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Citations for "Comparing Predictive Accuracy"

by Diebold, Francis X & Mariano, Roberto S

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  1. Khurshid Kiani & Terry Kastens, 2008. "Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures," Computational Economics, Society for Computational Economics, vol. 32(4), pages 383-406, November.
  2. Boriss Siliverstovs, 2015. "Short-term forecasting with mixed-frequency data: A MIDASSO approach," KOF Working papers 15-375, KOF Swiss Economic Institute, ETH Zurich.
  3. Meredith Beechey & Pär �sterholm, 2014. "Policy interest-rate expectations in Sweden: a forecast evaluation," Applied Economics Letters, Taylor & Francis Journals, vol. 21(14), pages 984-991, September.
  4. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
  5. Luis Fernando Melo & Héctor Núñez, . "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia.
  6. Mariano, Roberto S. & Preve, Daniel, 2012. "Statistical tests for multiple forecast comparison," Journal of Econometrics, Elsevier, vol. 169(1), pages 123-130.
  7. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, 04.
  8. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
  9. Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2012. "Optimal forecasting of noncausal autoregressive time series," International Journal of Forecasting, Elsevier, vol. 28(3), pages 623-631.
  10. Antonio Mele, 2009. "Financial Volatility and Economic Activity," FMG Discussion Papers dp642, Financial Markets Group.
  11. Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta & Francois Stofberg, 2013. "The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand," Working Papers 201304, University of Pretoria, Department of Economics.
  12. Raviv, Eran, 2015. "Prediction bias correction for dynamic term structure models," Economics Letters, Elsevier, vol. 129(C), pages 112-115.
  13. Simonetta Longhi & Peter Nijkamp, 2005. "Forecasting Regional Labour Market Developments Under Spatial Heterogeneity and Spatial Autocorrelation," Tinbergen Institute Discussion Papers 05-041/3, Tinbergen Institute.
  14. Andrew Rennison, 2003. "Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach," Working Papers 03-8, Bank of Canada.
  15. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2012. "Comparison of misspecified calibrated models: The minimum distance approach," Journal of Econometrics, Elsevier, vol. 169(1), pages 131-138.
  16. Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," BORRADORES DE ECONOMIA 002692, BANCO DE LA REPÚBLICA.
  17. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo Group Munich.
  18. Götz T.B. & Hecq A.W. & Urbain J.R.Y.J., 2014. "Combining distributions of real-time forecasts: An application to U.S. growth," Research Memorandum 027, Maastricht University, Graduate School of Business and Economics (GSBE).
  19. Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
  20. Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008. "New Eurocoin: Tracking Economic Growth in Real Time," Center for Economic Research (RECent) 020, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  21. Mihaela Simionescu, 2014. "What Type Of Social Capital Is Engaged By The French Dairy Stockbreeders? A Characterization Through Their Professional Identities," Romanian Journal of Regional Science, Romanian Regional Science Association, vol. 8(1), pages 87-102, JUNE.
  22. 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.
  23. Matthias Burgert & Stephane Dees, 2009. "Forecasting World Trade: Direct Versus “Bottom-Up” Approaches," Open Economies Review, Springer, vol. 20(3), pages 385-402, July.
  24. Pierre Perron & Francisco Estrada, 2012. "Breaks, trends and the attribution of climate change: a time-series analysis," Boston University - Department of Economics - Working Papers Series WP2012-013, Boston University - Department of Economics.
  25. Daniel Leigh & Marco Rossi, 2002. "Leading Indicators of Growth and Inflation in Turkey," IMF Working Papers 02/231, International Monetary Fund.
  26. Nyberg , Henri & Saikkonen, Pentti, 2012. "Forecasting with a noncausal VAR model," Research Discussion Papers 33/2012, Bank of Finland.
  27. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
  28. Vladimir Yankov & Egon Zakrajsek & Simon Gilchrist, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," 2009 Meeting Papers 514, Society for Economic Dynamics.
  29. Annari de Waal & Renee van Eyden & Rangan Gupta, 2013. "Do we need a global VAR model to forecast inflation and output in South Africa?," Working Papers 201346, University of Pretoria, Department of Economics.
  30. Baumeister, Christiane & Kilian, Lutz, 2014. "A general approach to recovering market expectations from futures prices with an application to crude oil," CFS Working Paper Series 466, Center for Financial Studies (CFS).
  31. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
  32. Aslanidis, Nektarios & Cipollini, Andrea, 2009. "Leading indicator properties of US high-yield credit spreads," Working Papers 2072/15810, Universitat Rovira i Virgili, Department of Economics.
  33. Tierney, Heather L.R., 2013. "Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence," MPRA Paper 51398, University Library of Munich, Germany.
  34. 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.
  35. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
  36. Lopez, Jose A. & Saidenberg, Marc R., 2000. "Evaluating credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 151-165, January.
  37. Batchelor, Roy & Alizadeh, Amir & Visvikis, Ilias, 2007. "Forecasting spot and forward prices in the international freight market," International Journal of Forecasting, Elsevier, vol. 23(1), pages 101-114.
  38. Ma, Feng & Wei, Yu & Huang, Dengshi & Chen, Yixiang, 2014. "Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 171-180.
  39. Sabine Stephan, 2006. "German Exports to the Euro Area," Empirical Economics, Springer, vol. 31(4), pages 871-882, November.
  40. 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.
  41. Branimir, Jovanovic & Magdalena, Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," MPRA Paper 43162, University Library of Munich, Germany.
  42. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, vol. 30(1), pages 129-143.
  43. Nikola Gradojević & Vladimir Djaković & Goran Andjelić, 2010. "Random Walk Theory and Exchange Rate Dynamics in Transition Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 303-320, September.
  44. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 10/34, University of Canterbury, Department of Economics and Finance.
  45. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
  46. Yin-Wong Cheung & Menzie D. Chinn & Antonio I. Garcia Pascual, 2003. "What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated," CESifo Working Paper Series 902, CESifo Group Munich.
  47. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2011. "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers 8635, C.E.P.R. Discussion Papers.
  48. Kerstin Bernoth & Andreas Pick, 2009. "Forecasting the fragility of the banking and insurance sector," DNB Working Papers 202, Netherlands Central Bank, Research Department.
  49. Bovi, Maurizio, 2013. "Are the representative agent’s beliefs based on efficient econometric models?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 633-648.
  50. Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  51. Tian, Jing & Anderson, Heather M., 2014. "Forecast combinations under structural break uncertainty," International Journal of Forecasting, Elsevier, vol. 30(1), pages 161-175.
