association, vol. 1(3), pages 373-388, December.
- Daniel J. Wilson, 2017. "Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses," Working Paper Series 2017-13, Federal Reserve Bank of San Francisco.
- Patrick Bajari & Victor Chernozhukov & Ali Hortaçsu & Junichi Suzuki, 2019.
"The Impact of Big Data on Firm Performance: An Empirical Investigation,"
AEA Papers and Proceedings, American Economic Association, vol. 109, pages 33-37, May.
- Patrick Bajari & Victor Chernozhukov & Ali Hortaçsu & Junichi Suzuki, 2018. "The Impact of Big Data on Firm Performance: An Empirical Investigation," NBER Working Papers 24334, National Bureau of Economic Research, Inc.
- Cristiana Chiriac & Laura Daniela Roșca, 2019. "Automotive Industry Video-Commercials – A Pluralistic Research Based on an Eye-Tracking Experiment," Journal of Emerging Trends in Marketing and Management, The Bucharest University of Economic Studies, vol. 1(1), pages 327-336, November.
- Simplice A. Asongu & Joseph Nnanna, 2019.
"Foreign aid, instability and governance in Africa,"
Research Africa Network Working Papers
19/022, Research Africa Network (RAN).
- Simplice A. Asongu & Joseph Nnanna, 2019. "Foreign aid, instability and governance in Africa," Working Papers of the African Governance and Development Institute. 19/022, African Governance and Development Institute..
- Simplice A. Asongu & Nicholas M. Odhiambo, 2019. "Foreign aid, instability and governance in Africa," Working Papers 19/022, European Xtramile Centre of African Studies (EXCAS).
- Simplice A. Asongu & Joseph Nnanna, 2019. "Foreign aid, instability and governance in Africa," CEREDEC Working Papers 19/022, Centre de Recherche pour le Développement Economique (CEREDEC).
- Asongu, Simplice & Nnanna, Joseph, 2019. "Foreign aid, instability and governance in Africa," MPRA Paper 101087, University Library of Munich, Germany.
- Tomasz Serafin & Bartosz Uniejewski & Rafał Weron, 2019.
"Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting,"
Energies, MDPI, vol. 12(13), pages 1-12, July.
- Tomasz Serafin & Bartosz Uniejewski & Rafal Weron, 2019. "Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting," WORking papers in Management Science (WORMS) WORMS/19/08, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, revised 06 Jul 2019.
- Bunjira Makond & Mayuening Eso, 2019. "Predictive Models for Classifying the Outcomes of Violence Case Study for Thailand’s Deep South," International Association of Decision Sciences, Asia University, Taiwan, vol. 23(3), pages 56-92, September.
- Nuno Goncalves & Domingos Seward, 2019. "Forecasting unemployment in Portugal: A labour market flows approach," CFP Working Papers 01/2019, Portuguese Public Finance Council.
- Chermat Tahar & Bouaichaoui Youcef, 2019. "A Predictive Study of Electricity Consumption Fluctuations Using the Autoregressive-Moving-Average Models: Wilaya of Medea as a Case Study (2011-2017)," Management & Economics Research Journal, Faculty of Economics, Commercial and Management Sciences, Ziane Achour University of Djelfa, vol. 1(1), pages 190-211, March.
- Anindya Banerjee & Victor Bystrov & Paul Mizen, 2017.
"Structural Factor Analysis of Interest Rate Pass Through In Four Large Euro Area Economies,"
Working Papers in Economics
17/07, University of Canterbury, Department of Economics and Finance.
- Anindya Banerjee & Victor Bystrov & Paul Mizen, 2019. "Structural Factor Analysis of Interest Rate Pass Through in Four Large Euro Area Economies," Lodz Economics Working Papers 1/2019, University of Lodz, Faculty of Economics and Sociology.
- Жузбаев А.М. // Zhuzbayev A.M. & Орлов К.В. // Orlov K.V., 2019. "Использование квартальной прогностической модели и сателлитных моделей в системе анализа и прогнозирования НБ РК // Use of the quarterly predictive model and satellite models in the analysis and forec," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue special, pages 3-14.
- Орлов Константин // Orlov Konstantin, 2019. "Оценка и анализ эффективности применения динамической факторной модели для оценивания и прогнозирования ВВП на примере Казахстан // Evaluation and analysis of the effectiveness of the use of a dynamic," Working Papers #2019-4, National Bank of Kazakhstan.
