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Citations for "Approximately normal tests for equal predictive accuracy in nested models"

by Todd E. Clark & Kenneth D. West

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  1. Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012. "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, 09.
  2. Buchmann, Marco, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
  3. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
  4. 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.
  5. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
  6. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  7. 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.
  8. Buncic, Daniel & Gisler, Katja I.M., 2016. "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1317-1339.
  9. David Genesove & James Hansen, 2014. "Predicting Dwelling Prices with Consideration of the Sales Mechanism," RBA Research Discussion Papers rdp2014-09, Reserve Bank of Australia.
  10. 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.
  11. 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.
  12. 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, 04.
  13. Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical Asset Pricing with Nonlinear Risk Premia," Working Papers wp09-03, Warwick Business School, Finance Group.
  14. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  15. Ivana Komunjer & Michael T. Owyang, 2012. "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1066-1080, November.
  16. Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
  17. repec:spr:jbuscr:v:12:y:2016:i:1:d:10.1007_s41549-016-0002-5 is not listed on IDEAS
  18. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  19. Monticini, Andrea & Ravazzolo, Francesco, 2014. "Forecasting the intraday market price of money," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 304-315.
  20. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  21. 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.
  22. Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
  23. 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.
  24. Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  25. Kollmann, Robert & Zeugner, Stefan, 2012. "Leverage as a predictor for real activity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1267-1283.
  26. 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.
  27. Colin Bermingham & Antonello D’Agostino, 2014. "Understanding and forecasting aggregate and disaggregate price dynamics," Empirical Economics, Springer, vol. 46(2), pages 765-788, March.
  28. Yan Carrière‐Swallow & Felipe Labbé, 2013. "Nowcasting with Google Trends in an Emerging Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(4), pages 289-298, July.
  29. John Y. Campbell & Stefano Giglio & Christopher Polk, 2010. "Hard Times," NBER Working Papers 16222, National Bureau of Economic Research, Inc.
    • Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
  30. Vivian, Andrew & Wohar, Mark E., 2013. "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 40-50.
  31. Jiahan Li & Ilias Tsiakas, 2016. "Equity Premium Prediction: The Role of Economic and Statistical Constraints," Working Paper Series 16-25, The Rimini Centre for Economic Analysis.
  32. Sellin, Peter, 2007. "Using a New Open Economy Macroeconomics model to make real nominal exchange rate forecasts," Working Paper Series 213, Sveriges Riksbank (Central Bank of Sweden).
  33. Galimberti, Jaqueson K. & Moura, Marcelo L., 2013. "Taylor rules and exchange rate predictability in emerging economies," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1008-1031.
  34. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
  35. 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.
  36. Boriss Siliverstovs, 2016. "International Stock Return Predictability: On the Role of the United States in Bad and Good Times," EcoMod2016 9534, EcoMod.
  37. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers 12-140/IV/DSF46, Tinbergen Institute.
  38. 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.
  39. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  40. Gustavo Adler & Pedro Castro & Camilo Tovar, 2016. "Does Central Bank Capital Matter for Monetary Policy?," Open Economies Review, Springer, vol. 27(1), pages 183-205, February.
  41. Kirstin Hubrich & Kenneth D. West, 2010. "Forecast evaluation of small nested model sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 574-594.
  42. Ardic, Oya Pinar & Ergin, Onur & Senol, G. Bahar, 2008. "Exchange Rate Forecasting: Evidence from the Emerging Central and Eastern European Economies," MPRA Paper 7505, University Library of Munich, Germany.
  43. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
  44. 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.
  45. Pasquale Della Corte & Lucio Sarno & Giulia Sestieri, 2012. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 100-115, February.
  46. Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2017. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," Working Papers 1337, Queen's University, Department of Economics.
  47. Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
  48. Wu, Jyh-Lin & Wang, Yi-Chiuan, 2013. "Fundamentals, forecast combinations and nominal exchange-rate predictability," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 129-145.
  49. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  50. He, Kaijian & Yu, Lean & Lai, Kin Keung, 2012. "Crude oil price analysis and forecasting using wavelet decomposed ensemble model," Energy, Elsevier, vol. 46(1), pages 564-574.
  51. 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, vol. 96(C), pages 81-94.
  52. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, Elsevier.
  53. Marcelo Moura, 2010. "Testing the Taylor Model Predictability for Exchange Rates in Latin America," Open Economies Review, Springer, vol. 21(4), pages 547-564, September.
  54. repec:ipg:wpaper:2014-053 is not listed on IDEAS
  55. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
  56. Pablo Pincheira & Andrés Gatty, 2016. "Forecasting Chilean inflation with international factors," Empirical Economics, Springer, vol. 51(3), pages 981-1010, November.
  57. Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
  58. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  59. 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.