  52. Bec Frédérique & Salem Melika Ben, 2013. "Inventory investment and the business cycle: the usual suspect," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 335-343, May.
  53. Francis X. Diebold & Lutz Kilian, 1998. "Measuring Predictability: Theory and Macroeconomic Applications," Working Papers 98-16, New York University, Leonard N. Stern School of Business, Department of Economics.
  54. Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson, 2006. "Forecasting Inflation: the Relevance of Higher Moments," Computing in Economics and Finance 2006 407, Society for Computational Economics.
  55. Dreger, Christian & Schumacher, Christian, 2002. "Estimating large-scale factor models for economic activity in Germany : do they outperform simpler models?," HWWA Discussion Papers 199, Hamburg Institute of International Economics (HWWA).
  56. Liu, Dandan & Smith, Julie K., 2014. "Inflation forecasts and core inflation measures: Where is the information on future inflation?," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 133-137.
  57. Todd E. Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Working Paper 1134, Federal Reserve Bank of Cleveland.
  58. Phillip Rothman & Dick van Dijk & Philip Hans Franses, 2000. "A Multivariate STAR Analysis of the Relationship Between Money and Output," Working Papers 0012, East Carolina University, Department of Economics.
  59. Chapados, Nicolas & Joliveau, Marc & L’Ecuyer, Pierre & Rousseau, Louis-Martin, 2014. "Retail store scheduling for profit," European Journal of Operational Research, Elsevier, vol. 239(3), pages 609-624.
  60. Jon Faust & Jonathan H. Wright, 2007. "Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset," NBER Working Papers 13397, National Bureau of Economic Research, Inc.
  61. Christopher Neely & Paul Weller, 1999. "Predictability in international asset returns: a reexamination," Working Papers 1997-010, Federal Reserve Bank of St. Louis.
  62. Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2010. "A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 720-754.
  63. Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank, Research Centre.
  64. Danilov, D.L. & Magnus, J.R., 2001. "On the Harm that Pretesting Does," Discussion Paper 2001-37, Tilburg University, Center for Economic Research.
  65. 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.
  66. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
  67. Fabian Krueger & Frieder Mokinski & Winfried Pohlmeier, 2011. "Combining Survey Forecasts and Time Series Models: The Case of the Euribor," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 63-81, February.
  68. Ca'Zorzi, Michele & Muck, Jakub & Rubaszek, Michal, 2015. "Real exchange rate forecasting and ppp: this time the random walk loses," Globalization and Monetary Policy Institute Working Paper 229, Federal Reserve Bank of Dallas.
  69. Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.
  70. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group.
  71. Kenneth D. West, 2000. "Encompassing Tests When No Model Is Encompassing," NBER Technical Working Papers 0256, National Bureau of Economic Research, Inc.
  72. 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.
  73. Javier J. Pérez, 2005. "Early-warning tools to forecast General Government deficit in the euro area: the role of intra-annual fiscal Indicators," Economic Working Papers at Centro de Estudios Andaluces E2005/14, Centro de Estudios Andaluces.
  74. Jumah, Adusei & Kunst, Robert M., 2008. "Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging," Economics Series 231, Institute for Advanced Studies.
  75. Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, vol. 29(1), pages 175-190.
  76. Siem Jan Koopman & Rutger Lit, 2012. "A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League," Tinbergen Institute Discussion Papers 12-099/III, Tinbergen Institute.
  77. Audrino, Francesco, 2006. "The impact of general non-parametric volatility functions in multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3032-3052, July.
  78. Ferrara, L. & Marcellino, M. & Mogliani, M., 2012. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," Working papers 383, Banque de France.
  79. Konstantin A. Kholodilin, 2005. "Forecasting the German Cyclical Turning Points: Dynamic Bi-Factor Model with Markov Switching," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(6), pages 653-674, November.
  80. Cushman, David O., 2007. "A portfolio balance approach to the Canadian-U.S. exchange rate," Review of Financial Economics, Elsevier, vol. 16(3), pages 305-320.
  81. Pejman Bahramian & Mehmet Balcilar & Rangan Gupta & Patrick T. Kanda, 2014. "Forecasting South African Ination Using Non-linear Models: A Weighted Loss-based Evaluation," Working Papers 2014-471, Department of Research, Ipag Business School.
  82. 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.
  83. Minchul Shin & Molin Zhong, 2013. "Does realized volatility help bond yield density prediction?," PIER Working Paper Archive 13-064, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  84. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  85. Guangling (Dave) Liu & Rangan Gupta & Eric Schaling, 2007. "Forecasting the South African Economy: A DSGE-VAR Approach," Working Papers 200724, University of Pretoria, Department of Economics.
  86. Giorgio Valente & Daniel Thornton & Lucio Sarno, 2004. "Federal Funds Rate Prediction," Working Papers wp04-12, Warwick Business School, Finance Group.
  87. Xu, Hai Yan & Ward, Bert D. & Nartea, Gilbert V., 2007. "An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models," Review of Applied Economics, Review of Applied Economics, vol. 3(1-2).
  88. Richard A. Ashley & Kwok Ping Tsang, 2013. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Working Papers e07-41, Virginia Polytechnic Institute and State University, Department of Economics.
  89. Christophe Blot & Grégory Levieuge, 2008. "Les indicateurs des conditions monétaires permettent-ils de prévoir l'activité économique ?," Sciences Po publications info:hdl:2441/6407, Sciences Po.
  90. William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon, 2014. "Real-Time Nowcasting of Nominal GDP Under Structural Breaks," Working Papers 14-39, Bank of Canada.
  91. Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001 258, Society for Computational Economics.
  92. Marc-André Gosselin & René Lalonde, 2003. "Un modèle « PAC » d'analyse et de prévision des dépense des ménages américains," Working Papers 03-13, Bank of Canada.
  93. Junko Koeda, 2012. "How does yield curve predict GDP growth? A macro-finance approach revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 19(10), pages 929-933, July.
  94. Naraidoo, Ruthira & Paya, Ivan, 2012. "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, vol. 28(2), pages 446-455.
  95. Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons," IMF Working Papers 03/131, International Monetary Fund.
  96. El-Shazly, Alaa, 2013. "Electricity demand analysis and forecasting: A panel cointegration approach," Energy Economics, Elsevier, vol. 40(C), pages 251-258.
  97. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.
  98. Chudik, Alexander & Pesaran, M. Hashem, 2014. "Theory and practice of GVAR modeling," Globalization and Monetary Policy Institute Working Paper 180, Federal Reserve Bank of Dallas.
  99. Trapani, Lorenzo & Urga, Giovanni, 2009. "Optimal forecasting with heterogeneous panels: A Monte Carlo study," International Journal of Forecasting, Elsevier, vol. 25(3), pages 567-586, July.