- Achim Ahrens & Christian B. Hansen & Mark E. Schaffer, 2020.
"lassopack: Model selection and prediction with regularized regression in Stata,"
Stata Journal, StataCorp LP, vol. 20(1), pages 176-235, March.
- Ahrens, Achim & Hansen, Christian B. & Schaffer, Mark E, 2019. "lassopack: Model Selection and Prediction with Regularized Regression in Stata," IZA Discussion Papers 12081, Institute of Labor Economics (IZA).
- Achim Ahrens & Christian B. Hansen & Mark E. Schaffer, 2019. "lassopack: Model selection and prediction with regularized regression in Stata," Papers 1901.05397, arXiv.org.
- Mogliani, Matteo & Simoni, Anna, 2021.
"Bayesian MIDAS penalized regressions: Estimation, selection, and prediction,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
- Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
- Matteo Mogliani & Anna Simoni, 2020. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Post-Print hal-03089878, HAL.
- Matteo Mogliani & Anna Simoni, 2019. "Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction," Papers 1903.08025, arXiv.org, revised Jun 2020.
- Ali Habibnia & Esfandiar Maasoumi, 2021.
"Forecasting in Big Data Environments: An Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet),"
Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 363-381, December.
- Ali Habibnia & Esfandiar Maasoumi, 2019. "Forecasting in Big Data Environments: an Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet)," Papers 1904.11145, arXiv.org.
- Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt, 2019.
"Testing Forecast Rationality for Measures of Central Tendency,"
Papers
1910.12545, arXiv.org, revised Jun 2021.
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- Hu, Junjie & Kuo, Weiyu & Härdle, Wolfgang Karl, 2019.
"Risk of Bitcoin Market: Volatility, Jumps, and Forecasts,"
IRTG 1792 Discussion Papers
2019-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Junjie Hu & Wolfgang Karl Hardle & Weiyu Kuo, 2019. "Risk of Bitcoin Market: Volatility, Jumps, and Forecasts," Papers 1912.05228, arXiv.org, revised Dec 2021.
- Francis X. Diebold & Glenn D. Rudebusch, 2019.
"Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections,"
PIER Working Paper Archive
20-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Glenn D. Rudebusch, 2019. "Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections," Papers 1912.10774, arXiv.org, revised Jul 2021.
- Francis X. Diebold & Glenn D. Rudebusch, 2020. "Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections," Working Paper Series 2020-02, Federal Reserve Bank of San Francisco.
- Francis X. Diebold & Glenn D. Rudebusch, 2020. "Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections," NBER Working Papers 28228, National Bureau of Economic Research, Inc.
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021.
"Focused Bayesian prediction,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019. "Focused Bayesian Prediction," Papers 1912.12571, arXiv.org, revised Aug 2020.
- Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020. "Focused Bayesian Prediction," Monash Econometrics and Business Statistics Working Papers 1/20, Monash University, Department of Econometrics and Business Statistics.
- Minjae Park & Mi Lim Lee & Jinpyo Lee, 2019. "Predicting Stock Market Indices Using Classification Tools," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(2), pages 243-256, February.
- Roland Fuess & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns," BAFFI CAREFIN Working Papers 19116, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Ekaterina Tzvetanova, 2019. "Adaptation of the Altman’s Corporate Insolvency Prediction Model – The Bulgarian Case," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 125-142.
- Tobias Hartl & Roland Weigand, 2018.
"Multivariate Fractional Components Analysis,"
Papers
1812.09149, arXiv.org, revised Jan 2019.
- Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
- Dany Brouillette & Marie-Noëlle Robitaille & Laurence Savoie-Chabot & Pierre St-Amant & Bassirou Gueye & Elise Martin, 2019. "The Trend Unemployment Rate in Canada: Searching for the Unobservable," Staff Working Papers 19-13, Bank of Canada.
- Gergely Ganics & Eva Ortega, 2019. "Las previsiones macroeconómicas del Banco de España a la luz de un modelo econométrico," Boletín Económico, Banco de España, issue SEP, pages 1-9.
- Gergely Ganics & Eva Ortega, 2019. "Banco de España macroeconomic projections: comparison with an econometric model," Economic Bulletin, Banco de España, issue SEP, pages 1-9.
- Luis Julián Álvarez, 2019. "El índice de precios de consumo: usos y posibles vías de mejora," Occasional Papers 1910, Banco de España.
