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Approximately normal tests for equal predictive accuracy in nested models

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Cited by:

  1. 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.
  2. Christian Hutter & Enzo Weber, 2015. "Constructing a new leading indicator for unemployment from a survey among German employment agencies," Applied Economics, Taylor & Francis Journals, vol. 47(33), pages 3540-3558, July.
  3. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  4. Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
  5. Peter Tulip, 2014. "The Effect of the Mining Boom on the Australian Economy," RBA Bulletin, Reserve Bank of Australia, pages 17-22.
  6. Pablo Pincheira, 2008. "Combining Tests of Predictive Ability Theory and Evidence for Chilean and Canadian Exchange Rates," Working Papers Central Bank of Chile 459, Central Bank of Chile.
  7. 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;Western Agricultural Economics Association.
  8. 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.
  9. Chitolina, Lia & Foguel, Miguel Nathan & Menezes-Filho, Naercio Aquino, 2016. "The impact of the expansion of the bolsa familia program on the time allocation of youths and their parents," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  10. Ivana Komunjer & Michael T. Owyang, 2012. "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, pages 1066-1080.
  11. Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
  12. repec:spr:jbuscr:v:12:y:2016:i:1:d:10.1007_s41549-016-0002-5 is not listed on IDEAS
  13. Hashmat Khan & Santosh Upadhayaya, 2017. "Does Business Con?dence Matter for Investment?," Carleton Economic Papers 17-13, Carleton University, Department of Economics.
  14. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, pages 395-410.
  15. Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, pages 1193-1207.
  16. Kollmann, Robert & Zeugner, Stefan, 2012. "Leverage as a predictor for real activity and volatility," Journal of Economic Dynamics and Control, Elsevier, pages 1267-1283.
  17. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, pages 1063-1119.
  18. Francis Leni Anguyo & Rangan Gupta & Kevin Kotzé, 2017. "Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE Approach," Working Papers 201748, University of Pretoria, Department of Economics.
  19. Colin Bermingham & Antonello D’Agostino, 2014. "Understanding and forecasting aggregate and disaggregate price dynamics," Empirical Economics, Springer, pages 765-788.
  20. Vivian, Andrew & Wohar, Mark E., 2013. "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, pages 40-50.
  21. Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, pages 56-75.
  22. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, pages 120-130.
  23. Baumeister, Christiane & Kilian, Lutz, 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.
  24. Boriss Siliverstovs, 2016. "International Stock Return Predictability: On the Role of the United States in Bad and Good Times," KOF Working papers 16-408, KOF Swiss Economic Institute, ETH Zurich.
  25. Funaki, Y. & Houba, H.E.D. & Motchenkova, E., 2012. "Market Power in Bilateral Oligopoly Markets with Nonexpendable Infrastructure," Discussion Paper 2012-041, Tilburg University, Tilburg Law and Economic Center.
  26. Pablo M. Pincheira & Carlos A. Medel, 2016. "Forecasting with a Random Walk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 539-564, December.
  27. Dirk Czarnitzki & Hanna Hottenrott, 2011. "R&D investment and financing constraints of small and medium-sized firms," Small Business Economics, Springer, vol. 36(1), pages 65-83, January.
  28. Elena Andreou & Bas J. M. Werker, 2012. "An Alternative Asymptotic Analysis of Residual-Based Statistics," The Review of Economics and Statistics, MIT Press, pages 88-99.
  29. Ubilava, David, 2014. "On the Relationship between Financial Instability and Economic Performance: Stressing the Business of Nonlinear Modelling," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170222, Agricultural and Applied Economics Association.
  30. Wu, Jyh-Lin & Wang, Yi-Chiuan, 2013. "Fundamentals, forecast combinations and nominal exchange-rate predictability," International Review of Economics & Finance, Elsevier, pages 129-145.
  31. He, Kaijian & Yu, Lean & Lai, Kin Keung, 2012. "Crude oil price analysis and forecasting using wavelet decomposed ensemble model," Energy, Elsevier, pages 564-574.
  32. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, pages 1-24.
  33. Papapostolou, Nikos C. & Pouliasis, Panos K. & Nomikos, Nikos K. & Kyriakou, Ioannis, 2016. "Shipping investor sentiment and international stock return predictability," Transportation Research Part E: Logistics and Transportation Review, Elsevier, pages 81-94.
  34. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, Elsevier.
  35. Marcelo Moura, 2010. "Testing the Taylor Model Predictability for Exchange Rates in Latin America," Open Economies Review, Springer, pages 547-564.
  36. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2017. "Financial Conditions Indicator for Brazil," IDB Publications (Working Papers) 8488, Inter-American Development Bank.