  100. Sergi Jiménez-Martín & José M. Labeaga & Cristina Vilaplana Prieto, 2005. "A sequential model for older workers’ labor transitions after a health shock," Economics Working Papers 898, Department of Economics and Business, Universitat Pompeu Fabra.
  101. Andersson, Magnus & D'Agostino, Antonello, 2008. "Are sectoral stock prices useful for predicting euro area GDP?," Research Technical Papers 2/RT/08, Central Bank of Ireland.
  102. Zsolt DARVAS & Zoltán SCHEPP, . "Forecasting Exchange Rates of Major Currencies with Long Maturity Forward Rates," EcoMod2008 23800026, EcoMod.
  103. Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers 01-031/4, Tinbergen Institute.
  104. Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002. "Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach," Economics Working Papers ECO2002/09, European University Institute.
  105. Héctor Mauricio Nuñez Amortegui, 2005. "Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  106. Andrea Betancor & Pablo Pincheira, 2008. "Forecasting Inflation Forecast Errors," Working Papers Central Bank of Chile 477, Central Bank of Chile.
  107. Peter Tulip & Stephanie Wallace, 2012. "Estimates of Uncertainty around the RBA's Forecasts," RBA Research Discussion Papers rdp2012-07, Reserve Bank of Australia.
  108. Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers 2011-27, School of Economics and Management, University of Aarhus.
  109. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
  110. Camacho, Maximo & Pérez-Quirós, Gabriel & Poncela, Pilar, 2012. "Green Shoots and Double Dips in the Euro Area. A Real Time Measure," CEPR Discussion Papers 8896, C.E.P.R. Discussion Papers.
  111. Pagano Patrizio & Pisani Massimiliano, 2009. "Risk-Adjusted Forecasts of Oil Prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
  112. Elliott, Graham & Timmermann, Allan, 2002. "Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions," University of California at San Diego, Economics Working Paper Series qt15r9t2q2, Department of Economics, UC San Diego.
  113. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
  114. 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.
  115. Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe, 2007. "Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area," Ifo Working Paper Series Ifo Working Paper No. 46, Ifo Institute for Economic Research at the University of Munich.
  116. Tor Jacobson & Rikard Kindell & Jesper Linde & Kasper Roszbach, 2008. "Firm default and aggregate fluctuations," Working Papers 08-21, Federal Reserve Bank of Philadelphia.
  117. Athanasopoulos, George & Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 707, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  118. 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.
  119. Andrés Sagner, 2011. "El Índice Cartera Vencida como Medida de Riesgo de Crédito: Análisis y Aplicación al Caso de Chile," Working Papers Central Bank of Chile 618, Central Bank of Chile.
  120. Döpke, Jörg, 2004. "Real-time data and business cycle analysis in Germany," Discussion Paper Series 1: Economic Studies 2004,11, Deutsche Bundesbank, Research Centre.
  121. Chen, Pei-Fen & Lee, Chien-Chiang & Zeng, Jhih-Hong, 2014. "The relationship between spot and futures oil prices: Do structural breaks matter?," Energy Economics, Elsevier, vol. 43(C), pages 206-217.
  122. Kirstin Hubrich, 2004. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Computing in Economics and Finance 2004 230, Society for Computational Economics.
  123. Chen, Xiaoshan & MacDonald, Ronald, 2014. "Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-05, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  124. Sekkel, Rodrigo M., 2015. "Balance sheets of financial intermediaries: Do they forecast economic activity?," International Journal of Forecasting, Elsevier, vol. 31(2), pages 263-275.
  125. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
  126. George Kapetanios & Vincent Labhard & Simon Price, 2005. "Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation," Bank of England working papers 268, Bank of England.
  127. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge.
  128. Costas Milas & Jes�s Otero & Theodore Panagiotidis, 2004. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 277-288.
  129. Badi H. Baltagi & Dong Li, 2006. "Prediction in the Panel Data Model with Spatial Correlation: The Case of Liquor," Center for Policy Research Working Papers 84, Center for Policy Research, Maxwell School, Syracuse University.
  130. Michael McAleer & Massimiliano Caporin, 2011. "Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation," KIER Working Papers 778, Kyoto University, Institute of Economic Research.
  131. Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
  132. Peter N. Ireland, 1999. "A method for taking models to the data," Working Paper 9903, Federal Reserve Bank of Cleveland.
  133. Laurence Fung & Ip-wing Yu, 2008. "Predicting Stock Market Returns by Combining Forecasts," Working Papers 0801, Hong Kong Monetary Authority.
  134. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
  135. Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur, 2014. "Forecasting volatility of the U.S. oil market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 1-14.
  136. Michal Rubaszek & Pawel Skrzypczynski, 2007. "Can a simple DSGE model outperform Professional Forecasters?," Working Papers 5, Department of Applied Econometrics, Warsaw School of Economics.
  137. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," BORRADORES DE ECONOMIA 010502, BANCO DE LA REPÚBLICA.
  138. Campbell leith & Jim Malley, 2002. "Estimated General Equilibrium Models for the Evaluation of Monetary Policy in the US and Europe," Working Papers 2001_16, Business School - Economics, University of Glasgow.
  139. Harvey, David I. & Newbold, Paul, 2003. "The non-normality of some macroeconomic forecast errors," International Journal of Forecasting, Elsevier, vol. 19(4), pages 635-653.
  140. Lee, Hsiang-Tai, 2010. "Regime switching correlation hedging," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2728-2741, November.
  141. Norman R. Swanson & Nii Ayi Armah, 2011. "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers 201103, Rutgers University, Department of Economics.
  142. Lee, Hsiu-Yun & Chang, Wen-Ya, 2007. "Central bank intervention and exchange rate dynamics: A rationale for the regime-switching process of exchange rates," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 64-77, March.
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  883. Esteves, Paulo Soares, 2013. "Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice," Economic Modelling, Elsevier, vol. 33(C), pages 416-420.
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  885. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
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  887. Bharat Trehan, 2009. "Survey measures of expected inflation and the inflation process," Working Paper Series 2009-10, Federal Reserve Bank of San Francisco.
  888. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
  889. Carlos, Thiago C. & Marçal, Emerson Fernandes, 2013. "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Textos para discussão 346, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  890. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Businesss School.
  891. Garcia-Ferrer, Antonio & Queralt, Ricardo A., 1997. "A note on forecasting international tourism demand in Spain," International Journal of Forecasting, Elsevier, vol. 13(4), pages 539-549, December.