  60. Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  61. Boriss Siliverstovs, 2011. "The Real-Time Predictive Content of the KOF Economic Barometer," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 147(III), pages 353-375, September.
  62. 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.
  63. Charles, Amelie & Darne, Olivier & Kim, Jae, 2016. "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper 70143, University Library of Munich, Germany.
  64. Khalaf, Lynda & Saunders, Charles J., 2017. "Monte Carlo forecast evaluation with persistent data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 1-10.
  65. Konstantin A. Kholodilin & Boriss Siliverstovs, 2014. "Business Confidence and Forecasting of Housing Prices and Rents in Large German Cities," Discussion Papers of DIW Berlin 1360, DIW Berlin, German Institute for Economic Research.
  66. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
  67. Baumeister, Christiane & Kilian, Lutz & 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.
  68. Charles Engel & Nelson C. Mark & Kenneth D. West, 2015. "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 32-55, February.
  69. 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).
  70. 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.
  71. Batten, Jonathan A. & Ciner, Cetin & Kosedag, Arman & Lucey, Brian M., 2017. "Is the price of gold to gold mining stocks asymmetric?," Economic Modelling, Elsevier, vol. 60(C), pages 402-407.
  72. Mawuli Segnon & Thomas Lux & Rangan Gupta, 2015. "Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-Type Volatility Models," Working Papers 201550, University of Pretoria, Department of Economics.
  73. Kouwenberg, Roy & Markiewicz, Agnieszka & Verhoeks, Ralph & Zwinkels, Remco C. J., 2017. "Model Uncertainty and Exchange Rate Forecasting," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(01), pages 341-363, February.
  74. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
  75. Kasai, Ndahiriwe & Naraidoo, Ruthira, 2011. "Evaluating the forecasting performance of linear and nonlinear monetary policy rules for South Africa," MPRA Paper 40699, University Library of Munich, Germany.
  76. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
  77. repec:lan:wpaper:2364 is not listed on IDEAS
  78. Hommes, C.H. & Zhu, M., 2016. "Behavioral Learning Equilibria, Persistence Amplification & Monetary Policy," CeNDEF Working Papers 16-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  79. He, Kaijian & Lu, Xingjing & Zou, Yingchao & Keung Lai, Kin, 2015. "Forecasting metal prices with a curvelet based multiscale methodology," Resources Policy, Elsevier, vol. 45(C), pages 144-150.
  80. Milas, Costas & Rothman, Philip, 2008. "Out-of-sample forecasting of unemployment rates with pooled STVECM forecasts," International Journal of Forecasting, Elsevier, vol. 24(1), pages 101-121.
  81. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  82. Claudia Godbout & Marco J. Lombardi, 2012. "Short-Term Forecasting of the Japanese Economy Using Factor Models," Staff Working Papers 12-7, Bank of Canada.
  83. 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.
  84. 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.
  85. 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).
  86. repec:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1163-8 is not listed on IDEAS
  87. repec:eee:jbfina:v:84:y:2017:i:c:p:188-201 is not listed on IDEAS
  88. Junko Koeda, 2012. "How does yield curve predict GDP growth? A macro-finance approach revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 19(10), pages 929-933, July.
  89. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, Elsevier.
  90. Moura, Marcelo L. & de Carvalho, Alexandre, 2010. "What can Taylor rules say about monetary policy in Latin America?," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 392-404, March.
  91. 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, vol. 231(1), pages 82-106, February.
  92. 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, vol. 1(64), pages 7-33, October -.
  93. 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.
  94. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  95. Benjamin Beckers & Konstantin A. Kholodilin & Dirk Ulbricht, 2017. "Reading between the Lines: Using Media to Improve German Inflation Forecasts," Discussion Papers of DIW Berlin 1665, DIW Berlin, German Institute for Economic Research.
  96. 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, 03.
  97. 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, vol. 68(i03).
  98. Chatterjee, Ujjal K., 2015. "Bank liquidity creation and asset market liquidity," Journal of Financial Stability, Elsevier, vol. 18(C), pages 139-153.
  99. 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.
  100. 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.
  101. Ryan Greenaway-McGrevy & Donggyu Sul & Nelson Mark & Jyh-Lin Wu, 2017. "Identifying Exchange Rate Common Factors," NBER Working Papers 23726, National Bureau of Economic Research, Inc.
  102. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Exploiting Spillovers to forecast Crashes," Tinbergen Institute Discussion Papers 15-118/III, Tinbergen Institute.
  103. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
  104. Kaijian He & Kin Keung Lai & Guocheng Xiang, 2012. "Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach," Energies, MDPI, Open Access Journal, vol. 5(4), pages 1-26, April.
  105. 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.
