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Citations for "Asymptotic Inference About Predictive Ability"

by West, K.D.

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  1. Carriero, Andrea & Giacomini, Raffaella, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Journal of Econometrics, Elsevier, vol. 164(1), pages 21-34, September.
  2. Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2014. "Evaluating Macroeconomic Forecasts: A Concise Review Of Some Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 195-208, 04.
  3. Kirsten Thompson & Reneé van Eyden & Rangan Gupta, 2015. "Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(3), pages 486-501, May.
  4. Andreas Billmeier, 2004. "Ghostbusting; Which Output Gap Measure Really Matters?," IMF Working Papers 04/146, International Monetary Fund.
  5. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014. "Predicting BRICS stock returns using ARFIMA models," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
  6. repec:lan:wpaper:2444 is not listed on IDEAS
  7. Nyberg, Henri & Saikkonen, Pentti, 2012. "Forecasting with a noncausal VAR model," Research Discussion Papers 33/2012, Bank of Finland.
  8. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
  9. Gubanova, Tatiana & Lohr, Luanne & Park, Timothy A., 2005. "Forecasting Organic Food Prices: Emerging Methods for Testing and Evaluating Conditional Predictive Ability," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19045, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  10. Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.
  11. Krueger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Paper 1439, Federal Reserve Bank of Cleveland.
  12. Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
  13. Ricardo M. Sousa, 2005. "Consumption, (Dis) Aggregate Wealth and Asset Returns," NIPE Working Papers 9/2005, NIPE - Universidade do Minho.
  14. Barbara Rossi & Atsushi Inoue, 2012. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 432-453, April.
  15. Aurea Grané & Helena Veiga, 2012. "Asymmetry, realised volatility and stock return risk estimates," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 11(2), pages 147-164, August.
  16. Artis, Michael J & Clavel, Jose Garcia & Hoffmann, Mathias & Nachane, Dilip M, 2007. "Analyzing Strongly Periodic Series in the Frequency Domain: A Comparison of Alternative Approaches with Applications," CEPR Discussion Papers 6517, C.E.P.R. Discussion Papers.
  17. Ana María Abarca G. & Felipe Alarcón G. & Pablo Pincheira B. & Jorge Selaive C., 2007. "Nominal Exchange Rate in Chile: Predictions based on technical analysis," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(2), pages 57-80, August.
  18. Menzie D. Chinn & Ron Alquist, 2006. "Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment," NBER Working Papers 12481, National Bureau of Economic Research, Inc.
  19. Barbara Rossi & Tatevik Sekhposyan, 2010. "Understanding Models' Forecasting Performance," Working Papers 10-56, Duke University, Department of Economics.
  20. Pablo Pincheira B., 2014. "Predictive Evaluation of Sectoral and Total Employment Based on Entrepreneurial Confidence Indicators," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 17(1), pages 66-87, April.
  21. Bruneau, C. & De Bandt, O. & Flageollet, A. & Michaux, E., 2003. "Forecasting Inflation using Economic Indicators: the Case of France," Working papers 101, Banque de France.
  22. Oded Galor & Omer Moav & Dietrich Vollrath, 2004. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," Working Papers 2003-04, Brown University, Department of Economics.
  23. West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317r, Wisconsin Madison - Social Systems.
  24. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2014. "Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1147-1157, September.
  25. Garcia, R. & Luger, R. & Renault, E., 2001. "Empirical Assessment of an Intertemporal option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  26. Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2004. "Federal Funds Rate Prediction," CEPR Discussion Papers 4587, C.E.P.R. Discussion Papers.
  27. Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Does forecast combination improve Norges Bank inflation forecasts?," Working Paper 2009/01, Norges Bank.
  28. Ivana Komunjer & Michael T. Owyang, 2012. "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1066-1080, November.
  29. Marc Joëts, 2012. "Mood-misattribution effect on energy markets: a biorhythm approach," EconomiX Working Papers 2012-24, University of Paris West - Nanterre la Défense, EconomiX.
  30. Katja Drechsel & S. Giesen & Axel Lindner, 2014. "Outperforming IMF Forecasts by the Use of Leading Indicators," IWH Discussion Papers 4, Halle Institute for Economic Research.
  31. Thomas Lux & Mawuli K. Segnon & Rangan Gupta, 2015. "Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data," Working Papers 201511, University of Pretoria, Department of Economics.
  32. M. Hashem Pesaran, 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series 345, CESifo Group Munich.
  33. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers 200615, Rutgers University, Department of Economics.
  34. Ferrara, L. & Marcellino, M. & Mogliani, M., 2012. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," Working papers 383, Banque de France.
  35. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
  36. Florackis, Chris & Giorgioni, Gianluigi & Kostakis, Alexandros & Milas, Costas, 2014. "On stock market illiquidity and real-time GDP growth," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 210-229.