  892. Lee, Hsiang-Tai & Tsang, Wei-Lun, 2011. "Cross hedging single stock with American Depositary Receipt and stock index futures," Finance Research Letters, Elsevier, vol. 8(3), pages 146-157, September.
  893. BRATU SIMIONESCU, Mihaela, 2012. "Two Quantitative Forecasting Methods For Macroeconomic Indicators In Czech Republic," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 3(1), pages 71-87.
  894. Sadorsky, Perry, 2006. "Modeling and forecasting petroleum futures volatility," Energy Economics, Elsevier, vol. 28(4), pages 467-488, July.
  895. 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.
  896. Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003. "Dating and Forecasting the Belgian Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  897. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
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  899. Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003. "The out-of-sample success of term structure models as exchange rate predictors: a step beyond," Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May.
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  902. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  903. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
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  932. Hansson, Jesper & Jansson, Per & Lof, Marten, 2005. "Business survey data: Do they help in forecasting GDP growth?," International Journal of Forecasting, Elsevier, vol. 21(2), pages 377-389.
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  948. Lade, Gabriel & Lin, C.-Y. Cynthia & Smith, Aaron, 2014. "Policy Uncertainty under Market-Based Regulations: Evidence from the Renewable Fuel Standard," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170673, Agricultural and Applied Economics Association.
  949. Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," NBER Working Papers 18391, National Bureau of Economic Research, Inc.
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  951. Ying-Yi Hong & Ching-Ping Wu, 2012. "Day-Ahead Electricity Price Forecasting Using a Hybrid Principal Component Analysis Network," Energies, MDPI, Open Access Journal, vol. 5(11), pages 4711-4725, November.
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  954. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
  955. Jungjin Lee & Abdul Abiad & Prakash Kannan, 2009. "Evaluating Historical CGER Assessments; How Well Have they Predicted Subsequent Exchange Rate Movements?," IMF Working Papers 09/32, International Monetary Fund.
  956. 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).
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  959. Gustavo A. Marrero, 2004. "Component versus Tradicional Models to Forecast Quarterly National Account Aggregates: a Monte Carlo Experiment," Documentos de Trabajo del ICAE 0410, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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  962. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2007. "The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts," Tinbergen Institute Discussion Papers 07-036/4, Tinbergen Institute.
  963. G. Boero & E. Marrocu, 2002. "The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts," Working Paper CRENoS 200208, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
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  973. 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).
  974. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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  977. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, School of Economics and Management, University of Aarhus.
  978. Sarah Drought & Chris McDonald, 2011. "Forecasting house price inflation: a model combination approach," Reserve Bank of New Zealand Discussion Paper Series DP2011/07, Reserve Bank of New Zealand.
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  984. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
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  994. Kei Kawakami, 2008. "Forecast Selection by Conditional Predictive Ability Tests: An Application to the Yen/Dollar Exchange Rate," Bank of Japan Working Paper Series 08-E-1, Bank of Japan.
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  1013. Hofmann, Boris, 2008. "Do monetary indicators lead euro area inflation?," Working Paper Series 0867, European Central Bank.
  1014. Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
  1015. Gonzalo Calvo & Miguel Ricaurte, 2012. "Indicadores Sintéticos para la Proyección de Imacec en Chile," Working Papers Central Bank of Chile 656, Central Bank of Chile.
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  1021. Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz, 2010. "A Cyclical Model of Exchange Rate Volatility," Bristol Economics Discussion Papers 10/618, Department of Economics, University of Bristol, UK.
  1022. Konstantin A. Kholodilin & Boriss Siliverstovs, 2006. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 226(3), pages 234-259, May.
  1023. Harrison, Richard & Kapetanios, George & Yates, Tony, 2005. "Forecasting with measurement errors in dynamic models," International Journal of Forecasting, Elsevier, vol. 21(3), pages 595-607.
  1024. Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011. "Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?," Tinbergen Institute Discussion Papers 11-020/4, Tinbergen Institute.
  1025. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
  1026. Ullrich Heilemann & Herman Stekler, 2010. "Perspectives on Evaluating Macroeconomic Forecasts," Working Papers 2010-002, The George Washington University, Department of Economics, Research Program on Forecasting.
  1027. Sanders, Dwight R. & Manfredo, Mark R., 2004. "Predicting Pork Supplies: An Application of Multiple Forecast Encompassing," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(03), December.
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  1030. Harris, Richard D.F. & Nguyen, Anh, 2013. "Long memory conditional volatility and asset allocation," International Journal of Forecasting, Elsevier, vol. 29(2), pages 258-273.
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  1039. Döhrn, Roland & Schmidt, Christoph M. & Zimmermann, Tobias, 2008. "Inflation Forecasting with Inflation Sentiment Indicators," Ruhr Economic Papers 80, Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  1040. Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen, 2003. "A linear demand system within a Seemingly Unrelated Time Series Equation framework," Discussion Papers 345, Statistics Norway, Research Department.
  1041. Steven Van Passel & Emanuele Massetti & Robert Mendelsohn, 2012. "A Ricardian Analysis of the Impact of Climate Change on European Agriculture," Working Papers 2012.83, Fondazione Eni Enrico Mattei.
  1042. Gilles Mourre & Michael Thiel, 2006. "Monitoring short-term labour cost developments in the European Union: which indicators to trust?," European Economy - Economic Papers 258, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  1043. Carlo Altavilla & Paul De Grauwe, 2010. "Forecasting and combining competing models of exchange rate determination," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3455-3480.
  1044. Claus, Edda & Lucey, Brian M., 2012. "Equity market integration in the Asia Pacific region: Evidence from discount factors," Research in International Business and Finance, Elsevier, vol. 26(2), pages 137-163.
  1045. Bryan Campbell & Steve Murphy, 2006. "The Recent Performance of the Canadian Forecasting Industry," Canadian Public Policy, University of Toronto Press, vol. 32(1), pages 23-40, March.
  1046. Francesco Audrino & Robert Fernholz & Roberto Ferretti, 2007. "A Forecasting Model for Stock Market Diversity," Annals of Finance, Springer, vol. 3(2), pages 213-240, March.
  1047. Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
  1048. Hui Feng, 2005. "Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?," Econometrics Working Papers 0515, Department of Economics, University of Victoria.
  1049. Heij, C. & van Dijk, D.J.C. & Groenen, P.J.F., 2006. "Improved Construction of diffusion indexes for macroeconomic forecasting," Econometric Institute Research Papers EI 2006-03-REV, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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  1075. S. Hussain & R. Harrison & J. Ayres & S. Walter & J. Hawker & R. Wilson & G. Shukur, 2005. "Estimation and forecasting hospital admissions due to Influenza: Planning for winter pressure. The case of the West Midlands, UK," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(3), pages 191-205.