- Mar Delgado-Téllez & Enrique Moral-Benito & Javier J. Pérez, 2019. "Outsourcing and public expenditure: an aggregate perspective with regional data," Working Papers 1939, Banco de España.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019.
"From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts,"
Economics Working Papers
1689, Department of Economics and Business, Universitat Pompeu Fabra.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers 1947, Banco de España.
- Ganics, Gergely & Rossi, Barbara & Sekhposyan, Tatevik, 2020. "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts," CEPR Discussion Papers 14267, C.E.P.R. Discussion Papers.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2020. "From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts," Working Papers 1142, Barcelona Graduate School of Economics.
- Ganics, Gergely & Odendahl, Florens, 2021.
"Bayesian VAR forecasts, survey information, and structural change in the euro area,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 971-999.
- Gergely Ganics & Florens Odendahl, 2019. "Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area," Working papers 733, Banque de France.
- Gergely Ganics & Florens Odendahl, 2019. "Bayesian VAR forecasts, survey information and structural change in the euro area," Working Papers 1948, Banco de España.
- Franecsca Carta, 2019. "Timely indicators for labour income inequality," Questioni di Economia e Finanza (Occasional Papers) 503, Bank of Italy, Economic Research and International Relations Area.
- Angela Capolongo & Claudia Pacella, 2019. "Forecasting inflation in the euro area: countries matter!," Temi di discussione (Economic working papers) 1224, Bank of Italy, Economic Research and International Relations Area.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021.
"Domestic and Global Determinants of Inflation: Evidence from Expectile Regression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
- Fabio Busetti & Michele Caivano & Davide Delle Monache, 2019. "Domestic and global determinants of inflation: evidence from expectile regression," Temi di discussione (Economic working papers) 1225, Bank of Italy, Economic Research and International Relations Area.
- Valentina Aprigliano & Danilo Liberati, 2021.
"Using Credit Variables to Date Business Cycle and to Estimate the Probabilities of Recession in Real Time,"
Manchester School, University of Manchester, vol. 89(S1), pages 76-96, September.
- Valentina Aprigliano & Danilo Liberati, 2019. "Using credit variables to date business cycle and to estimate the probabilities of recession in real time," Temi di discussione (Economic working papers) 1229, Bank of Italy, Economic Research and International Relations Area.
- Laurent Ferrara & Anna Simoni, 2019.
"When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage,"
Working papers
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- Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working Papers 2019-04, Center for Research in Economics and Statistics.
- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Papers 2007.00273, arXiv.org, revised Jun 2021.
- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," EconomiX Working Papers 2020-11, University of Paris Nanterre, EconomiX.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018.
"Prediction Regions for Interval-valued Time Series,"
Working Papers
201817, University of California at Riverside, Department of Economics.
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"Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles,"
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"Poisson-model Analysis of Power Alternation in Africa,"
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"Statistical and economic evaluation of time series models for forecasting arrivals at call centers,"
Empirical Economics, Springer, vol. 57(3), pages 923-955, September.
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"Critical slowing down as an early warning signal for financial crises?,"
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"Forecasting the unemployment rate using the degree of agreement in consumer unemployment expectations,"
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"Application of Neural Networks to Short Time Series Composite Indexes: Evidence from the Nonlinear Autoregressive with Exogenous Inputs (NARX) Model,"
Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 433-446, June.
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"Forecasting the capacity of mobile networks,"
Telecommunication Systems: Modelling, Analysis, Design and Management, Springer, vol. 72(2), pages 231-242, October.
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"Economic mobility along the business cycle. The case of Peru,"
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"Is there a role for uncertainty in forecasting output growth in OECD countries? Evidence from a time-varying parameter-panel vector autoregressive model,"
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"R2 Bounds for Predictive Models: What Univariate Properties Tell us About Multivariate Predictability,"
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"Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics,"
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"Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities,"
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"lassopack: Model selection and prediction with regularized regression in Stata,"
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"On the Relationship Between GHGs and Global Temperature Anomalies: Multi-level Rolling Analysis and Copula Calibration,"
Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 72(1), pages 109-133, January.
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- Boriss Siliverstovs, 2020.
"Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts,"
Empirical Economics, Springer, vol. 58(1), pages 7-27, January.
- Boriss Siliverstovs, 2019. "Assessing Nowcast Accuracy of US GDP Growth in Real Time: The Role of Booms and Busts," Working Papers 2019/01, Latvijas Banka.
