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Testing Dependence Among Serially Correlated Multi-category Variables
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Cited by:
- Ben Jacobsen & Ben R. Marshall & Nuttawat Visaltanachoti, 2019. "Stock Market Predictability and Industrial Metal Returns," Management Science, INFORMS, vol. 65(7), pages 3026-3042, July.
- Pönkä, Harri, 2016.
"Real oil prices and the international sign predictability of stock returns,"
Finance Research Letters, Elsevier, vol. 17(C), pages 79-87.
- Pönkä, Harri, 2015. "Real oil prices and the international sign predictability of stock returns," MPRA Paper 68330, University Library of Munich, Germany.
- Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
- Christian Seiler, 2012.
"The Data Sets of the LMU-ifo Economics & Business Data Center – A Guide for Researchers,"
Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 132(4), pages 609-618.
- Christian Seiler, 2012. "The Data Sets of the LMU-ifo Economics & Business Data Center - A Guide for Researchers," ifo Working Paper Series 138, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Ellwanger, Reinhard & Snudden, Stephen, 2023. "Forecasts of the real price of oil revisited: Do they beat the random walk?," Journal of Banking & Finance, Elsevier, vol. 154(C).
- Etienne, Xiaoli L., 2015.
"Financialization of Agricultural Commodity Markets: Do Financial Data Help to Forecast Agricultural Prices?,"
2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California
205124, Agricultural and Applied Economics Association.
- Etienne, Xiaoli, 2015. "Financialization of Agricultural Commodity Markets: Do Financial Data Help to Forecast Agricultural Prices," 2015 Conference, August 9-14, 2015, Milan, Italy 211626, International Association of Agricultural Economists.
- Liu, Jingzhen & Kemp, Alexander, 2019. "Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables," Energy Economics, Elsevier, vol. 81(C), pages 672-686.
- Shiu-Sheng Chen, 2014.
"Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks,"
Economic Inquiry, Western Economic Association International, vol. 52(2), pages 830-844, April.
- Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
- Geoff Kenny & Thomas Kostka & Federico Masera, 2015.
"Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro-Area SPF,"
International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 1-46, December.
- Kenny, Geoff & Kostka, Thomas & Masera, Federico, 2013. "Can macroeconomists forecast risk? Event-based evidence from the euro area SPF," Working Paper Series 1540, European Central Bank.
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013.
"Forecasting the Price of Oil,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507,
Elsevier.
- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
- Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the price of oil," International Finance Discussion Papers 1022, Board of Governors of the Federal Reserve System (U.S.).
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
- Tsuchiya, Yoichi, 2013. "Do corporate executives have accurate predictions for the economy? A directional analysis," Economic Modelling, Elsevier, vol. 30(C), pages 167-174.
- Hashmat Khan & Santosh Upadhayaya, 2020.
"Does business confidence matter for investment?,"
Empirical Economics, Springer, vol. 59(4), pages 1633-1665, October.
- Hashmat Khan & Santosh Upadhayaya, 2017. "Does Business Confidence Matter for Investment?," Carleton Economic Papers 17-13, Carleton University, Department of Economics, revised 20 Mar 2019.
- Heijdra, Ben J. & Ligthart, Jenny E., 2007.
"Fiscal policy, monopolistic competition, and finite lives,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 325-359, January.
- Heijdra, B.J. & Ligthart, J.E., 2005. "Fiscal Policy, Monopolistic Competition and Finite Lives," Other publications TiSEM 305239e1-d4e2-4d0e-b950-b, Tilburg University, School of Economics and Management.
- Heijdra, B.J. & Ligthart, J.E., 2006. "Fiscal Policy, Monopolistic Competition and Finite Lives," Other publications TiSEM 9e765b06-aa23-4598-b139-6, Tilburg University, School of Economics and Management.
- Ben J. Heijdra & Jenny Ligthart, 2006. "Fiscal Policy, Monopolistic Competition, and Finite Lives," CESifo Working Paper Series 1661, CESifo.
- Heijdra, B.J. & Ligthart, J.E., 2005. "Fiscal Policy, Monopolistic Competition and Finite Lives," Discussion Paper 2005-126, Tilburg University, Center for Economic Research.
- Steven Trypsteen, 2014. "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).
- Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
- Harri Ponka, 2017.
"The Role of Credit in Predicting US Recessions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 469-482, August.
- Harri Pönkä, 2015. "The Role of Credit in Predicting US Recessions," CREATES Research Papers 2015-48, Department of Economics and Business Economics, Aarhus University.
- Jixiang, Zhang & Feng, Ma, 2024. "Video apps user engagement and stock market volatility: Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
- Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011. "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers 11-002/4, Tinbergen Institute.
- Degiannakis, Stavros & Filis, George, 2017.
"Forecasting oil price realized volatility using information channels from other asset classes,"
Journal of International Money and Finance, Elsevier, vol. 76(C), pages 28-49.
- Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
- Christian Seiler, 2014. "The determinants of unit non-response in the Ifo Business Survey," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 8(3), pages 161-177, September.
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2017.
"Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 275-295, March.
- Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2015. "Inside the crystal ball: New approaches to predicting the gasoline price at the pump," CFS Working Paper Series 500, Center for Financial Studies (CFS).
- Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2015. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," CEPR Discussion Papers 10362, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2016. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," CESifo Working Paper Series 5759, CESifo.
- Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2019.
"Real‐time forecast combinations for the oil price,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 456-462, April.
- Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2018. "Real-time forecast combinations for the oil price," CAMA Working Papers 2018-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Anthony Garratt & Shaun P. Vahey & Ynuyi Zhang, 2018. "Real-time Forecast Combinations for the Oil Price," National Institute of Economic and Social Research (NIESR) Discussion Papers 494, National Institute of Economic and Social Research.
- Kitazawa, Yoshitsugu, 2022. "Transformations and moment conditions for dynamic fixed effects logit models," Journal of Econometrics, Elsevier, vol. 229(2), pages 350-362.
- Christiane Baumeister & Lutz Kilian, 2015.
"Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 338-351, July.
- Christiane Baumeister & Lutz Kilian, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Staff Working Papers 13-28, Bank of Canada.
- Kilian, Lutz & Baumeister, Christiane, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," CEPR Discussion Papers 9569, C.E.P.R. Discussion Papers.
- Baumeister, Christiane & Kilian, Lutz, 2013. "Forecasting the real price of oil in a changing world: A forecast combination approach," CFS Working Paper Series 2013/11, Center for Financial Studies (CFS).
- Majid M. Al-Sadoon & Tong Li & M. Hashem Pesaran, 2017.
"Exponential class of dynamic binary choice panel data models with fixed effects,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 898-927, October.
- Al-Sadoon, Majid M. & Li, Tong & Pesaran, M. Hashem, 2012. "An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects," IZA Discussion Papers 7054, Institute of Labor Economics (IZA).
- Majid M. Al-Sadoon & Tong Li & M. Hashem Pesaran, 2012. "An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects," CESifo Working Paper Series 4033, CESifo.
- Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2015.
"Do high-frequency financial data help forecast oil prices? The MIDAS touch at work,"
International Journal of Forecasting, Elsevier, vol. 31(2), pages 238-252.
- Kilian, Lutz & Baumeister, Christiane, 2013. "Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work," CEPR Discussion Papers 9768, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Pierre Guérin & Lutz Kilian, 2014. "Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work," Staff Working Papers 14-11, Bank of Canada.
- Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2013. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," CFS Working Paper Series 2013/22, Center for Financial Studies (CFS).
- Christiane Baumeister & Lutz Kilian, 2014.
"What Central Bankers Need To Know About Forecasting Oil Prices,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 869-889, August.
- Kilian, Lutz & Baumeister, Christiane, 2012. "What Central Bankers Need to Know about Forecasting Oil Prices," CEPR Discussion Papers 9118, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2013. "What Central Bankers Need to Know about Forecasting Oil Prices," Staff Working Papers 13-15, Bank of Canada.
- Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
- Duncan, Roberto & Martínez-García, Enrique, 2019.
"New perspectives on forecasting inflation in emerging market economies: An empirical assessment,"
International Journal of Forecasting, Elsevier, vol. 35(3), pages 1008-1031.
- Roberto Duncan & Enrique Martínez García, 2018. "New Perspectives on Forecasting Inflation in Emerging Market Economies: An Empirical Assessment," Globalization Institute Working Papers 338, Federal Reserve Bank of Dallas.
