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Comparing forecast accuracy: A Monte Carlo investigation
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Cited by:
- Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
- Chen, Jian & Tang, Guohao & Yao, Jiaquan & Zhou, Guofu, 2023. "Employee sentiment and stock returns," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
- Naraidoo, Ruthira & Paya, Ivan, 2012.
"Forecasting monetary policy rules in South Africa,"
International Journal of Forecasting, Elsevier, vol. 28(2), pages 446-455.
- R Naraidoo & I Paya, 2010. "Forecasting Monetary Policy Rules in South Africa," Working Papers 611194, Lancaster University Management School, Economics Department.
- Adeola Oyenubi, 2019. "Who benefits from being self-employed in urban Ghana?," Working Papers 189, Economic Research Southern Africa.
- Pablo Pincheira & Nicolás Hardy & Felipe Muñoz, 2021. "“Go Wild for a While!”: A New Test for Forecast Evaluation in Nested Models," Mathematics, MDPI, vol. 9(18), pages 1-28, September.
- Graziano Moramarco, 2021. "Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States," Papers 2111.00822, arXiv.org, revised Jan 2024.
- Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Murat Midilic, 2016. "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/918, Ghent University, Faculty of Economics and Business Administration.
- Chue, Timothy K. & Xu, Jin Karen, 2022. "Profitability, asset investment, and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 143(C).
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015.
"Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Clark, Todd & McCracken, Michael, 2013.
"Advances in Forecast Evaluation,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201,
Elsevier.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
- Roccazzella, Francesco & Candelon, Bertrand, 2022. "Should we care about ECB inflation expectations?," LIDAM Discussion Papers LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
- repec:lan:wpaper:2587 is not listed on IDEAS
- D'Amuri, Francesco & Marcucci, Juri, 2009.
"‘Google it!’ Forecasting the US unemployment rate with a Google job search index,"
ISER Working Paper Series
2009-32, Institute for Social and Economic Research.
- D'Amuri, Francesco/FD & Marcucci, Juri/JM, 2009. ""Google it!" Forecasting the US unemployment rate with a Google job search index," MPRA Paper 18248, University Library of Munich, Germany.
- Francesco D’Amuri & Juri Marcucci, 2010. "“Google it!”Forecasting the US Unemployment Rate with a Google Job Search index," Working Papers 2010.31, Fondazione Eni Enrico Mattei.
- Murat Midiliç, 2020. "Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 87-117, January.
- Pincheira-Brown, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2019.
"Forecasting inflation in Latin America with core measures,"
International Journal of Forecasting, Elsevier, vol. 35(3), pages 1060-1071.
- Pincheira, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2017. "Forecasting Inflation in Latin America with Core Measures," MPRA Paper 80496, University Library of Munich, Germany.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020.
"Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary,"
Hohenheim Discussion Papers in Business, Economics and Social Sciences
11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
- repec:lan:wpaper:2444 is not listed on IDEAS
- Fabio Boschetti & Elizabeth A. Fulton & Nicola J. Grigg, 2014. "Citizens’ Views of Australia’s Future to 2050," Sustainability, MDPI, vol. 7(1), pages 1-26, December.
- Busetti, Fabio & Marcucci, Juri, 2013.
"Comparing forecast accuracy: A Monte Carlo investigation,"
International Journal of Forecasting, Elsevier, vol. 29(1), pages 13-27.
- Fabio Busetti & Juri Marcucci & Giovanni Veronese, 2009. "Comparing forecast accuracy: A Monte Carlo investigation," Temi di discussione (Economic working papers) 723, Bank of Italy, Economic Research and International Relations Area.
- Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
- Porqueddu Mario & Venditti Fabrizio, 2014.
"Do food commodity prices have asymmetric effects on euro-area inflation?,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 1-25, September.
- Mario Porqueddu & Fabrizio Venditti, 2012. "Do food commodity prices have asymmetric effects on Euro-Area inflation?," Temi di discussione (Economic working papers) 878, Bank of Italy, Economic Research and International Relations Area.
- Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
- repec:lan:wpaper:2450 is not listed on IDEAS
- Brooks, Chris & Burke, Simon P. & Stanescu, Silvia, 2016. "Finite sample weighting of recursive forecast errors," International Journal of Forecasting, Elsevier, vol. 32(2), pages 458-474.
- Pincheira, Pablo & Hardy, Nicolás & Muñoz, Felipe, 2021. ""Go wild for a while!": A new asymptotically Normal test for forecast evaluation in nested models," MPRA Paper 105368, University Library of Munich, Germany.
- D’Amuri, Francesco & Marcucci, Juri, 2017.
"The predictive power of Google searches in forecasting US unemployment,"
International Journal of Forecasting, Elsevier, vol. 33(4), pages 801-816.
- Francesco D'Amuri & Juri Marcucci, 2012. "The predictive power of Google searches in forecasting unemployment," Temi di discussione (Economic working papers) 891, Bank of Italy, Economic Research and International Relations Area.
- Ruthira Naraidoo & Ivan Paya, 2010. "Forecasting Monetary Rules in South Africa," Working Papers 201007, University of Pretoria, Department of Economics.
- repec:lan:wpaper:2592 is not listed on IDEAS
- repec:lan:wpaper:2369 is not listed on IDEAS
- Costantini, Mauro & Kunst, Robert M., 2021.
"On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 445-460.
- Costantini, Mauro & Kunst, Robert M., 2018. "On Using Predictive-ability Tests in the Selection of Time-series Prediction Models: A Monte Carlo Evaluation," Economics Series 341, Institute for Advanced Studies.
- Claire Giordano & Marco Marinucci & Andrea Silvestrini, 2022. "Assessing the usefulness of survey‐based data in forecasting firms' capital formation: Evidence from Italy," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 491-513, April.
- Claire Giordano & Marco Marinucci & Andrea Silvestrini, 2021. "Forecasting corporate capital accumulation in Italy: the role of survey-based information," Questioni di Economia e Finanza (Occasional Papers) 596, Bank of Italy, Economic Research and International Relations Area.
- E Pavlidis & I Paya & D Peel, 2009. "Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear," Working Papers 601190, Lancaster University Management School, Economics Department.
- Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
- Lin, Qi & Lin, Xi, 2021. "Cash conversion cycle and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 52(C).
- Xu, Yongan & Li, Ming & Yan, Wen & Bai, Jiancheng, 2022. "Predictability of the renewable energy market returns: The informational gains from the climate policy uncertainty," Resources Policy, Elsevier, vol. 79(C).
- Caruso, Alberto, 2018. "Nowcasting with the help of foreign indicators: The case of Mexico," Economic Modelling, Elsevier, vol. 69(C), pages 160-168.
- repec:lan:wpaper:2364 is not listed on IDEAS
- Li Guo & Lin Peng & Yubo Tao & Jun Tu, 2017. "Joint News, Attention Spillover,and Market Returns," Papers 1703.02715, arXiv.org, revised Nov 2022.
- Jack Fosten, 2016. "Forecast evaluation with factor-augmented models," University of East Anglia School of Economics Working Paper Series 2016-05, School of Economics, University of East Anglia, Norwich, UK..
- Pincheira, Pablo & Hardy, Nicolas, 2022. "Correlation Based Tests of Predictability," MPRA Paper 112014, University Library of Munich, Germany.