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"Reference forecasts for CO2 emissions from fossil-fuel combustion and cement production in Portugal,"
Energy Policy, Elsevier, vol. 144(C).
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- Sándor Karajz, 2019. "Multi-Agent-Based Macroeconomic Modelling," Theory Methodology Practice (TMP), Faculty of Economics, University of Miskolc, vol. 15(01), pages 19-24.
- Francisco Lasso-Valderrama & Héctor M. Zárate-Solano, 2019. "Forecasting the Colombian Unemployment Rate Using Labour Force Flows," Borradores de Economia 1073, Banco de la Republica de Colombia.
- María Fernanda Meneses-González & Javier Eliecer Pirateque-Niño & Santiago David Segovia-Baquero, 2019. "Indicadores de alerta temprana para el sector corporativo privado colombiano," Borradores de Economia 1084, Banco de la Republica de Colombia.
- León, Carlos, 2020.
"Detecting anomalous payments networks: A dimensionality-reduction approach,"
Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
- Carlos León, 2019. "Detecting anomalous payments networks: A dimensionality reduction approach," Borradores de Economia 1098, Banco de la Republica de Colombia.
- Mogliani, Matteo & Simoni, Anna, 2021.
"Bayesian MIDAS penalized regressions: Estimation, selection, and prediction,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
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- Matteo Mogliani & Anna Simoni, 2020. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Post-Print hal-03089878, HAL.
- Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
- Laurent Ferrara & Anna Simoni, 2019.
"When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage,"
Working Papers
2019-04, Center for Research in Economics and Statistics.
- Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working papers 717, Banque de France.
- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Papers 2007.00273, arXiv.org, revised Jun 2021.
- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," EconomiX Working Papers 2020-11, University of Paris Nanterre, EconomiX.
- Ganics, Gergely & Odendahl, Florens, 2021.
"Bayesian VAR forecasts, survey information, and structural change in the euro area,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 971-999.
- Gergely Ganics & Florens Odendahl, 2019. "Bayesian VAR forecasts, survey information and structural change in the euro area," Working Papers 1948, Banco de España.
- Gergely Ganics & Florens Odendahl, 2019. "Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area," Working papers 733, Banque de France.
- Yiru Wang & Barbara Rossi, 2019.
"VAR-based Granger-causality test in the presence of instabilities,"
Economics Working Papers
1642, Department of Economics and Business, Universitat Pompeu Fabra.
- Barbara Rossi & Yiru Wang, 2019. "VAR-Based Granger-Causality Test in the Presence of Instabilities," Working Papers 1083, Barcelona Graduate School of Economics.
- Richardson, Adam & van Florenstein Mulder, Thomas & Vehbi, Tuğrul, 2021.
"Nowcasting GDP using machine-learning algorithms: A real-time assessment,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 941-948.
- Adam Richardson & Thomas van Florenstein Mulder & Tugrul Vehbi, 2019. "Nowcasting New Zealand GDP using machine learning algorithms," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50, Bank for International Settlements.
- Adam Richardson & Thomas van Florenstein Mulder & Tugrul Vehbi, 2018. "Nowcasting New Zealand GDP using machine learning algorithms," CAMA Working Papers 2018-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- María Gil & Javier J. Pérez & Alberto Urtasun, 2019.
"Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data,"
IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50,
Bank for International Settlements.
- María Gil & Javier J. Pérez & A. Jesús Sánchez & Alberto Urtasun, 2018. "Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data," Working Papers 1842, Banco de España.
- Burcu Erik & Marco Jacopo Lombardi & Dubravko Mihaljek & Hyun Song Shin, 2019. "Financial conditions and purchasing managers' indices: exploring the links," BIS Quarterly Review, Bank for International Settlements, September.
- Michael Brei & Claudio Borio & Leonardo Gambacorta, 2020.
"Bank intermediation activity in a low‐interest‐rate environment,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
- Borio, Claudio & Brei, Michael & Gambacorta, Leonardo, 2019. "Bank intermediation activity in a low interest rate environment," CEPR Discussion Papers 13980, C.E.P.R. Discussion Papers.
- Michael Brei & Claudio Borio, 2019. "Bank intermediation activity in a low interest rate environment," BIS Working Papers 807, Bank for International Settlements.
- Michael Brei & Claudio Borio & Leonardo Gambacorta, 2020. "Bank intermediation activity in a low‐interest‐rate environment," Post-Print hal-02985986, HAL.
