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Citations for "Tests of conditional predictive ability"

by Raffaella Giacomini & Halbert White

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  1. Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2015. "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series CIRJE-F-975, CIRJE, Faculty of Economics, University of Tokyo.
  2. Hubrich, Kirstin, 2003. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series 0247, European Central Bank.
  3. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers 32462, Iowa State University, Department of Economics.
  4. 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.
  5. repec:dgr:uvatin:20120099 is not listed on IDEAS
  6. 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.
  7. repec:dgr:uvatin:2008105 is not listed on IDEAS
  8. 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.
  9. Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre.
  10. Ando, Tomohiro & Tsay, Ruey, 2010. "Predictive likelihood for Bayesian model selection and averaging," International Journal of Forecasting, Elsevier, vol. 26(4), pages 744-763, October.
  11. repec:dgr:uvatin:2012099 is not listed on IDEAS
  12. Javier Pereda, 2011. "Estimación de la tasa natural de interés para Perú: un enfoque financiero," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 429-459, octubre-d.
  13. Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
  14. Fawcett, Nicholas & Kapetanios, George & Mitchell, James & Price, Simon, 2014. "Generalised density forecast combinations," Bank of England working papers 492, Bank of England.
  15. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
  16. Piergiorgio Alessandri & Haroon Mumtaz, 2013. "Financial conditions and density forecasts for US Output and inflation," Joint Research Papers 4, Centre for Central Banking Studies, Bank of England.
  17. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
  18. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute.
  19. Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers 13-28, Duke University, Department of Economics.
  20. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
  21. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche 0948, CIRPEE.
  22. Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
  23. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013. "Modeling and predicting the CBOE market volatility index," Textos para discussão 342, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  24. Pablo Pincheira, 2012. "A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 04-39, December.
  25. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2010. "Variable Selection, Estimation and Inference for Multi-period Forecasting Problems," DNB Working Papers 250, Netherlands Central Bank, Research Department.
  26. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
  27. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  28. Jordà, Òscar & Marcellino, Massimiliano, 2008. "Path Forecast Evaluation," CEPR Discussion Papers 7009, C.E.P.R. Discussion Papers.
  29. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  30. Theodore M. Crone & N. Neil K. Khettry & Loretta J. Mester & Jason A. Novak, 2008. "Core measures of inflation as predictors of total inflation," Working Papers 08-9, Federal Reserve Bank of Philadelphia.
  31. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
  32. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods and Applications, Springer, vol. 18(4), pages 555-583, November.
  33. Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics.
  34. 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.
  35. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2012. "Can Oil Prices Forecast Exchange Rates?," NBER Working Papers 17998, National Bureau of Economic Research, Inc.
  36. repec:dgr:uvatin:2013061 is not listed on IDEAS
  37. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
  38. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., 2011. "Scoring rules and survey density forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 379-393, April.
  39. Michael P. Clements & Ana Beatriz Galv�o, 2011. "Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models," Working Papers 678, Queen Mary University of London, School of Economics and Finance.
  40. Alexander Chudik & M. Hashem Pesaran, 2007. "Infinite Dimensional VARs and Factor Models," CESifo Working Paper Series 2176, CESifo Group Munich.
  41. Rossi, Barbara & Sekhposyan, Tatevik, 2010. "Have economic models' forecasting performance for US output growth and inflation changed over time, and when?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 808-835, October.
  42. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
  43. Nikolsko-Rzhevskyy, Alex & Prodan, Ruxandra, 2012. "Markov switching and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 28(2), pages 353-365.
  44. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank, Research Centre.
  45. Artis, Michael J & Galvão, Ana Beatriz C & Marcellino, Massimiliano, 2003. "The Transmission Mechanism in a Changing World," CEPR Discussion Papers 4014, C.E.P.R. Discussion Papers.
  46. Jaqueson Galimberti & Michele Berardi, 2014. "A Note on the Representative Adaptive Learning Algorithm," KOF Working papers 14-356, KOF Swiss Economic Institute, ETH Zurich.
  47. Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  48. Golinelli, Roberto & Parigi, Giuseppe, 2014. "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, vol. 30(4), pages 847-862.
  49. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, vol. 44(2), pages 435-453, April.
  50. Todd E. Clark & Michael W. McCracken, 2009. "Nested forecast model comparisons: a new approach to testing equal accuracy," Research Working Paper RWP 09-11, Federal Reserve Bank of Kansas City.
  51. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators under Real-Time Condition," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 54(4), pages 293-318.