  37. Klaus Abberger & Michael Graff & Boriss Siliverstovs & Jan-Egbert Sturm, 2014. "The KOF Economic Barometer, Version 2014," KOF Working papers 14-353, KOF Swiss Economic Institute, ETH Zurich.
  38. Darvas, Zsolt & Schepp, Zoltán, 2007. "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével
    [Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 501-528.
  39. Bignebat, C. & Bosc, P.M. & Perrier-Cornet, P., 2015. "A labour-based approach to the analysis of structural transformation: Application to French agricultural holdings 2000," Working Papers MOISA 201501, UMR MOISA : Marchés, Organisations, Institutions et Stratégies d'Acteurs : CIHEAM-IAMM, CIRAD, INRA, Montpellier SupAgro - Montpellier, France.
  40. Campbell, John Y & Ramadorai, Tarun & Ranish, Benjamin, 2012. "How Do Regulators Influence Mortgage Risk? Evidence from an Emerging Market," CEPR Discussion Papers 9136, C.E.P.R. Discussion Papers.
  41. Konstantin Kholodilin, 2014. "Business confidence and forecasting of housing prices and rents in large German cities," ERSA conference papers ersa14p9, European Regional Science Association.
  42. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
  43. 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.
  44. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, pages 589-612.
  45. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
  46. Halbheer , Daniel & Buehler , Stefan, 2014. "Payment Evasion," Les Cahiers de Recherche 1065, HEC Paris.
  47. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
  48. 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, pages 304-319.
  49. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-24, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  50. Zhiguo He & Péter Kondor, 2016. "Inefficient Investment Waves," Econometrica, Econometric Society, vol. 84, pages 735-780, March.
  51. 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, pages 7-33.
  52. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
  53. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, pages 279-310.
  54. Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2016. "The World Is Not Enough! Small Open Economies and Regional Dependence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 118(1), pages 168-195, January.
  55. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2015. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox," Journal of Statistical Software, Foundation for Open Access Statistics.
  56. Chatterjee, Ujjal K., 2015. "Bank liquidity creation and asset market liquidity," Journal of Financial Stability, Elsevier, pages 139-153.
  57. 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.
  58. Christiane Baumeister & Reinhard Ellwanger & Lutz Kilian, 2016. "Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?," CESifo Working Paper Series 6282, CESifo Group Munich.
  59. Nuno Silva, 2015. "Time-Varying Stock Return Predictability: The Eurozone Case," Notas Económicas, Faculty of Economics, University of Coimbra, issue 41, pages 28-38, June.
  60. P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  61. James D. Hamilton & Tatsuyoshi Okimoto, 2011. "Sources of variation in holding returns for fed funds futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(3), pages 205-229, March.
  62. Kerry B. Hudson & Joaquin L. Vespignani, 2014. "Understanding the Deviations of the Taylor Rule: A New Methodology with an Application to Australia," CAMA Working Papers 2014-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  63. Lux, Thomas, 2008. "Sentiment dynamics and stock returns: the case of the German stock market," Kiel Working Papers 1470, Kiel Institute for the World Economy (IfW).
  64. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
  65. Candelon, Bertrand & Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2014. "Currency crisis early warning systems: Why they should be dynamic," International Journal of Forecasting, Elsevier, pages 1016-1029.
  66. Lise Pichette & Marie-Noëlle Robitaille, 2017. "Assessing the Business Outlook Survey Indicator Using Real-Time Data," Discussion Papers 17-5, Bank of Canada.
  67. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, pages 136-154.
  68. Dauwe, Alexander & Moura, Marcelo L., 2011. "Forecasting the term structure of the Euro Market using Principal Component Analysis," Insper Working Papers wpe_233, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  69. Lombardi, Marco J. & Ravazzolo, Francesco, 2016. "On the correlation between commodity and equity returns: Implications for portfolio allocation," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
  70. Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, pages 183-203.
  71. Panopoulou, Ekaterini & Pantelidis, Theologos, 2015. "Speculative behaviour and oil price predictability," Economic Modelling, Elsevier, pages 128-136.
  72. Cerra, Valerie & Saxena, Sweta Chaman, 2010. "The monetary model strikes back: Evidence from the world," Journal of International Economics, Elsevier, pages 184-196.
  73. Pablo Pincheira B., 2007. "Hidden Predictability in Economics: The Case of the Chilean Exchange Rate," Working Papers Central Bank of Chile 435, Central Bank of Chile.
  74. Dick, Christian, 2010. "Die Weltkonjunktur aus deutscher Sicht," ZEW Wachstums- und Konjunkturanalysen, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research, pages 8-9.