- Heiner Mikosch & Laura Solanko, 2019. "Forecasting Quarterly Russian GDP Growth with Mixed-Frequency Data," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 19-35, March.
- Konstantin Styrin, 2019. "Forecasting Inflation in Russia Using Dynamic Model Averaging," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 3-18, March.
- Nikita Fokin & Andrey Polbin, 2019. "Forecasting Russia's Key Macroeconomic Indicators with the VAR-LASSO Model," Russian Journal of Money and Finance, Bank of Russia, vol. 78(2), pages 67-93, June.
- Denis Shibitov & Mariam Mamedli, 2019. "The finer points of model comparison in machine learning: forecasting based on russian banks’ data," Bank of Russia Working Paper Series wps43, Bank of Russia.
- Sergei Seleznev, 2019. "Truncated priors for tempered hierarchical Dirichlet process vector autoregression," Bank of Russia Working Paper Series wps47, Bank of Russia.
- Ramis Khabibullin, 2019. "What measures of real economic activity slack are helpful for forecasting Russian inflation?," Bank of Russia Working Paper Series wps50, Bank of Russia.
- Heinisch Katja & Scheufele Rolf, 2019.
"Should Forecasters Use Real-Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence,"
German Economic Review, De Gruyter, vol. 20(4), pages 170-200, December.
- Katja Heinisch & Rolf Scheufele, 2019. "Should Forecasters Use Real‐Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 170-200, November.
- Heinisch, Katja & Scheufele, Rolf, 2017. "Should forecasters use real-time data to evaluate leading indicator models for GDP prediction? German evidence," IWH Discussion Papers 5/2017, Halle Institute for Economic Research (IWH).
- Dario Sansone, 2019.
"Beyond Early Warning Indicators: High School Dropout and Machine Learning,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(2), pages 456-485, April.
- Dario Sansone, 2017. "Beyond Early Warning Indicators: High School Dropout and Machine Learning," Working Papers gueconwpa~17-17-09, Georgetown University, Department of Economics.
- André K. Anundsen, 2019.
"Detecting Imbalances in House Prices: What Goes Up Must Come Down?,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1587-1619, October.
- André K. Anundsen, 2016. "Detecting imbalances in house prices: What goes up must come down?," Working Paper 2016/11, Norges Bank.
- Stavros Degiannakis & George Filis, 2019.
"Forecasting European economic policy uncertainty,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 94-114, February.
- Stavros Degiannakis & George Filis, 2018. "Forecasting European Economic Policy Uncertainty," BAFES Working Papers BAFES15, Department of Accounting, Finance & Economic, Bournemouth University.
- Degiannakis, Stavros & Filis, George, 2019. "Forecasting European Economic Policy Uncertainty," MPRA Paper 96268, University Library of Munich, Germany.
- Laurent Ferrara & Clément Marsilli, 2019.
"Nowcasting global economic growth: A factor‐augmented mixed‐frequency approach,"
The World Economy, Wiley Blackwell, vol. 42(3), pages 846-875, March.
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- Laurent Ferrara & Clément Marsilli, 2019. "Nowcasting global economic growth: A factor-augmented mixed-frequency approach," Post-Print hal-01636761, HAL.
- JACKSON Emerson Abraham & TAMUKE Edmund & JABBIE Mohamed, 2019.
"Disaggregated Short-Term Inflation Forecast (Stif) For Monetary Policy Decision In Sierra Leone,"
Revista Economica,
Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 71(3), pages 31-53, November.
- Jackson, Emerson Abraham & Tamuke, Edmund & Jabbie, Mohamed, 2019. "Disaggregated Short-Term Inflation Forecast (STIF) for Monetary Policy Decision in Sierra Leone," MPRA Paper 96735, University Library of Munich, Germany, revised 26 Nov 2019.
- Juan Carlos Carlo Santos, 2019. "Pronósticos del PIB mediante modelos de factores dinámicos," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 30(1), pages 125-174, January -.
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"Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(531), pages 1092-1110, July.
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- Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Paper 2019/2, Norges Bank.
- Larsen, Vegard H. & Thorsrud, Leif Anders & Zhulanova, Julia, 2021.
"News-driven inflation expectations and information rigidities,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 507-520.