  1076. Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004. "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers 10756, National Bureau of Economic Research, Inc.
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  1079. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
  1080. José Julián Sidaoui & Carlos Capistrán & Daniel Chiquiar & Manuel Ramos Francia, 2009. "A Note on the Predictive Content of PPI over CPI Inflation: The Case of Mexico," Working Papers 2009-14, Banco de México.
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  1082. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
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  1086. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  1087. Franses, Philip Hans, 2013. "Improving judgmental adjustment of model-based forecasts," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 1-8.
  1088. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
  1089. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
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  1093. ODIA NDONGO, Yves Francis, 2007. "Les sources des fluctuations marcoéconomiques au Cameroun," MPRA Paper 1308, University Library of Munich, Germany.
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  1095. Berger, Helge & Österholm, Pär, 2008. "Does money matter for U.S. inflation? Evidence from Bayesian VARs," Discussion Papers 2008/9, Free University Berlin, School of Business & Economics.
  1096. Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005. "On the predictability of common risk factors in the US and UK interest rate swap markets:Evidence from non-linear and linear models," Keele Economics Research Papers KERP 2005/13, Centre for Economic Research, Keele University.
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  1103. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 533-558, December.
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  1105. Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 566-583, December.
  1106. 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.
  1107. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
  1108. 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.
  1109. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, vol. 28(2), pages 343-352.
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  1111. Wali Ullah & Yasumasa Matsuda, 2014. "Generalized Nelson-Siegel Term Structure Model : Do the second slope and curvature factors improve the in-sample fit and out-of-sample forecast?," TERG Discussion Papers 312, Graduate School of Economics and Management, Tohoku University.
  1112. Almeida, Caio Ibsen Rodrigues de & Vicente, José Valentim M., 2007. "The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model," Economics Working Papers (Ensaios Economicos da EPGE) 657, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  1113. Hibon, Michele & Evgeniou, Theodoros, 2005. "To combine or not to combine: selecting among forecasts and their combinations," International Journal of Forecasting, Elsevier, vol. 21(1), pages 15-24.
  1114. Chen, Shiyi, 2013. "What is the potential impact of a taxation system reform on carbon abatement and industrial growth in China?," Economic Systems, Elsevier, vol. 37(3), pages 369-386.
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  1396. Kim, Hyeongwoo & Durmaz, Nazif, 2009. "Bias Correction and Out-of-Sample Forecast Accuracy," MPRA Paper 16780, University Library of Munich, Germany.
  1397. Qian Zhang & Kin Keung Lai & Dongxiao Niu & Qiang Wang & Xuebin Zhang, 2012. "A Fuzzy Group Forecasting Model Based on Least Squares Support Vector Machine (LS-SVM) for Short-Term Wind Power," Energies, MDPI, Open Access Journal, vol. 5(9), pages 3329-3346, September.
  1398. Crespo Cuaresma, Jesús & Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael, 2004. "Forecasting electricity spot-prices using linear univariate time-series models," Applied Energy, Elsevier, vol. 77(1), pages 87-106, January.
  1399. Gupta, Rangan & Modise, Mampho P., 2012. "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, vol. 29(3), pages 908-916.
  1400. Tae-Hwy Lee & Weiping Yang, 2014. "Money-Income Granger-Causality in Quantiles," Working Papers 201423, University of California at Riverside, Department of Economics, revised Sep 2012.
  1401. Berardi, Andrea & Torous, Walter, 2002. "Does the term structure forecast," University of California at Los Angeles, Anderson Graduate School of Management qt4kd201gw, Anderson Graduate School of Management, UCLA.
  1402. Maria Gonzalez-Perez & Alfonso Novales, 2011. "The information content in a volatility index for Spain," SERIEs, Spanish Economic Association, vol. 2(2), pages 185-216, June.
  1403. J. Baixauli & Susana Alvarez, 2006. "Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 27-46, August.
  1404. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3076-3088.
  1405. Dufrénot, Gilles & Lardic, Sandrine & Mathieu, Laurent & Mignon, Valérie & Péguin-Feissolle, Anne, 2008. "Explaining the European exchange rates deviations: Long memory or non-linear adjustment?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 207-215, July.
  1406. Croonenbroeck, Carsten & Stadtmann, Georg, 2015. "Minimizing asymmetric loss in medium-term wind power forecasting," Renewable Energy, Elsevier, vol. 81(C), pages 197-208.
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  1408. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  1409. Helmut Herwartz & Florian Siedenburg, 2007. "Determinants of Current Account Imbalances in 16 OECD Countries: An Out-Of-Sample Perspective," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 143(2), pages 349-374, July.
  1410. Arratibel, Olga & Kamps, Christophe & Leiner-Killinger, Nadine, 2009. "Inflation forecasting in the new EU Member States," Working Paper Series 1015, European Central Bank.
  1411. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  1412. Linlin Niu & Xiu Xu & Ying Chen, 2015. "An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China," SFB 649 Discussion Papers SFB649DP2015-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  1413. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
  1414. Johannes Mayr & Dirk Ulbricht, 2007. "Log versus level in VAR forecasting: 16 Million empirical answers - expect the unexpected," Ifo Working Paper Series Ifo Working Paper No. 42, Ifo Institute for Economic Research at the University of Munich.
  1415. Elliott, Graham & Gargano, Antonio & Timmermann, Allan, 2015. "Complete subset regressions with large-dimensional sets of predictors," Journal of Economic Dynamics and Control, Elsevier, vol. 54(C), pages 86-110.
  1416. Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 388-418, July.
  1417. Fuertes, Ana-Maria & Izzeldin, Marwan & Kalotychou, Elena, 2009. "On forecasting daily stock volatility: The role of intraday information and market conditions," International Journal of Forecasting, Elsevier, vol. 25(2), pages 259-281.
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  1419. Amit Goyal & Ivo Welch, 2002. "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers 8788, National Bureau of Economic Research, Inc.
  1420. Kishor, N. Kundan, 2011. "Data revisions in India: Implications for monetary policy," Journal of Asian Economics, Elsevier, vol. 22(2), pages 164-173, April.
  1421. I.-Doun Kuo, 2011. "Pricing and hedging volatility smile under multifactor interest rate models," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 83-104, January.
  1422. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
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  1424. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, vol. 148(2), pages 114-123, February.
  1425. Sabine Stephan, 2005. "German Exports to the Euro Area - A Cointegration Approach," IMK Working Paper 06-2005, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  1426. Sara Serra & José R. Maria, 2008. "Forecasting investment: A fishing contest using survey data," Working Papers w200818, Banco de Portugal, Economics and Research Department.