  75. repec:eee:ecmode:v:64:y:2017:i:c:p:26-39 is not listed on IDEAS
  76. Richard Ashley & Haichun Ye, 2012. "On the Granger causality between median inflation and price dispersion," Applied Economics, Taylor & Francis Journals, vol. 44(32), pages 4221-4238, November.
  77. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Thuraisamy, Kannan & Westerlund, Joakim, 2016. "Price discovery and asset pricing," Pacific-Basin Finance Journal, Elsevier, pages 224-235.
  78. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Risk Premium of Gold," Hannover Economic Papers (HEP) dp-616, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  79. Martha López & Hector Zárate, 2014. "Innovación y empleo: evidencia a nivel de firma para Colombia," Borradores de Economia 856, Banco de la Republica de Colombia.
  80. Chang, Andrew C. & Hanson, Tyler J., 2016. "The accuracy of forecasts prepared for the Federal Open Market Committee," Journal of Economics and Business, Elsevier, pages 23-43.
  81. Eliana González & Munir Jalil & José Vicente Romero, 2010. "Inflación y expectativas de inflación en Colombia," Borradores de Economia 618, Banco de la Republica de Colombia.
  82. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2016. "Intraday volatility interaction between the crude oil and equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, pages 1-13.
  83. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2014. "Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market," Journal of International Money and Finance, Elsevier, pages 95-109.
  84. Chen, Yu-chin & Turnovsky, Stephen J. & Zivot, Eric, 2014. "Forecasting inflation using commodity price aggregates," Journal of Econometrics, Elsevier, pages 117-134.
  85. 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, pages 7-30.
  86. Smimou, K. & Khallouli, W., 2015. "Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?," Emerging Markets Review, Elsevier, pages 125-153.
  87. Kuosmanen, Petri & Vataja, Juuso, 2014. "Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis," Review of Financial Economics, Elsevier, pages 90-97.
  88. Lombardi, Marco J. & Godbout, Claudia, 2012. "Short-term forecasting of the Japanese economy using factor models," Working Paper Series 1428, European Central Bank.
  89. Bertrand Candelon & Elena-Ivona Dumitrescu & Christophe Hurlin, 2012. "How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 60(1), pages 75-113, April.
  90. Zhu, Yanjian & Zhu, Xiaoneng, 2014. "European business cycles and stock return predictability," Finance Research Letters, Elsevier, pages 446-453.
  91. Bork, Lasse & Møller, Stig V., 2015. "Forecasting house prices in the 50 states using Dynamic Model Averaging and Dynamic Model Selection," International Journal of Forecasting, Elsevier, pages 63-78.
  92. Mark Carlson & David C. Wheelock, 2016. "Near-Money Premiums, Monetary Policy, and the Integration of Money Markets : Lessons from Deregulation," Finance and Economics Discussion Series 2016-077, Board of Governors of the Federal Reserve System (U.S.).
  93. Cerra, Valerie & Saxena, Sweta Chaman, 2010. "The monetary model strikes back: Evidence from the world," Journal of International Economics, Elsevier, pages 184-196.
  94. Mokinski, Frieder, 2016. "Using time-stamped survey responses to measure expectations at a daily frequency," International Journal of Forecasting, Elsevier, pages 271-282.
  95. Charles Engel & Nelson C. Mark & Kenneth D. West, 2015. "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, pages 32-55.
  96. Pablo Pincheira & Jorge Selaive, 2011. "External imbalance, valuation adjustments and real Exchange rate: evidence of predictability in an emerging economy," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 26(1), pages 107-125, Junio.
  97. Jian Wang & Jason J. Wu, 2012. "The Taylor Rule and Forecast Intervals for Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 103-144, February.
  98. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
  99. Pincheira, Pablo, 2017. "A Power Booster Factor for Out-of-Sample Tests of Predictability," MPRA Paper 77027, University Library of Munich, Germany.
  100. He, Dong & Wang, Honglin, 2012. "Dual-track interest rates and the conduct of monetary policy in China," China Economic Review, Elsevier, pages 928-947.
  101. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-003/4, Tinbergen Institute.
  102. Martin Werding, 2016. "One Pillar Crumbling, the Others Too Short: Old-Age Provision in Germany," National Institute Economic Review, National Institute of Economic and Social Research, pages 13-21.
  103. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, pages 493-509.
  104. Li, Yan & Ng, David T. & Swaminathan, Bhaskaran, 2013. "Predicting market returns using aggregate implied cost of capital," Journal of Financial Economics, Elsevier, pages 419-436.