  37. Findley, David F. & Wei, Ching-Zong, 2002. "AIC, Overfitting Principles, and the Boundedness of Moments of Inverse Matrices for Vector Autotregressions and Related Models," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 415-450, November.
  38. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2013. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Economics Working Papers (Ensaios Economicos da EPGE) 735, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  39. Saša ŽIKOVIÆ & Randall K. FILER, 2013. "Ranking of VaR and ES Models: Performance in Developed and Emerging Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(4), pages 327-359, August.
  40. Guillermo Benavides & Carlos Capistrán, 2009. "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers 2009-01, Banco de México.
  41. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
  42. Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, vol. 27(1), pages 304-314, January.
  43. Marcellino, Massimiliano & Stock, James H & Watson, Mark W, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," CEPR Discussion Papers 4976, C.E.P.R. Discussion Papers.
  44. Todd E. Clark, 2000. "Can out-of-sample forecast comparisons help prevent overfitting?," Research Working Paper RWP 00-05, Federal Reserve Bank of Kansas City.
  45. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
  46. Giacomini, Raffaella, 2002. "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," University of California at San Diego, Economics Working Paper Series qt59s2g5j5, Department of Economics, UC San Diego.
  47. Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries," CEIS Research Paper 287, Tor Vergata University, CEIS, revised 01 Oct 2013.
  48. Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, EconWPA.
  49. Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999. "On SETAR non- linearity and forecasting," Econometric Institute Research Papers EI 9914-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  50. Costas Milas & Philip Rothman, 2007. "Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts," Working Paper Series 49_07, The Rimini Centre for Economic Analysis.
  51. Lopez, Jose A, 2001. "Evaluating the Predictive Accuracy of Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
  52. Elliott, Graham & Timmermann, Allan G, 2016. "Forecasting in Economics and Finance," CEPR Discussion Papers 11354, C.E.P.R. Discussion Papers.
  53. Caporin, Massimiliano & McAleer, Michael, 2014. "Robust ranking of multivariate GARCH models by problem dimension," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 172-185.
  54. Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
  55. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  56. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2011. "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers 8635, C.E.P.R. Discussion Papers.
  57. Rothman, P. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 1999. "A multivariate STAR analysis of the relationship between money and output," Econometric Institute Research Papers EI 9945-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  58. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models; A Selective Overview," IMF Working Papers 03/111, International Monetary Fund.
  59. D'Amuri, Francesco & Marcucci, Juri, 2009. "'Google it!' Forecasting the US unemployment rate with a Google job search index," ISER Working Paper Series 2009-32, Institute for Social and Economic Research.
  60. Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, EconWPA.
  61. Mehmet Balcilar & Nico Katzke & Rangan Gupta, 2015. "Do Precious Metal Prices Help in Forecasting South African Inflation?," Working Papers 03/2015, Stellenbosch University, Department of Economics.
  62. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2015. "What does financial volatility tell us about macroeconomic fluctuations?," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 340-360.
  63. Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006. "A joint econometric model of macroeconomic and term-structure dynamics," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 405-444.
  64. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Working Papers 334, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  65. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
  66. Hilde Bjørnland & Leif Brubakk & Anne Jore, 2008. "Forecasting inflation with an uncertain output gap," Empirical Economics, Springer, vol. 35(3), pages 413-436, November.
  67. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
  68. Michalski , Tomasz & Amat , Christophe, 2014. "Fundamentals and Exchange Rate Forecastability with Machine Learning Methods," Les Cahiers de Recherche 1049, HEC Paris.
  69. Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, vol. 28(2), pages 428-445.
  70. Grané, A. & Veiga, H., 2008. "Accurate minimum capital risk requirements: A comparison of several approaches," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2482-2492, November.
  71. Metghalchi, Massoud & Chang, Yung-Ho & Marcucci, Juri, 2008. "Is the Swedish stock market efficient? Evidence from some simple trading rules," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 475-490, June.
  72. Markku Lanne & Jani Luoto & Henri Nyberg, 2014. "Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?," CREATES Research Papers 2014-26, Department of Economics and Business Economics, Aarhus University.
  73. Ashley, Richard, 2003. "Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?," International Journal of Forecasting, Elsevier, vol. 19(2), pages 229-239.
  74. M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008. "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series 2231, CESifo Group Munich.
  75. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
  76. Olmo Jose & Pouliot William, 2011. "Early Detection Techniques for Market Risk Failure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-55, September.
  77. Lee, Tae-Hwy & Saltoglu, Burak, 2002. "Assessing the risk forecasts for Japanese stock market," Japan and the World Economy, Elsevier, vol. 14(1), pages 63-85, January.