- Vegard H. Larsen & Leif Anders Thorsrud & Julia Zhulanova, 2019. "News-driven inflation expectations and information rigidities," Working Papers No 03/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Vegard H. Larsen & Leif Anders Thorsrud & Julia Zhulanova, 2019. "News-driven inflation expectations and information rigidities," Working Paper 2019/5, Norges Bank.
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"Partially censored posterior for robust and efficient risk evaluation,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 335-355.
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- Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk, 2019. "Partially Censored Posterior for robust and efficient risk evaluation," Working Paper 2019/12, Norges Bank.
- Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2020.
"Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(531), pages 1092-1110, July.
- Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Paper 2019/2, Norges Bank.
- Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Papers No 01/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Larsen, Vegard H. & Thorsrud, Leif Anders & Zhulanova, Julia, 2021.
"News-driven inflation expectations and information rigidities,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 507-520.
- Vegard H. Larsen & Leif Anders Thorsrud & Julia Zhulanova, 2019. "News-driven inflation expectations and information rigidities," Working Paper 2019/5, Norges Bank.
- Vegard H. Larsen & Leif Anders Thorsrud & Julia Zhulanova, 2019. "News-driven inflation expectations and information rigidities," Working Papers No 03/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Suss, Joel & Treitel, Henry, 2019. "Predicting bank distress in the UK with machine learning," Bank of England working papers 831, Bank of England.
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- Benchimol, Jonathan & Bounader, Lahcen, 2018.
"Optimal monetary policy under bounded rationality,"
Research Discussion Papers
9/2018, Bank of Finland.
- Jonathan Benchimol & Lahcen Bounader, 2019. "Optimal Monetary Policy under Bounded Rationality," Bank of Israel Working Papers 2019.07, Bank of Israel.
- Benchimol, Jonathan & Bounader, Lahcen, 2021. "Optimal Monetary Policy Under Bounded Rationality," Dynare Working Papers 67, CEPREMAP.
- Jonathan Benchimol & Lahcen Bounader, 2018. "Optimal Monetary Policy Under Bounded Rationality," Globalization Institute Working Papers 336, Federal Reserve Bank of Dallas.
- Jonathan Benchimol & Lahcen Bounader, 2019. "Optimal Monetary Policy Under Bounded Rationality," IMF Working Papers 2019/166, International Monetary Fund.
- Benchimol, Jonathan & El-Shagi, Makram, 2020.
"Forecast performance in times terrorism,"
Economic Modelling, Elsevier, vol. 91(C), pages 386-402.
- Jonathan Benchimol & Makram El-Shagi, 2017. "Forecast Performance in Times of Terrorism," CFDS Discussion Paper Series 2017/1, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
- Jonathan Benchimol & Makram El-Shagi, 2020. "Forecast performance in times of terrorism," Post-Print halshs-03248938, HAL.
- Jonathan Benchimol & Makram El-Shagi, 2020. "Forecast Performance in Times of Terrorism," Globalization Institute Working Papers 390, Federal Reserve Bank of Dallas.
- Jonathan Benchimol & Makram El-Shagi, 2019. "Forecast Performance in Times of Terrorism," Bank of Israel Working Papers 2019.08, Bank of Israel.
- Bruno Deschamps & Christos Ioannidis & Kook Ka, 2019. "High-Frequency Credit Spread Information and Macroeconomic Forecast Revision," Working Papers 2019-17, Economic Research Institute, Bank of Korea.
- Rahul Roy & Santhakumar Shijin, 2019. "The nexus of anomalies-stock returns-asset pricing models: The international evidence," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 19(1), pages 1-14, March.
- Samuel Bazzi & Robert A. Blair & Christopher Blattman & Oeindrila Dube & Matthew Gudgeon & Richard Merton Peck, 2019.
"The Promise and Pitfalls of Conflict Prediction: Evidence from Colombia and Indonesia,"
NBER Working Papers
25980, National Bureau of Economic Research, Inc.
- Samuel Bazzi & Robert A. Blair & Christopher Blattman & Oeindrila Dube & Matthew Gudgeon & Richard Peck, 2019. "The Promise and Pitfalls of Conflict Prediction: Evidence from Colombia and Indonesia," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-328, Boston University - Department of Economics.
- Bazzi, Samuel & Blair, Robert & Blattman, Chris & Dube, Oeindrila & Gudgeon, Matthew & Peck, Richard, 2019. "The Promise and Pitfalls of Conflict Prediction: Evidence from Colombia and Indonesia," SocArXiv bkrn8, Center for Open Science.