  105. Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116, Brandeis University, Department of Economics and International Businesss School.
  106. Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
  107. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, pages 123-152.
  108. Ivana Komunjer & Michael T. Owyang, 2012. "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, pages 1066-1080.
  109. Carlo Altavilla & Paul De Grauwe, 2010. "Non-linearities in the relation between the exchange rate and its fundamentals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
  110. Driver, Ciaran & Trapani, Lorenzo & Urga, Giovanni, 2013. "On the use of cross-sectional measures of forecast uncertainty," International Journal of Forecasting, Elsevier, pages 367-377.
  111. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, pages 395-410.
  112. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014. "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers 20651, National Bureau of Economic Research, Inc.
  113. Huber Florian, 2016. "Forecasting exchange rates using multivariate threshold models," The B.E. Journal of Macroeconomics, De Gruyter, pages 193-210.
  114. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  115. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," International Journal of Forecasting, Elsevier, pages 664-679.
  116. Ravazzolo, Francesco & Vespignani, Joaquin, 2017. "World steel production: A new monthly indicator of global real economic activity," Working Papers 2017-08, University of Tasmania, Tasmanian School of Business and Economics.
  117. Bandyopadhyay Siddhartha & Chatterjee Kalyan, 2010. "Crime Reporting: Profiling and Neighbourhood Observation," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-24, March.
  118. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, pages 836-857.
  119. Yang, Kun & Shintani, Mototsugu, 2006. "Does the prediction horizon matter for the forward premium anomaly? Evidence from panel data," Economics Letters, Elsevier, pages 255-260.
  120. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, pages 643-659.
  121. Kuosmanen, Petri & Nabulsi, Nasib & Vataja, Juuso, 2015. "Financial variables and economic activity in the Nordic countries," International Review of Economics & Finance, Elsevier, pages 368-379.
  122. Naraidoo, Ruthira & Paya, Ivan, 2012. "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, pages 446-455.
  123. Robert Lehmann & Antje Weyh, 2014. "Forecasting employment in Europe: Are survey results helpful?," ifo Working Paper Series 182, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  124. Kirstin Hubrich & Kenneth D. West, 2010. "Forecast evaluation of small nested model sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 574-594.
  125. Kollmann, Robert & Zeugner, Stefan, 2012. "Leverage as a predictor for real activity and volatility," Journal of Economic Dynamics and Control, Elsevier, pages 1267-1283.
  126. Abdullah Almansour & Margaret Insley, 2013. "The impact of stochastic extraction cost on the value of an exhaustible resource: An application to the Alberta oil sands," Working Papers 1303, University of Waterloo, Department of Economics, revised Jun 2013.
  127. Moura, Marcelo L. , & Lima, Adauto R. S. & Mendonça, Rodrigo M., 2008. "Exchange Rate and Fundamentals: The Case of Brazil," Insper Working Papers wpe_114, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  128. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2015. "Are Indian stock returns predictable?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 506-531.
  129. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
  130. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(1), April.
  131. Brooks, Chris & Burke, Simon P. & Stanescu, Silvia, 2016. "Finite sample weighting of recursive forecast errors," International Journal of Forecasting, Elsevier, pages 458-474.
  132. Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2017. "On the influence of US monetary policy on crude oil price volatility," Empirical Economics, Springer, pages 155-178.
  133. Francesco Ravazzolo & Philip Rothman, 2013. "Oil and U.S. GDP: A Real‐Time Out‐of‐Sample Examination," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2-3), pages 449-463, March.
  134. Yu-Hau Hu & Shun-Jen Hsueh, 2013. "A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, pages 134-147.
  135. He, Kaijian & Xu, Yang & Zou, Yingchao & Tang, Ling, 2015. "Electricity price forecasts using a Curvelet denoising based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, pages 1-9.
  136. Francesco Ravazzolo & Joaquin L. Vespignani, 2015. "A New Monthly Indicator of Global Real Economic Activity," CAMA Working Papers 2015-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  137. Jan J. J. Groen & Paolo A. Pesenti, 2011. "Commodity Prices, Commodity Currencies, and Global Economic Developments," NBER Chapters,in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 15-42 National Bureau of Economic Research, Inc.
  138. Chang-Jin Kim & Cheolbeom Park, 2012. "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Discussion Paper Series 1205, Institute of Economic Research, Korea University.
  139. Julen Esteban‐Pretel & Junichi Fujimoto, 2014. "Life‐Cycle Labor Search With Stochastic Match Quality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55, pages 575-599, May.