  78. Schumacher Christian & Dreger Christian, 2004. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models? / Die Schätzung von großen Faktormodellen für die deutsche Volkswirtschaft: Übertreffen sie ei," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 731-750, December.
  79. Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
  80. Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael, 2001. "New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap," 2001 Annual meeting, August 5-8, Chicago, IL 20686, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  81. Luis Filipe Martins & Pierre Perron, 2016. "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 650-659, 09.
  82. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
  83. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
  84. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," Working Papers 10-07, Duke University, Department of Economics.
  85. Hofmann, Boris, 2009. "Do monetary indicators lead euro area inflation?," Journal of International Money and Finance, Elsevier, vol. 28(7), pages 1165-1181, November.
  86. Lees, Kirdan & Matheson, Troy, 2007. "Mind your ps and qs! Improving ARMA forecasts with RBC priors," Economics Letters, Elsevier, vol. 96(2), pages 275-281, August.
  87. Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
  88. Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
  89. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
  90. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  91. Nour Meddahi & Éric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
  92. Jose Luiz Rossi Jr & Wilson Felíci, 2014. "Common Factors And The Exchange Rate: Results From The Brazilian Case," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  93. Jung, Robert C. & Tremayne, A.R., 2006. "Coherent forecasting in integer time series models," International Journal of Forecasting, Elsevier, vol. 22(2), pages 223-238.
  94. Catherine L. Kling & Raymond W. Arritt & Gray Calhoun & David A. Keiser & et al., 2016. "Research Needs and Challenges in the FEW System: Coupling Economic Models with Agronomic, Hydrologic, and Bioenergy Models for Sustainable Food, Energy, and Water Systems," Center for Agricultural and Rural Development (CARD) Publications 16-wp563, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  95. Philippe Lambert & Sébastien Laurent & David Veredas, 2012. "Testing conditional asymmetry. A residual based approach," ULB Institutional Repository 2013/136195, ULB -- Universite Libre de Bruxelles.
  96. Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2012. "Prediction Markets for Economic Forecasting," CESifo Working Paper Series 3884, CESifo Group Munich.
  97. Carlos Capistrán & Christian Constandse & Manuel Ramos Francia, 2009. "Using Seasonal Models to Forecast Short-Run Inflation in Mexico," Working Papers 2009-05, Banco de México.
  98. repec:zbw:iwhdps:4-14 is not listed on IDEAS
  99. Wang, Mu-Chun, 2008. "Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment," Discussion Paper Series 1: Economic Studies 2008,04, Deutsche Bundesbank, Research Centre.
  100. Kyungchul Song, 2009. "Testing Predictive Ability and Power Robustification," PIER Working Paper Archive 09-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  101. Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis.
  102. Kawakami, Kei, 2013. "Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 28(C), pages 1-18.
  103. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," Working Papers 2014_16, Business School - Economics, University of Glasgow.
  104. Aaron Smith, 2005. "Forecasting in the presence of level shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 557-574.
  105. Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
  106. Victor Bystrov, 2006. "Forecasting Emerging Market Indicators: Brazil and Russia," Economics Working Papers ECO2006/12, European University Institute.
  107. Carrasco, Marine & Rossi, Barbara, 2016. "In-sample Inference and Forecasting in Misspecified Factor Models," CEPR Discussion Papers 11388, C.E.P.R. Discussion Papers.
  108. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2015. "Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models," FinMaP-Working Papers 46, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  109. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
  110. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Econometrics Working Papers Archive wp2003_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  111. Granziera, Eleonora & Hubrich, Kirstin & Moon, Hyungsik Roger, 2013. "A predictability test for a small number of nested models," Working Paper Series 1580, European Central Bank.
  112. M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
  113. Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2014. "Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," CEPR Discussion Papers 10168, C.E.P.R. Discussion Papers.
  114. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, 09.
  115. Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 2001. "Forecast Evaluation with Shared Data Sets," CEPR Discussion Papers 3060, C.E.P.R. Discussion Papers.
  116. Michael Bordo & Joseph Haubrich, 2004. "The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997," Econometric Society 2004 North American Summer Meetings 165, Econometric Society.
  117. Zaher, Fadi, 2007. "Evaluating factor forecasts for the UK: The role of asset prices," International Journal of Forecasting, Elsevier, vol. 23(4), pages 679-693.
  118. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos de Trabajo del ICAE 2011-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  119. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," "Marco Fanno" Working Papers 0124, Dipartimento di Scienze Economiche "Marco Fanno".
  120. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile.
  121. Heejoon Han & Myung D. Park & Shen Zhang, 2015. "A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 209-219, 04.
  122. Pablo M. Pincheira & Carlos A. Medel, 2015. "Forecasting Inflation with a Simple and Accurate Benchmark: The Case of the US and a Set of Inflation Targeting Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 2-29, January.