- Bazzi, Samuel & Blair, Robert & Blattman, Christopher & Dube, Oeindrila & Gudgeon, Matthew & Peck, Richard, 2019. "The Promise and Pitfalls of Conflict Prediction: Evidence from Colombia and Indonesia," CEPR Discussion Papers 13829, C.E.P.R. Discussion Papers.
- Fugazza Carolina, 2019. "Anatomy of Non-Employment Risk," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 19(3), pages 1-19, July.
- Katja Heinisch & Rolf Scheufele, 2019.
"Should Forecasters Use Real‐Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence,"
German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 170-200, November.
- Heinisch Katja & Scheufele Rolf, 2019. "Should Forecasters Use Real-Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence," German Economic Review, De Gruyter, vol. 20(4), pages 170-200, December.
- Heinisch, Katja & Scheufele, Rolf, 2017. "Should forecasters use real-time data to evaluate leading indicator models for GDP prediction? German evidence," IWH Discussion Papers 5/2017, Halle Institute for Economic Research (IWH).
- Bruttel Oliver & Baumann Arne & Dütsch Matthias, 2019. "Beschäftigungseffekte des gesetzlichen Mindestlohns: Prognosen und empirische Befunde," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 20(3), pages 237-253, September.
- Bruttel Oliver & Baumann Arne & Dütsch Matthias, 2019. "Beschäftigungseffekte des gesetzlichen Mindestlohns: Prognosen und empirische Befunde," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 20(3), pages 237-253, September.
- Olimpia NEAGU, 2019. "Digital Divide Gap Convergence Across European Union: The Role Of Urbanisation," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 4(1), pages 43-48.
- Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
- Ahmed, M. F.. & Satchell, S, 2019. "Some Dynamic and Steady-State Properties of Threshold Autoregressions with Applications to Stationarity and Local Explosivity," Cambridge Working Papers in Economics 1923, Faculty of Economics, University of Cambridge.
- Yang Han & Victor OK Li & Jacqueline CK Lam & Michael Pollitt, 2019.
"How BLUE is the Sky? Estimating the Air Quality Data in Beijing During the Blue Sky Day Period (2008-2012) by the Bayesian LSTM Approach,"
Working Papers
EPRG1912, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
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- Miroslav Klucik, 2019. "Tracking the Course of the Economy (Nowcasting of basic macroeconomic indicators of Slovakia)," Working Papers Working Paper No. 1/2019, Council for Budget Responsibility.
- de Bondt, Gabe & Gieseck, Arne & Zekaite, Zivile & Herrero, Pablo, 2019.
"Disaggregate income and wealth effects in the largest euro area countries,"
Working Paper Series
2343, European Central Bank.
- de Bondt, Gabe & Gieseck, Arne & Herrero, Pablo & Zekaite, Zivile, 2019. "Disaggregate income and wealth effects in the largest euro area countries," Research Technical Papers 15/RT/19, Central Bank of Ireland.
- Congressional Budget Office, 2019. "An Evaluation of CBO’s Past Deficit and Debt Projections," Reports 55234, Congressional Budget Office.
- Congressional Budget Office, 2019. "CBO’s Economic Forecasting Record: 2019 Update," Reports 55505, Congressional Budget Office.
- Congressional Budget Office, 2019. "The Accuracy of CBO’s Baseline Estimates for Fiscal Year 2019," Reports 55927, Congressional Budget Office.
- Delle Monache, Davide & Petrella, Ivan, 2019.
"Efficient matrix approach for classical inference in state space models,"
Economics Letters, Elsevier, vol. 181(C), pages 22-27.
- Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient Matrix Approach for Classical Inference in State Space Models," EMF Research Papers 19, Economic Modelling and Forecasting Group.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018.
"Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2019. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," EMF Research Papers 20, Economic Modelling and Forecasting Group.
- Ana Beatriz Galvão & James Mitchell, 2019.
"Measuring Data Uncertainty: An Application using the Bank of England's "Fan Charts" for Historical GDP Growth,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2019-08, Economic Statistics Centre of Excellence (ESCoE).
- Galvao, Ana Beatriz & Mitchell, James, 2019. "Measuring Data Uncertainty : An Application using the Bank of England’s “Fan Charts” for Historical GDP Growth," EMF Research Papers 24, Economic Modelling and Forecasting Group.