  52. Giovanni Calice & Christos Ioannidis & Julian Williams, 2011. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," CESifo Working Paper Series 3583, CESifo Group Munich.
  53. Robinson Durán & Evelyn Garrido & Carolina Godoy & Juan de Dios Tena, 2012. "Predicción de la inflación en México con modelos desagregados por componente," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 133-167.
  54. Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper RWP 04-03, Federal Reserve Bank of Kansas City.
  55. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
  56. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford.
  57. Garratt, Anthony & Mitchell, James & Vahey, Shaun, 2010. "Measuring Output Gap Uncertainty," CEPR Discussion Papers 7742, C.E.P.R. Discussion Papers.
  58. Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
  59. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
  60. Medel, Carlos A., 2012. "How informative are in-sample information criteria to forecasting? the case of Chilean GDP," MPRA Paper 35949, University Library of Munich, Germany.
  61. Jian Wang & Jason J. Wu, 2008. "The Taylor rule and forecast intervals for exchange rates," Globalization and Monetary Policy Institute Working Paper 22, Federal Reserve Bank of Dallas.
  62. Katja Drechsel & Rolf Scheufele, 2010. "Should We Trust in Leading Indicators? Evidence from the Recent Recession," IWH Discussion Papers 10, Halle Institute for Economic Research.
  63. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre.
  64. D'Agostino, Antonello & Giannone, Domenico & Surico, Paolo, 2007. "(Un)Predictability and Macroeconomic Stability," CEPR Discussion Papers 6594, C.E.P.R. Discussion Papers.
  65. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," Harvard Institute of Economic Research Working Papers 2084, Harvard - Institute of Economic Research.
  66. Amisano, Gianni & Giacomini, Raffaella, 2007. "Comparing Density Forecasts via Weighted Likelihood Ratio Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 177-190, April.
  67. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
  68. 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.
  69. Knüppel, Malte & Schultefrankenfeld, Guido, 2013. "The empirical (ir)relevance of the interest rate assumption for central bank forecasts," Discussion Papers 11/2013, Deutsche Bundesbank, Research Centre.
  70. 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.
  71. Hubrich, Kirstin & West, Kenneth D., 2009. "Forecast evaluation of small nested model sets," Working Paper Series 1030, European Central Bank.
  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, School of Economics and Management, University of Aarhus.
  73. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: el caso colombiano," COYUNTURA ECONÓMICA, FEDESARROLLO.
  74. Pablo Pincheira, 2010. "A Real Time Evaluation of the Central Bank of Chile GDP Growth Forecasts," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 37-73, January-J.
  75. Wilmer Osvaldo Martínez-Rivera & Manuel Dario Hernández-Bejarano & Juan Manuel Julio-Román, 2014. "On Forecast Evaluation," Borradores de Economia 825, Banco de la Republica de Colombia.
  76. 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.
  77. Carriero, A. & Kapetanios, G. & Marcellino, M., 2009. "Forecasting exchange rates with a large Bayesian VAR," International Journal of Forecasting, Elsevier, vol. 25(2), pages 400-417.
  78. Pesaran, M Hashem & Pick, Andreas & Timmermann, Allan G, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CEPR Discussion Papers 7139, C.E.P.R. Discussion Papers.
  79. Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers 08-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  80. Boriss Siliverstovs & Kinstantin Kholodilim, 2009. "On selection of components for a diffusion index model: it's not the size, it's how you use it," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1249-1254.
  81. 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.
  82. Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2015. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," Working Papers 1337, Queen's University, Department of Economics.
  83. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
  84. repec:dgr:uvatin:20130113 is not listed on IDEAS
  85. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers 2, Centre for Central Banking Studies, Bank of England.
  86. repec:dgr:uvatin:2011172 is not listed on IDEAS
  87. 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, revised Jul 2007.
  88. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014. "Causality and predictability in distribution: The ethanol–food price relation revisited," Energy Economics, Elsevier, vol. 42(C), pages 152-160.
  89. Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010. "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(3), pages 305-334, Summer.
  90. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  91. Idrovo Aguirre, Byron & Tejada, Mauricio, 2010. "Modelos de predicción para la inflación de Chile
    [Inflation forecast models for Chile]
    ," MPRA Paper 31586, University Library of Munich, Germany, revised 26 Mar 2010.
  92. Monticini, Andrea & Ravazzolo, Francesco, 2014. "Forecasting the intraday market price of money," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 304-315.