  123. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, . "Evaluating Density Forecasts," CARESS Working Papres 97-18, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  124. Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Vanderbilt University Department of Economics Working Papers 0322, Vanderbilt University Department of Economics, revised Apr 2004.
  125. Kajal Lahiri & Liu Yang, 2012. "Forecasting Binary Outcomes," Discussion Papers 12-09, University at Albany, SUNY, Department of Economics.
  126. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
  127. Olena Chyruk & Luca Benzoni & Andrea Ajello, 2012. "Core and `Crust': Consumer Prices and the Term Structure of Interest Rates," 2012 Meeting Papers 922, Society for Economic Dynamics.
  128. Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
  129. Norman R. Swanson & Valentina Corradi & Andres Fernandez, 2011. "Information in the Revision Process of Real-Time Datasets," Departmental Working Papers 201107, Rutgers University, Department of Economics.
  130. Sainan Jin & Valentina Corradi & Norman Swanson, 2015. "Robust Forecast Comparison," Departmental Working Papers 201502, Rutgers University, Department of Economics.
  131. C. Emre Alper & Salih Fendoglu & Burak Saltoglu, 2009. "MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets," Working Papers 2009/04, Bogazici University, Department of Economics.
  132. Raffella Giacomini & Barbara Rossi, 2005. "Detecting and Predicting Forecast Breakdowns," UCLA Economics Working Papers 845, UCLA Department of Economics.
  133. Pablo Pincheira B., 2008. "Predictibilidad Encubierta en Economía: El Caso del Tipo de Cambio Nominal Chileno," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(1), pages 137-142, April.
  134. Kui-Wai Li, 2012. "A study on the volatility forecast of the US housing market in the 2008 crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 22(22), pages 1869-1880, November.
  135. Rossi, Barbara, 2006. "Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability," Macroeconomic Dynamics, Cambridge University Press, vol. 10(01), pages 20-38, February.
  136. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO.
  137. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
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  427. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
  428. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008. "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper 13662, University Library of Munich, Germany.
  429. Renee van Eyden & Goodness C. Aye & Rangan Gupta, 2012. "Predictive Ability of Competing Models for South Africa’s Fixed Business Non- Residential Investment Spending," Working Papers 201229, University of Pretoria, Department of Economics.
  430. Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers CWP41/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  431. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
  432. repec:lan:wpaper:2364 is not listed on IDEAS
  433. Greg Tkacz & Carolyn Wilkins, 2008. "Linear and threshold forecasts of output and inflation using stock and housing prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 131-151.
  434. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-24, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  435. Dirk Paulsen & Jakob S\"ohl, 2016. "Noise Fit, Estimation Error and a Sharpe Information Criterion," Papers 1602.06186, arXiv.org.
  436. Zongwu Cai & Jiancheng Jiang & Jingshuang Zhang, 2013. "A New Test for Superior Predictive Ability," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  437. Steven Trypsteen, . "The Importance of a Time-Varying Variance and Cross-Country Interactions in Forecast Models," Discussion Papers 2014/15, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  438. Rudan Wang & Bruce Morley & Javier Ordóñez, 2015. "The Taylor Rule, Wealth Effects and the Exchange Rate," Working Papers 2015/08, Economics Department, Universitat Jaume I, Castellón (Spain).
  439. West, Kenneth D. & Wong, Ka-Fu, 2014. "A factor model for co-movements of commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 289-309.
  440. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
  441. Liu, Li & Ma, Feng & Wang, Yudong, 2015. "Forecasting excess stock returns with crude oil market data," Energy Economics, Elsevier, vol. 48(C), pages 316-324.
  442. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
  443. Bhatt, Vipul & Kishor, N. Kundan, 2015. "Are all movements in food and energy prices transitory? Evidence from India," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 92-106.
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  445. Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408 Edward Elgar Publishing.
  446. Brock,W.A. & Durlauf,S.N., 2004. "Macroeconomics and model uncertainty," Working papers 20, Wisconsin Madison - Social Systems.
  447. Carlos Capistrán, 2007. "Optimality Tests for Multi-Horizon Forecasts," Working Papers 2007-14, Banco de México.
  448. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
  449. Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
  450. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  451. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
  452. Groen, Jan J.J. & Kapetanios, George & Price, Simon, 2009. "A real time evaluation of Bank of England forecasts of inflation and growth," International Journal of Forecasting, Elsevier, vol. 25(1), pages 74-80.
  453. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS ws113426, Universidad Carlos III de Madrid. Departamento de Estadística.
  454. Elliott, Graham & Komunjer, Ivana & Timmermann, Allan G, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers.
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  456. Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, EconWPA.
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