- Kilian, Lutz & Baumeister, Christiane, 2014.
"A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil,"
CEPR Discussion Papers
10162, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2016. "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil," CESifo Working Paper Series 5782, CESifo.
- 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).
- Christiane Baumeister & Lutz Kilian, 2016. "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil," Staff Working Papers 16-18, Bank of Canada.
- Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2016.
"A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 249-280, January.
- Natalia Bailey & Sean Holly & N. Hashem Pesaran, 2013. "A Two Stage Approach to Spatiotemporal Analysis with Strong and weak cross Sectional Dependence," Cambridge Working Papers in Economics 1362, Faculty of Economics, University of Cambridge.
- Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2014. "A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence," CESifo Working Paper Series 4592, CESifo.
- Dawud Ansari & Mariza Montes de Oca Leon & Helen Schlüter, 2021. "What Drives Saudi Airstrikes in Yemen? An Empirical Analysis of the Dynamics of Coalition Airstrikes, Houthi Attacks, and the Oil Market," Discussion Papers of DIW Berlin 1959, DIW Berlin, German Institute for Economic Research.
- Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2018. "Forecasting the prices of crude oil using the predictor, economic and combined constraints," Economic Modelling, Elsevier, vol. 75(C), pages 237-245.
- Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015.
"Macroeconomic forecasting during the Great Recession: The return of non-linearity?,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 664-679.
- Ferrara, L. & Marcellino, M. & Mogliani, M., 2012. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," Working papers 383, Banque de France.
- Laurent Ferrara & Massimiliano Marcellino & Matteo Mogliani, 2015. "Macroeconomic forecasting during the Great Recession: the return of non-linearity?," Post-Print hal-01635951, HAL.
- Marcellino, Massimiliano & Ferrara, Laurent & Mogliani, Matteo, 2013. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," CEPR Discussion Papers 9313, C.E.P.R. Discussion Papers.
- Kajal Lahiri & Liu Yang, 2018.
"Confidence Bands for ROC Curves With Serially Dependent Data,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 115-130, January.
- Kajal Lahiri & Liu Yang, 2013. "Confidence Bands for ROC Curves with Serially Dependent Data," Discussion Papers 13-07, University at Albany, SUNY, Department of Economics.
- Helmut Elsinger, 2020. "Serial Correlation in Contingency Tables (Helmut Elsinger)," Working Papers 228, Oesterreichische Nationalbank (Austrian Central Bank).
- Roberto Duncan & Enrique Martínez García, 2015. "Forecasting local inflation in Open Economies: What Can a NOEM Model Do?," Globalization Institute Working Papers 235, Federal Reserve Bank of Dallas, revised 21 Dec 2022.
- Tsuchiya, Yoichi, 2016. "Do production managers predict turning points? A directional analysis," Economic Modelling, Elsevier, vol. 58(C), pages 1-8.
- Sebastian Link, 2019.
"The Price and Employment Response of Firms to the Introduction of Minimum Wages,"
CESifo Working Paper Series
7575, CESifo.
- Link, Sebastian, 2022. "The Price and Employment Response of Firms to the Introduction of Minimum Wages," IZA Discussion Papers 15701, Institute of Labor Economics (IZA).
- Christiane Baumeister & Lutz Kilian, 2011.
"Real-Time Forecasts of the Real Price of Oil,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 326-336, September.
- Kilian, Lutz & Baumeister, Christiane, 2011. "Real-Time Forecasts of the Real Price of Oil," CEPR Discussion Papers 8414, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2011. "Real-Time Forecasts of the Real Price of Oil," Staff Working Papers 11-16, Bank of Canada.
- Tsuchiya, Yoichi, 2016. "Directional analysis of fiscal sustainability: Revisiting Domar's debt sustainability condition," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 189-201.
- Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & Yelou, Clement, 2018.
"Oil Price Forecasts For The Long Term: Expert Outlooks, Models, Or Both?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 581-599, April.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Clement Yelou, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Working Papers 1508E, University of Ottawa, Department of Economics.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Clement Yelou, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Cahiers de recherche CREATE 2015-3, CREATE.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Clement Yelou, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Working Papers 1510E, University of Ottawa, Department of Economics.
- Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & Yelou, Clement, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Working Papers 208082, University of Laval, Center for Research on the Economics of the Environment, Agri-food, Transports and Energy (CREATE).
- Christiane Baumeister & Lutz Kilian & Xiaoqing Zhou, 2013.
"Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis,"
Staff Working Papers
13-25, Bank of Canada.
- Baumeister, Christiane & Kilian, Lutz, 2013. "Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis," CFS Working Paper Series 2013/09, Center for Financial Studies (CFS).
- Kilian, Lutz & Baumeister, Christiane & Zhou, Xiaoqing, 2013. "Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis," CEPR Discussion Papers 9572, C.E.P.R. Discussion Papers.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2020.
"Markov-Switching Three-Pass Regression Filter,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 285-302, April.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-switching three-pass regression filter," Working Papers 1748, Banco de España.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-Switching Three-Pass Regression Filter," Staff Working Papers 17-13, Bank of Canada.
- Gu, Wentao & Peng, Yiqing, 2019. "Forecasting the market return direction based on a time-varying probability density model," Technological Forecasting and Social Change, Elsevier, vol. 148(C).
- Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
- Edward S. Knotek & Saeed Zaman, 2017.
"Nowcasting U.S. Headline and Core Inflation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(5), pages 931-968, August.
- Edward S. Knotek & Saeed Zaman, 2014. "Nowcasting U.S. Headline and Core Inflation," Working Papers (Old Series) 1403, Federal Reserve Bank of Cleveland.
- Markos Farag, Stephen Snudden, Greg Upton, 2024. "Can Futures Prices Predict the Real Price of Primary Commodities?," LCERPA Working Papers jc0145, Laurier Centre for Economic Research and Policy Analysis, revised 2024.
- Andrea Bastianin & Elisabetta Mirto & Yan Qin & Luca Rossini, 2024.
"What drives the European carbon market? Macroeconomic factors and forecasts,"
Papers
2402.04828, arXiv.org, revised Feb 2024.
- Bastianin, Andrea & Mirto, Elisabetta & Qin, Yan & Rossini, Luca, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," FEEM Working Papers 339740, Fondazione Eni Enrico Mattei (FEEM).
- Andrea Bastianin & Elisabetta Mirto & Yan Qin & Luca Rossini, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," Working Papers 2024.02, Fondazione Eni Enrico Mattei.
- Morita, Hiroshi & 森田, 裕史, 2019. "Forecasting Public Investment Using Daily Stock Returns," Discussion paper series HIAS-E-88, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Harri Pönkä, 2017.
"Predicting the direction of US stock markets using industry returns,"
Empirical Economics, Springer, vol. 52(4), pages 1451-1480, June.
- Pönkä, Harri, 2014. "Predicting the direction of US stock markets using industry returns," MPRA Paper 62942, University Library of Munich, Germany.
- Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2023.
"Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts,"
Energy Economics, Elsevier, vol. 121(C).
- Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022. "Asymmetry and Interdependence when Evaluating U.S. Energy Information Administration Forecasts," MPRA Paper 115559, University Library of Munich, Germany.
- Harri Pönkä, 2018.
"Sentiment and sign predictability of stock returns,"
Economics Bulletin, AccessEcon, vol. 38(3), pages 1676-1684.
- Pönkä, Harri, 2017. "Sentiment and sign predictability of stock returns," MPRA Paper 81861, University Library of Munich, Germany.
- Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2014.
"Are there gains from pooling real-time oil price forecasts?,"
Energy Economics, Elsevier, vol. 46(S1), pages 33-43.
- Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2014. "Are there Gains from Pooling Real-Time Oil Price Forecasts?," CEPR Discussion Papers 10075, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2014. "Are There Gains from Pooling Real-Time Oil Price Forecasts?," Staff Working Papers 14-46, Bank of Canada.
- Liu, Li & Pan, Zhiyuan, 2020. "Forecasting stock market volatility: The role of technical variables," Economic Modelling, Elsevier, vol. 84(C), pages 55-65.
- Kevin Lee & Kian Ong & Kalvinder K. Shields, 2020. "Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 294-313, September.
- Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017.
"Evaluation of exchange rate point and density forecasts: An application to Brazil,"
International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
- Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2016. "Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil," Working Papers Series 446, Central Bank of Brazil, Research Department.