  93. Manzan, Sebastiano & Zerom, Dawit, 2013. "Are macroeconomic variables useful for forecasting the distribution of U.S. inflation?," International Journal of Forecasting, Elsevier, vol. 29(3), pages 469-478.
  94. Côrtes Neri, Marcelo, 2014. "Brazil's Middle Classes," Economics Working Papers (Ensaios Economicos da EPGE) 759, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  95. Ghent, Andra C., 2009. "Comparing DSGE-VAR forecasting models: How big are the differences?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 864-882, April.
  96. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus.
  97. Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
  98. Euler Pereira G. de Mello & Francisco Marcos R. Figueiredo, 2014. "Assessing the Short-term Forecasting Power of Confidence Indices," Working Papers Series 371, Central Bank of Brazil, Research Department.
  99. Niels S. Hansen & Asger Lunde, 2013. "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers 2013-36, School of Economics and Management, University of Aarhus.
  100. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
  101. Gadea Rivas, Maria Dolores & Pérez-Quirós, Gabriel, 2012. "The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit," CEPR Discussion Papers 9269, C.E.P.R. Discussion Papers.
  102. Clements, Michael P. & Galvão, Ana Beatriz, 2013. "Forecasting with vector autoregressive models of data vintages: US output growth and inflation," International Journal of Forecasting, Elsevier, vol. 29(4), pages 698-714.
  103. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Measuring output gap nowcast uncertainty," International Journal of Forecasting, Elsevier, vol. 30(2), pages 268-279.
  104. Daniel Fernández, 2011. "Suficiencia del capital y previsiones de la banca uruguaya por su exposición al sector industrial," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 517-589, octubre-d.
  105. Marco Lombardi & Raphael A. Espinoza & Fabio Fornari, 2009. "The Role of Financial Variables in Predicting Economic Activity in the Euro Area," IMF Working Papers 09/241, International Monetary Fund.
  106. Gary Koop & Simon Potter, 2003. "Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging," Discussion Papers in Economics 04/16, Department of Economics, University of Leicester.
  107. Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
  108. Jordà, Òscar & Taylor, Alan M., 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
  109. Christian Dreger & Jürgen Wolters, 2010. "Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation," Discussion Papers of DIW Berlin 1064, DIW Berlin, German Institute for Economic Research.
  110. Pirschel, Inske & Wolters, Maik, 2014. "Forecasting German key macroeconomic variables using large dataset methods," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100587, Verein für Socialpolitik / German Economic Association.
  111. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
  112. 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.
  113. Marco Aiolfi & Carlo Ambrogio Favero, . "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  114. Travis Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 357-387 National Bureau of Economic Research, Inc.
  115. Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.
  116. 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.
  117. 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.
  118. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  119. repec:dgr:uvatin:20130061 is not listed on IDEAS
  120. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
  121. Travis J. Berge, 2014. "Forecasting Disconnected Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 713-735, 08.
  122. Allan Timmermann & M. Hashem Pesaran, 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series 990, CESifo Group Munich.
  123. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," CESifo Working Paper Series 4807, CESifo Group Munich.
  124. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
  125. Tamara Burdisso & Eduardo Ariel Corso, 2011. "Incertidumbre y dolarización de cartera: el caso argentino en el último medio siglo," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 461-515, octubre-d.
  126. Bec, Frédérique & Gollier, Christian, 2014. "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup," TSE Working Papers 14-523, Toulouse School of Economics (TSE).
  127. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  128. Jeroen Rombouts & Lars Peter Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
  129. Fouquau, Julien & Bessec, Marie & Méritet, Sophie, 2014. "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Economics Papers from University Paris Dauphine 123456789/13532, Paris Dauphine University.
  130. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers 2008-23, School of Economics, The University of New South Wales.
  131. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
  132. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013. "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers 13-113/III, Tinbergen Institute.
  133. 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.
  134. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CIRJE F-Series CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo.
  135. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
  136. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Working Papers 07-8, Bank of Canada.
  137. Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.
  138. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.
  139. Gupta, Rangan & Steinbach, Rudi, 2013. "A DSGE-VAR model for forecasting key South African macroeconomic variables," Economic Modelling, Elsevier, vol. 33(C), pages 19-33.
  140. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City.
  141. Bessec, Marie, 2010. "Etalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture," Economics Papers from University Paris Dauphine 123456789/10077, Paris Dauphine University.
  142. 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.
  143. 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.
  144. 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.
  145. Issler, João Victor & Lima, Luiz Renato Regis de Oliveira, 2007. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 642, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.