- Juvenal, Luciana & Petrella, Ivan, 2019. "Not all Terms of Trade Shocks are Alike," EMF Research Papers 25, Economic Modelling and Forecasting Group.
- Mitchell, James & Weale, Martin, 2019. "Forecasting with Unknown Unknowns: Censoring and Fat Tails on the Bank of England's Monetary Policy Committee," EMF Research Papers 27, Economic Modelling and Forecasting Group.
- Rafal Weron & Florian Ziel, 2018.
"Electricity price forecasting,"
HSC Research Reports
HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Technology.
- Katarzyna Maciejowska & Rafal Weron, 2019. "Electricity price forecasting," HSC Research Reports HSC/19/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Uniejewski, Bartosz & Weron, Rafał, 2021.
"Regularized quantile regression averaging for probabilistic electricity price forecasting,"
Energy Economics, Elsevier, vol. 95(C).
- Bartosz Uniejewski & Rafal Weron, 2019. "Regularized Quantile Regression Averaging for probabilistic electricity price forecasting," HSC Research Reports HSC/19/04, Hugo Steinhaus Center, Wroclaw University of Technology.
- Christopher Kath & Weronika Nitka & Tomasz Serafin & Tomasz Weron & Przemyslaw Zaleski & Rafal Weron, 2019. "Balancing RES generation: Profitability of an energy trader," HSC Research Reports HSC/19/07, Hugo Steinhaus Center, Wroclaw University of Technology.
- Katarzyna Maciejowska & Weronika Nitka & Tomasz Weron, 2019. "Enhancing load, wind and solar generation forecasts in day-ahead forecasting of spot and intraday electricity prices," HSC Research Reports HSC/19/08, Hugo Steinhaus Center, Wroclaw University of Technology.
- Li Chen & Jiti Gao & Farshid Vahid, 2019.
"Global Temperatures and Greenhouse Gases: A Common Features Approach,"
Monash Econometrics and Business Statistics Working Papers
23/19, Monash University, Department of Econometrics and Business Statistics.
- Li Chen & Jiti Gao & Farshid Vahid, 2019. "Global temperatures and greenhouse gases - a common features approach," Working Papers 2019-07-15, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Alberto Caruso & Laura Coroneo, 2019. "Predicting interest rates in real-time," Discussion Papers 19/18, Department of Economics, University of York.
- Makarewicz, Tomasz, 2019. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," BERG Working Paper Series 141, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020.
"Exploiting ergodicity in forecasts of corporate profitability,"
Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2019. "Exploiting ergodicity in forecasts of corporate profitability," BERG Working Paper Series 147, Bamberg University, Bamberg Economic Research Group.
- Knüppel, Malte & Krüger, Fabian, 2017.
"Forecast Uncertainty, Disagreement, and Linear Pools of Density Forecasts,"
VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking
168294, Verein für Socialpolitik / German Economic Association.
- Knüppel, Malte & Krüger, Fabian, 2019. "Forecast uncertainty, disagreement, and the linear pool," Discussion Papers 28/2019, Deutsche Bundesbank.
- Eraslan, Sercan & Schröder, Maximilian, 2019. "Nowcasting GDP with a large factor model space," Discussion Papers 41/2019, Deutsche Bundesbank.
- Jackson, Emerson Abraham & Tamuke, Edmund, 2019.
"Predicting disaggregated tourist arrivals in Sierra Leone using ARIMA model,"
MPRA Paper
96845, University Library of Munich, Germany, revised 23 Dec 2019.
- Jackson, Emerson Abraham & Tamuke, Edmund, 2019. "Predicting disaggregated tourist arrivals in Sierra Leone using ARIMA model," EconStor Preprints 202547, ZBW - Leibniz Information Centre for Economics.
- Strohsal, Till & Wolf, Elias, 2019. "Data revisions to German national accounts: Are initial releases good nowcasts?," Discussion Papers 2019/11, Free University Berlin, School of Business & Economics.
- Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers 2019-16, Kiel Institute for the World Economy (IfW Kiel).
- Bolgorian, Meysam, 2019. "Can a cusp catastrophe model describe the effect of sanctions on exchange rates?," Economics Discussion Papers 2019-2, Kiel Institute for the World Economy (IfW Kiel).
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"Private Financing of Long‑Term Care: Income, Savings and Reverse Mortgages,"
Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Études Économiques (INSEE), issue 507-508, pages 5-24.
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