- Harchaoui, Tarek M. & Janssen, Robert V., 2018. "How can big data enhance the timeliness of official statistics?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 225-234.
- Tsuchiya, Yoichi, 2013. "Are government and IMF forecasts useful? An application of a new market-timing test," Economics Letters, Elsevier, vol. 118(1), pages 118-120.
- Liu, Weiling & Moench, Emanuel, 2016.
"What predicts US recessions?,"
International Journal of Forecasting, Elsevier, vol. 32(4), pages 1138-1150.
- Weiling Liu & Emanuel Moench, 2014. "What predicts U.S. recessions?," Staff Reports 691, Federal Reserve Bank of New York.
- Wang, Yudong & Liu, Li & Ma, Feng & Diao, Xundi, 2018. "Momentum of return predictability," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 141-156.
- Malte Knüppel & Guido Schultefrankenfeld, 2012.
"How Informative Are Central Bank Assessments of Macroeconomic Risks?,"
International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 87-139, September.
- Knüppel, Malte & Schultefrankenfeld, Guido, 2011. "How informative are central bank assessments of macroeconomic risks?," Discussion Paper Series 1: Economic Studies 2011,13, Deutsche Bundesbank.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2020.
"Markov-Switching Three-Pass Regression Filter,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 285-302, April.
- Pierre Guerin & Danilo Leiva-Leon & Massimiliano Marcellino, 2016. "Markov-Switching Three-Pass Regression Filter," Working Papers 591, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-Switching Three-Pass Regression Filter," Staff Working Papers 17-13, Bank of Canada.
- Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-switching three-pass regression filter," Working Papers 1748, Banco de España.
- Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei, 2022. "Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4770-4783, October.
- Lahiri, Kajal & Yang, Liu, 2016.
"Asymptotic variance of Brier (skill) score in the presence of serial correlation,"
Economics Letters, Elsevier, vol. 141(C), pages 125-129.
- Kajal Lahiri & Liu Yang, 2015. "Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation," CESifo Working Paper Series 5290, CESifo.
- Knüppel, Malte & Schultefrankenfeld, Guido, 2008. "How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts," Discussion Paper Series 1: Economic Studies 2008,14, Deutsche Bundesbank.
- Li, Dongxin & Zhang, Li & Li, Lihong, 2023. "Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model," International Review of Financial Analysis, Elsevier, vol. 88(C).
- Link Sebastian, 2020. "Harmonization of the ifo Business Survey’s Micro Data," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 240(4), pages 543-555, August.
- Garratt, Anthony & Lee, Kevin & Shields, Kalvinder, 2016. "Forecasting global recessions in a GVAR model of actual and expected output," International Journal of Forecasting, Elsevier, vol. 32(2), pages 374-390.
- Lahiri, Kajal & Peng, Huaming & Zhao, Yongchen, 2015.
"Testing the value of probability forecasts for calibrated combining,"
International Journal of Forecasting, Elsevier, vol. 31(1), pages 113-129.
- Kajal Lahiri & Huaming Peng & Yongchen Zhao, 2013. "Testing the Value of Probability Forecasts for Calibrated Combining," Discussion Papers 13-02, University at Albany, SUNY, Department of Economics.
- Ma, Feng & Wang, Jiqian & Wahab, M.I.M. & Ma, Yuanhui, 2023. "Stock market volatility predictability in a data-rich world: A new insight," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1804-1819.
- Christiane Baumeister & Lutz Kilian, 2014.
"Do oil price increases cause higher food prices? [Biofuels, binding constraints, and agricultural commodity price volatility],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(80), pages 691-747.
- Baumeister, Christiane & Kilian, Lutz, 2013. "Do oil price increases cause higher food prices?," CFS Working Paper Series 2013/10, Center for Financial Studies (CFS).
- Christiane Baumeister & Lutz Kilian, 2013. "Do Oil Price Increases Cause Higher Food Prices?," Staff Working Papers 13-52, Bank of Canada.
- Kilian, Lutz & Baumeister, Christiane, 2013. "Do Oil Price Increases Cause Higher Food Prices?," CEPR Discussion Papers 9689, C.E.P.R. Discussion Papers.
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