  140. Martha López & Hector Zárate, 2014. "Innovación y empleo: evidencia a nivel de firma para Colombia," BORRADORES DE ECONOMIA 012337, BANCO DE LA REPÚBLICA.
  141. Heejoon Han & Myung D. Park, 2013. "Comparison of Realized Measure and Implied Volatility in Forecasting Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 522-533, September.
  142. Arai, Natsuki, 2014. "Using forecast evaluation to improve the accuracy of the Greenbook forecast," International Journal of Forecasting, Elsevier, pages 12-19.
  143. 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.
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  184. Jose Luis Nolazco & Pablo Pincheira & Jorge Selaive, 2016. "The evasive predictive ability of core inflation," Working Papers 15/34, BBVA Bank, Economic Research Department.
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  192. Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
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  197. Li, Jiahan & Chen, Weiye, 2014. "Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models," International Journal of Forecasting, Elsevier, pages 996-1015.
  198. Milas, Costas & Rothman, Philip, 2008. "Out-of-sample forecasting of unemployment rates with pooled STVECM forecasts," International Journal of Forecasting, Elsevier, pages 101-121.
  199. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
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  201. Guerra, Solange Maria & Silva, Thiago Christiano & Tabak, Benjamin Miranda & de Souza Penaloza, Rodrigo Andrés & de Castro Miranda, Rodrigo César, 2016. "Systemic risk measures," Physica A: Statistical Mechanics and its Applications, Elsevier, pages 329-342.
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  208. Deaves, Richard & Lei, Jin & Schröder, Michael, 2015. "Forecaster overconfidence and market survey performance," ZEW Discussion Papers 15-029, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  209. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  210. Gustavo Adler & Pedro Castro & Camilo Tovar, 2016. "Does Central Bank Capital Matter for Monetary Policy?," Open Economies Review, Springer, pages 183-205.
  211. Bayer, Patrick & Khan, Shakeeb & Timmins, Christopher, 2011. "Nonparametric Identification and Estimation in a Roy Model With Common Nonpecuniary Returns," Journal of Business & Economic Statistics, American Statistical Association, pages 201-215.
  212. Carstensen Kai & Wohlrabe Klaus & Ziegler Christina, 2011. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, pages 82-106.
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  254. Arbués, Ignacio, 2013. "Determining the MSE-optimal cross section to forecast," Journal of Econometrics, Elsevier, pages 61-70.
  255. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, pages 172-188.
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  262. Vasilev, Aleksandar, 2015. "Welfare gains from the adoption of proportional taxation in a general-equilibrium model with a grey economy: the case of Bulgaria's 2008 flat tax reform," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 169-185.
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  280. Chang, Chia-Lin & McAleer, Michael & Oxley, Les, 2013. "Coercive journal self citations, impact factor, Journal Influence and Article Influence," Mathematics and Computers in Simulation (MATCOM), Elsevier, pages 190-197.
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  450. Vermeulen, Philip, 2014. "An evaluation of business survey indices for short-term forecasting: Balance method versus Carlson–Parkin method," International Journal of Forecasting, Elsevier, pages 882-897.
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  456. Naraidoo, Ruthira & Paya, Ivan, 2012. "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, pages 446-455.
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  458. Bucci, Andrea, 2017. "Forecasting realized volatility: a review," MPRA Paper 83232, University Library of Munich, Germany.
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  460. Weber, Enzo & Zika, Gerd, 2013. "Labour market forecasting : is disaggregation useful?," IAB Discussion Paper 201314, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  461. Gross, Marco & Binder, Michael, 2013. "Regime-switching global vector autoregressive models," Working Paper Series 1569, European Central Bank.
  462. Li, Ziran, 2017. "Three essays on commodity markets," ISU General Staff Papers 201701010800006361, Iowa State University, Department of Economics.
  463. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, pages 217-240.
  464. Kulish, Mariano & Rees, Daniel M., 2017. "Unprecedented changes in the terms of trade," Journal of International Economics, Elsevier, pages 351-367.
  465. Galo Nuño & Carlos Thomas, 2017. "Bank Leverage Cycles," American Economic Journal: Macroeconomics, American Economic Association, pages 32-72.
  466. Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2016. "When the walk is not random: commodity prices and exchange rates," BIS Working Papers 551, Bank for International Settlements.
  467. Lu, Helen & Jacobsen, Ben, 2016. "Cross-asset return predictability: Carry trades, stocks and commodities," Journal of International Money and Finance, Elsevier, pages 62-87.
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  470. Rotermann, Benedikt & Wilfling, Bernd, 2014. "Periodically collapsing Evans bubbles and stock-price volatility," Economics Letters, Elsevier, vol. 123(3), pages 383-386.
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