  1427. Claus Brand & Hans-Eggert Reimers & Franz Seitz, 2003. "Narrow Money and the Business Cycle: Theoretical aspects and euro area evdence," Macroeconomics 0303012, EconWPA.
  1428. Simionescu, Mihaela, 2015. "A Comparative Analysis Of Macroeconomic Forecasts Accuracy In Spain And Romania," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(1), pages 67-74.
  1429. Francisco Blasques & Siem Jan Koopman & Max Mallee, 2014. "Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models," Tinbergen Institute Discussion Papers 14-105/III, Tinbergen Institute.
  1430. S. Brock Blomberg, 2001. ""Dumb And Dumber" Explanations For Exchange Rate Dynamics," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 187-216, November.
  1431. Martin Martens & Dick van Dijk & Michiel de Pooter, 2004. "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers 04-067/4, Tinbergen Institute.
  1432. Sanders, Dwight R. & Manfredo, Mark R., 2006. "Forecasting Basis Levels in the Soybean Complex: A Comparison of Time Series Methods," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 38(03), December.
  1433. Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, 03.
  1434. David Harvey & Paul Newbold, 2000. "Tests for multiple forecast encompassing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 471-482.
  1435. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
  1436. Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland, Institute for Economies in Transition.
  1437. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  1438. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.
  1439. Pablo Pincheira, 2006. "Conditional Evaluation of Exchange Rate Predictive Ability in Long Run Regressions," Working Papers Central Bank of Chile 378, Central Bank of Chile.
  1440. Thorsten Lehnert & Gildas Blanchard & Dennis Bams, 2014. "Evaluating Option Pricing Model Performance Using Model Uncertainty," LSF Research Working Paper Series 14-06, Luxembourg School of Finance, University of Luxembourg.
  1441. William Tomas Gavin, 2003. "Pronósticos del Comité Federal de Mercado Abierto: ¿Está toda la información dentro de la tendencia central?," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 207-236, abril-jun.
  1442. Leo Krippner, 2006. "A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 39-59.
  1443. Laura D´Amato & Lorena Garegnani & Emilio Blanco, 2008. "Forecasting Inflation in Argentina: Individual Models or Forecast Pooling?," BCRA Working Paper Series 200835, Central Bank of Argentina, Economic Research Department.
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  1445. Andreas Karatahansopoulos & Georgios Sermpinis & Jason Laws & Christian Dunis, 2014. "Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(8), pages 596-610, December.
  1446. Yunus Aksoy & Kurmas Akdogan, 2006. "Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?," Computing in Economics and Finance 2006 12, Society for Computational Economics.
  1447. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/01, University of Waikato, Department of Economics.
  1448. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
  1449. Wong, Woon K. & Tu, Anthony H., 2009. "Market imperfections and the information content of implied and realized volatility," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 58-79, January.
  1450. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  1451. Cumming, Douglas & Helge Haß, Lars & Schweizer, Denis, 2013. "Private equity benchmarks and portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3515-3528.
  1452. Rodrigo Alfaro & Andrés Sagner, 2009. "When RSI met the Binomial-Tree," Working Papers Central Bank of Chile 520, Central Bank of Chile.
  1453. 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.
  1454. Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak, 2008. "Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets," MPRA Paper 7460, University Library of Munich, Germany.
  1455. Leonidas Tsiaras, 2010. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," CREATES Research Papers 2010-34, School of Economics and Management, University of Aarhus.
  1456. Koutmos, Gregory & Knif, Johan, 2002. "Time variation and asymmetry in systematic risk: evidence from the Finnish stock exchange," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 261-271, July.
  1457. Galimberti, Jaqueson K. & Moura, Marcelo L., 2013. "Taylor rules and exchange rate predictability in emerging economies," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1008-1031.
  1458. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research.
  1459. Marcelo Cunha Medeiros & Álvaro Veiga & Carlos Eduardo Pedreira, 2000. "Modelling exchange rates: smooth transitions, neural networks, and linear models," Textos para discussão 432, Department of Economics PUC-Rio (Brazil).
  1460. Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, vol. 36(C), pages 332-340.
  1461. Sadorsky, Perry, 2002. "Time-varying risk premiums in petroleum futures prices," Energy Economics, Elsevier, vol. 24(6), pages 539-556, November.
  1462. Bentes, Sonia R. & Menezes, Rui, 2013. "On the predictability of realized volatility using feasible GLS," Journal of Asian Economics, Elsevier, vol. 28(C), pages 58-66.
  1463. Kai Carstensen, 2007. "Is core money growth a good and stable inflation predictor in the euro area?," Kiel Working Papers 1318, Kiel Institute for the World Economy.
  1464. Bronka Rzepkowski, 2001. "Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate," Working Papers 2001-03, CEPII research center.
  1465. Layton, Allan P. & Katsuura, Masaki, 2001. "Comparison of regime switching, probit and logit models in dating and forecasting US business cycles," International Journal of Forecasting, Elsevier, vol. 17(3), pages 403-417.
  1466. Mizrach, Bruce & Occhino, Filippo, 2008. "The impact of monetary policy on bond returns: A segmented markets approach," Journal of Economics and Business, Elsevier, vol. 60(6), pages 485-501.
  1467. Rodrigo Fuentes S. & Fabián Gredig U. & Mauricio Larraín E., 2008. "The output Gap in chile: Measurement and Evaluation," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 7-30, August.
  1468. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536.
  1469. Francesco Audrino, 2012. "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Society for Computational Economics, vol. 39(3), pages 315-335, March.
  1470. Kurach, Radosław & Stelmach, Jerzy, 2014. "Time-Varying Behaviour of Sector Beta Risk – The Case of Poland," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 139-159, March.
  1471. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
  1472. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
  1473. Zongwu Cai & Jiancheng Jiang and Jingshuang Zhang, 2013. "A New Test for Superior Predictive Ability," Papers 2013-10-14, Working Paper.
  1474. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  1475. Odusami, Babatunde Olatunji, 2010. "To consume or not: How oil prices affect the comovement of consumption and aggregate wealth," Energy Economics, Elsevier, vol. 32(4), pages 857-867, July.
  1476. Giacomo Sbrana & Andrea Silvestrini, 2014. "Random switching exponential smoothing and inventory forecasting," Temi di discussione (Economic working papers) 971, Bank of Italy, Economic Research and International Relations Area.
  1477. Ryan Ratcliff, 2010. "Predicting nominal exchange rate movements using skewness information from options prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 75-92.
