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Citations for "Forecasting Time Series Subject to Multiple Structural Breaks"

by M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann

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  1. Bauwens, Luc & Rombouts, Jeroen V.K., 2012. "On marginal likelihood computation in change-point models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3415-3429.
  2. Terence C. Mills, 2013. "Trends, cycles and structural breaks," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 3, pages 45-60 Edward Elgar Publishing.
  3. Bates, Brandon J. & Plagborg-Møller, Mikkel & Stock, James H. & Watson, Mark W., 2013. "Consistent factor estimation in dynamic factor models with structural instability," Journal of Econometrics, Elsevier, vol. 177(2), pages 289-304.
  4. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  5. Bianchi, Francesco, 2008. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," MPRA Paper 20831, University Library of Munich, Germany, revised 01 Jan 2010.
  6. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
  7. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
  8. Choi, Kyongwook & Yu, Wei-Choun & Zivot, Eric, 2010. "Long memory versus structural breaks in modeling and forecasting realized volatility," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 857-875, September.
  9. Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick, 2015. "Forecasting day-ahead electricity prices: Utilizing hourly prices," Energy Economics, Elsevier, vol. 50(C), pages 227-239.
  10. 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.
  11. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2013. "Real-Time Inflation Forecasting in a Changing World," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 29-44, January.
  12. Nonejad, Nima, 2014. "Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks," MPRA Paper 55664, University Library of Munich, Germany.
  13. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007. "Learning, Structural Instability, and Present Value Calculations," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 253-288.
  14. Miguel A.G. Belmonte & Gary Koop & Dimitris Korobilis, 2014. "Hierarchical Shrinkage in Time‐Varying Parameter Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 80-94, 01.
  15. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
  16. Pettenuzzo, Davide & Timmermann, Allan G, 2016. "Forecasting Macroeconomic Variables under Model Instability," CEPR Discussion Papers 11355, C.E.P.R. Discussion Papers.
  17. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  18. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
  19. Luintel, Kul B. & Khan, Mosahid & Leon-Gonzalez, Roberto & Li, Guangjie, 2016. "Financial development, structure and growth: New data, method and results," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 95-112.
  20. Raffaella Giacomini & Barbara Rossi, 2009. "Detecting and Predicting Forecast Breakdowns," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 669-705.
  21. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
  22. Jiawen Xu & Pierre Perron, 2015. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series wp2015-012, Boston University - Department of Economics.
  23. Karlsson, Sune, 2013. "Forecasting with Bayesian Vector Autoregression," Handbook of Economic Forecasting, Elsevier.
  24. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  25. Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 36870, University Library of Munich, Germany.
  26. Nima Nonejad, 2013. "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers 2013-24, Department of Economics and Business Economics, Aarhus University.
  27. Lee, Yoonsuk & Brorsen, B. Wade, 2012. "Impacts of Permanent and Transitory Shocks on Optimal Length of Moving Average to Predict Wheat Basis," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 125001, Agricultural and Applied Economics Association.
  28. Markku Lanne, 2006. "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168.
  29. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  30. Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 346-351.
  31. White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.
  32. M. Hashem Pesaran & Ron Smith, 2006. "Macroeconometric Modelling with a Global Perspective," IEPR Working Papers 06.43, Institute of Economic Policy Research (IEPR).
  33. Edward N. Gamber & Jeffrey P. Liebner & Julie K. Smith, 2016. "Inflation persistence: revisited," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 25-44.
  34. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
  35. Castle, Jennifer L. & Fawcett, Nicholas W.P. & Hendry, David F., 2010. "Forecasting with equilibrium-correction models during structural breaks," Journal of Econometrics, Elsevier, vol. 158(1), pages 25-36, September.
  36. Gary Koop & Simon M. Potter, 2009. "Prior Elicitation In Multiple Change-Point Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 751-772, 08.
  37. Georges Dionne & Olfa Maalaoui Chun, 2013. "Default and liquidity regimes in the bond market during the 2002-2012 period," Canadian Journal of Economics, Canadian Economics Association, vol. 46(4), pages 1160-1195, November.
  38. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
  39. Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
  40. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2009. "Time Variation in Asset Return Dependence: Strength or Structure?," ERIM Report Series Research in Management ERS-2009-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  41. Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York, revised 01 May 2016.
  42. Hendry, David F. & Mizon, Grayham E., 2014. "Unpredictability in economic analysis, econometric modeling and forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 186-195.
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