  1478. Hung, Jui-Cheng & Lee, Ming-Chih & Liu, Hung-Chun, 2008. "Estimation of value-at-risk for energy commodities via fat-tailed GARCH models," Energy Economics, Elsevier, vol. 30(3), pages 1173-1191, May.
  1479. Fildes, Robert, 2006. "The forecasting journals and their contribution to forecasting research: Citation analysis and expert opinion," International Journal of Forecasting, Elsevier, vol. 22(3), pages 415-432.
  1480. Nelson Mark, 1998. "Fundamentals of the Real Dollar-Pound Rate: 1871-1994," Working Papers 98-14, Ohio State University, Department of Economics.
  1481. Stephen McKnight & Alexander Mihailov & Kerry Patterson & Fabio Rumler, 2014. "The Predictive Performance of Fundamental Inflation Concepts: An Application to the Euro Area and the United States," Economics & Management Discussion Papers em-dp2014-03, Henley Business School, Reading University.
  1482. Jean-Stéphane MESONNIER, 2007. "The predictive content of the real interest rate gap for macroeconomic variables in the euro area," Money Macro and Finance (MMF) Research Group Conference 2006 102, Money Macro and Finance Research Group.
  1483. Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
  1484. Andreas Breitenfellner & Jesus Crespo Cuaresma, 2008. "Crude Oil Prices and the USD/EUR Exchange Rate," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4.
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  1488. Hess, Dieter & Orbe, Sebastian, 2011. "Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test," CFR Working Papers 11-13, University of Cologne, Centre for Financial Research (CFR).
  1489. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
  1490. Kappler, Marcus, 2007. "Projecting the Medium-Term: Outcomes and Errors for GDP Growth," ZEW Discussion Papers 07-068, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  1491. Bruce Desmarais & Jeffrey Harden, 2014. "An unbiased model comparison test using cross-validation," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 2155-2173, July.
  1492. S. Borağan Aruoba & Allan Drazen & Razvan Vlaicu, 2015. "A Structural Model of Electoral Accountability," NBER Working Papers 21151, National Bureau of Economic Research, Inc.
  1493. Marcelo Bianconi & Joe A. Yoshino, 2013. "Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector," Discussion Papers Series, Department of Economics, Tufts University 0773, Department of Economics, Tufts University.
  1494. Giampiero M. Gallo & Massimiliano Marcellino, . "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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  1496. Yuan, Chunming, 2011. "Forecasting exchange rates: The multi-state Markov-switching model with smoothing," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 342-362, April.
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  1499. Semenychev, Valery & Kurkin, Eugen & Semenychev , Eugene, 2012. "Identification of product life cycle models by autoregression–moving average models and Groebner’s bases," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 25(1), pages 122-137.
  1500. Le Bihan, Herve & Sedillot, Franck, 2000. "Do core inflation measures help forecast inflation?: Out-of-sample evidence from French data," Economics Letters, Elsevier, vol. 69(3), pages 261-266, December.
  1501. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2014. "Firm return volatility and economic gains: The role of oil prices," Economic Modelling, Elsevier, vol. 38(C), pages 142-151.
  1502. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 2-54, January.
  1503. Carlos A. Medel & Sergio C. Salgado, 2012. "Does BIC Estimate and Forecast Better Than AIC?," Working Papers Central Bank of Chile 679, Central Bank of Chile.
  1504. Kieran Burgess & Nicholas Rohde, 2013. "Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data," Economics Bulletin, AccessEcon, vol. 33(1), pages 511-518.
  1505. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
  1506. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
  1507. Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  1508. Pablo Pincheira Brown & Álvaro García Marín, 2009. "Forecasting Inflation in Chile With an Accurate Benchmark," Working Papers Central Bank of Chile 514, Central Bank of Chile.
  1509. Maxime Leboeuf & Louis Morel, 2014. "Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions," Discussion Papers 14-3, Bank of Canada.
  1510. Matteo Fragetta & Giovanni Melina, 2013. "Identification of monetary policy in SVAR models: a data-oriented perspective," Empirical Economics, Springer, vol. 45(2), pages 831-844, October.
  1511. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
  1512. Kevin Moran & Veronika Dolar, 2002. "Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data," Working Papers 02-18, Bank of Canada.
  1513. Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
  1514. Pablo Pincheira & Andrés Gatty, 2014. "Forecasting Chilean Inflation with International Factors," Working Papers Central Bank of Chile 723, Central Bank of Chile.
  1515. Oliver Blaskowitz & Helmut Herwartz, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers SFB649DP2008-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  1516. Panday, Anjan, 2015. "Impact of monetary policy on exchange market pressure: The case of Nepal," Journal of Asian Economics, Elsevier, vol. 37(C), pages 59-71.
  1517. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2009. "Predicting Agri-Commodity Prices: an Asset Pricing Approach," Working Papers UWEC-2010-02, University of Washington, Department of Economics.
  1518. Laura D’Amato & Lorena Garegnani & Emilio Blanco, 2011. "Using the Flow of High Frequency Information for Short Term Forecasting of Economic Activity in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(64), pages 7-33, October -.
  1519. Robert Lehmann & Antje Weyh, 2014. "Forecasting employment in Europe: Are survey results helpful?," Ifo Working Paper Series Ifo Working Paper No. 182, Ifo Institute for Economic Research at the University of Munich.
  1520. Gustavo Silva Araújo & José Valentim Machado Vicente, 2014. "Indicadores Antecedentes Extraídos de Preços de Ativos em Corte Transversal," Working Papers Series 361, Central Bank of Brazil, Research Department.
  1521. Paul D. McNelis & Salih N. Neftci, 2006. "Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?," Working Papers 012006, Hong Kong Institute for Monetary Research.
  1522. Paya, Ivan & Matthews, Kent & Peel, David, 2005. "The term spread and real economic activity in the US inter-war period," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 331-343, June.
  1523. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
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  1525. Hamid Baghestani, 2009. "A Comparison of U.S. Housing Starts Forecasts," Economics Bulletin, AccessEcon, vol. 29(4), pages 2525-2530.
  1526. Kaufmann, Robert K. & Gopal, Sucharita & Tang, Xiaojing & Raciti, Steve M. & Lyons, Paul E. & Geron, Nick & Craig, Francis, 2013. "Revisiting the weather effect on energy consumption: Implications for the impact of climate change," Energy Policy, Elsevier, vol. 62(C), pages 1377-1384.
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  1528. Giulio PALOMBA & Emma SARNO & Alberto ZAZZARO, 2007. "Testing similarities of short-run inflation dynamics among EU countries after the Euro," Working Papers 289, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  1529. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
  1530. Ana-Maria Fuertes & Elena Kalotychou, 2004. "Elements in the Design of an Early Warning System for Sovereign Default," Computing in Economics and Finance 2004 231, Society for Computational Economics.
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  1670. Erick Lahura & Marco Vega, 2011. "Evaluation of Wavelet-based Core Inflation Measures: Evidence from Peru," Documentos de Trabajo / Working Papers 2011-320, Departamento de Economía - Pontificia Universidad Católica del Perú.
  1671. Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
  1672. Sweeney, Richard J., 2006. "Mean Reversion in G-10 Nominal Exchange Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(03), pages 685-708, September.
  1673. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.
  1674. Stavros Degiannakis, 2004. "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1333-1342.
  1675. Ran, Jimmy & Voon, Jan P. & Li, Guangzhong, 2008. "Effects of foreign currency component in monetary aggregates on money neutrality," Economics Letters, Elsevier, vol. 99(3), pages 435-438, June.
  1676. Marc-André Gosselin & Greg Tkacz, 2001. "Evaluating Factor Models: An Application to Forecasting Inflation in Canada," Working Papers 01-18, Bank of Canada.
  1677. Tsyplakov, Alexander, 2014. "Theoretical guidelines for a partially informed forecast examiner," MPRA Paper 55017, University Library of Munich, Germany.
  1678. Ané, Thierry & Ureche-Rangau, Loredana & Gambet, Jean-Benoît & Bouverot, Julien, 2008. "Robust outlier detection for Asia-Pacific stock index returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 326-343, October.
  1679. Camacho, Maximo, 2013. "Mixed-frequency VAR models with Markov-switching dynamics," Economics Letters, Elsevier, vol. 121(3), pages 369-373.
  1680. Camacho, Maximo, 2005. "Markov-switching stochastic trends and economic fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 135-158, January.
  1681. Luis F. Céspedes & Marcelo Ochoa & Claudio Soto, 2005. "The New Keynesian Phillips Curve in an Emerging Market Economy: The Case of Chile," Working Papers Central Bank of Chile 355, Central Bank of Chile.
  1682. Christophe Hurlin & Sebastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2015. "Risk Measure Inference," Working Papers halshs-00877279, HAL.
  1683. 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.
  1684. Candelon Bertrand & Dumitrescu Elena-Ivona & Hurlin Christophe, 2010. "How to evaluate an Early Warning System? Towards a United Statistical Framework for Assessing Financial Crises Forecasting Methods," Research Memorandum 046, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  1685. Nikolay Robinzonov & Gerhard Tutz & Torsten Hothorn, 2012. "Boosting techniques for nonlinear time series models," AStA Advances in Statistical Analysis, Springer, vol. 96(1), pages 99-122, January.
  1686. McElroy, Tucker & Wildi, Marc, 2013. "Multi-step-ahead estimation of time series models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 378-394.
  1687. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
  1688. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
  1689. Nektarios Aslanidis & Andrea Cipollini, 2007. "Leading indicator properties of the US corporate spreads," Money Macro and Finance (MMF) Research Group Conference 2006 115, Money Macro and Finance Research Group.
  1690. Paolo Surico, 2004. "Inflation Targeting and Nonlinear Policy Rules: The Case of Asymmetric Preferences (new title: The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences)," CESifo Working Paper Series 1280, CESifo Group Munich.
  1691. Liu, Xiaochun, 2015. "Modeling time-varying skewness via decomposition for out-of-sample forecast," International Journal of Forecasting, Elsevier, vol. 31(2), pages 296-311.
  1692. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  1693. Gil-Alana, Luis A. & Loomis, David & Payne, James E., 2010. "Does energy consumption by the US electric power sector exhibit long memory behavior?," Energy Policy, Elsevier, vol. 38(11), pages 7512-7518, November.
  1694. Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
  1695. Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013. "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers 21/13, Monash University, Department of Econometrics and Business Statistics.
  1696. Christensen, Bent Jesper & Raahauge, Peter, 2004. "Latent Utility Shocks in a Structural Empirical Asset Pricing Model," Working Papers 2004-7, Copenhagen Business School, Department of Finance.
  1697. Marco Huwiler & Daniel Kaufmann, 2013. "Combining disaggregate forecasts for inflation: The SNB's ARIMA model," Economic Studies 2013-07, Swiss National Bank.
  1698. Paolo Guarda, 2002. "Potential output and the output gap in Luxembourg: some alternative methods," BCL working papers 4, Central Bank of Luxembourg.
  1699. Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, EconWPA.
  1700. Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C., 2006. "Time series forecasting by principal covariate regression," Econometric Institute Research Papers EI 2006-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  1701. Eran Raviv & Kees E. Bouwman & Dick van Dijk, 2013. "Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices," Tinbergen Institute Discussion Papers 13-068/III, Tinbergen Institute.
  1702. repec:onb:oenbwp:y:2009:i:2:b:1 is not listed on IDEAS
  1703. repec:lan:wpaper:3046 is not listed on IDEAS
  1704. Anton Andriyashin, 2008. "Stock Picking via Nonsymmetrically Pruned Binary Decision Trees," SFB 649 Discussion Papers SFB649DP2008-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  1705. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers 12-140/IV/DSF46, Tinbergen Institute.
  1706. Jamie Armour, 2006. "An Evaluation of Core Inflation Measures," Working Papers 06-10, Bank of Canada.
  1707. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  1708. Yoshua Bengio & François Gingras & Claude Nadeau, 2002. "On Out-of-Sample Statistics for Time-Series," CIRANO Working Papers 2002s-51, CIRANO.
  1709. Baghestani, Hamid, 2011. "Federal Reserve and private forecasts of growth in investment," Journal of Economics and Business, Elsevier, vol. 63(4), pages 290-305, July.
  1710. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  1711. Franses, Ph.H.B.F. & van Dijk, D.J.C., 1999. "Outlier detection in the GARCH (1,1) model," Econometric Institute Research Papers EI 9926-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  1712. Roque Montero & Javier García-Cicco, 2012. "Modelo y Pronóstico del Precio del Cobre: Un Enfoque de Cambio de Regímenes," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pages 099-116, August.
  1713. repec:fda:fdaddt:2002-05 is not listed on IDEAS
  1714. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  1715. Heij, C. & van Dijk, D.J.C. & Groenen, P.J.F., 2009. "Macroeconomic forecasting with real-time data: an empirical comparison," Econometric Institute Research Papers EI 2009-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  1716. Houda Ben Hadj Boubaker, 2011. "The Forecasting Performance of Seasonal and Nonlinear Models," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 1(1), pages 26-39, March.
  1717. Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.