  106. repec:lan:wpaper:2587 is not listed on IDEAS
  107. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
  108. Ravazzolo, Francesco & Vespignani, Joaquin L., 2015. "A new monthly indicator of global real economic activity," Globalization and Monetary Policy Institute Working Paper 244, Federal Reserve Bank of Dallas.
  109. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
  110. Molodtsova, Tanya & Papell, David H., 2009. "Out-of-sample exchange rate predictability with Taylor rule fundamentals," Journal of International Economics, Elsevier, vol. 77(2), pages 167-180, April.
  111. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
  112. 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).
  113. Candelon, Bertrand & Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2014. "Currency crisis early warning systems: Why they should be dynamic," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1016-1029.
  114. Lise Pichette & Marie-Noëlle Robitaille, 2017. "Assessing the Business Outlook Survey Indicator Using Real-Time Data," Discussion Papers 17-5, Bank of Canada.
  115. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
  116. Dong, Wei & Nam, Deokwoo, 2013. "Exchange rates and individual good's price misalignment: Evidence of long-horizon predictability," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 611-636.
  117. 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.
  118. 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.
  119. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 1-53, January.
  120. Panopoulou, Ekaterini & Pantelidis, Theologos, 2015. "Speculative behaviour and oil price predictability," Economic Modelling, Elsevier, vol. 47(C), pages 128-136.
  121. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2016. "An Overview of the Factor-augmented Error-Correction Model," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 3-41 Emerald Publishing Ltd.
  122. Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 183-203.
  123. Cerra, Valerie & Saxena, Sweta Chaman, 2010. "The monetary model strikes back: Evidence from the world," Journal of International Economics, Elsevier, vol. 81(2), pages 184-196, July.
  124. 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.
  125. Dick, Christian, 2010. "Die Weltkonjunktur aus deutscher Sicht," ZEW Wachstums- und Konjunkturanalysen, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research, vol. 13(1), pages 8-9.
  126. repec:eee:ecmode:v:64:y:2017:i:c:p:26-39 is not listed on IDEAS
  127. Gueorgui I. Kolev, 2008. "Forecasting aggregate stock returns using the number of initial public offerings as a predictor," Economics Bulletin, AccessEcon, vol. 7(13), pages 1-8.
  128. 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.
  129. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Thuraisamy, Kannan & Westerlund, Joakim, 2016. "Price discovery and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 224-235.
  130. Ciccarelli, Matteo & Altavilla, Carlo, 2007. "Information combination and forecast (st)ability evidence from vintages of time-series data," Working Paper Series 846, European Central Bank.
  131. Nikolsko-Rzhevskyy, Alex & Prodan, Ruxandra, 2012. "Markov switching and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 28(2), pages 353-365.
  132. Buncic, Daniel & Tischhauser, Martin, 2015. "Macroeconomic Factors and Equity Premium Predictability," Economics Working Paper Series 1522, University of St. Gallen, School of Economics and Political Science.
  133. repec:fgv:epgrbe:v:68:n:1:a:3 is not listed on IDEAS
  134. Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics 11140, University of Munich, Department of Economics.
  135. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 857, Banco de la Republica de Colombia.
  136. Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2011. "How accurate are government forecasts of economic fundamentals? The case of Taiwan," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1066-1075, October.
  137. Patrick Minford & Yongdeng Xu & Peng Zhou, 2015. "How Good are Out of Sample Forecasting Tests on DSGE Models?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(3), pages 333-351, November.
  138. Terence Tai-Leung Chong & Shiyu Lin, 2017. "Predictive models for disaggregate stock market volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 261-288, August.
  139. Rapach, David E. & Strauss, Jack K., 2012. "Forecasting US state-level employment growth: An amalgamation approach," International Journal of Forecasting, Elsevier, vol. 28(2), pages 315-327.
  140. Chang, Andrew C. & Hanson, Tyler J., 2016. "The accuracy of forecasts prepared for the Federal Open Market Committee," Journal of Economics and Business, Elsevier, vol. 83(C), pages 23-43.
  141. Robert Lehmann, 2015. "Survey-based indicators vs. hard data: What improves export forecasts in Europe?," ifo Working Paper Series 196, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
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  283. Jose Luis Nolazco & Pablo Pincheira & Jorge Selaive, 2016. "The evasive predictive ability of core inflation," Working Papers 15/34, BBVA Bank, Economic Research Department.
  284. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  285. Laura D´Amato & Lorena Garegnani & Emilio Blanco, 2015. "GDP Nowcasting: Assessing business cycle conditions in Argentina," BCRA Working Paper Series 201569, Central Bank of Argentina, Economic Research Department.
  286. repec:lan:wpaper:2444 is not listed on IDEAS
  287. Lunsford, Kurt G., 2015. "Forecasting residential investment in the United States," International Journal of Forecasting, Elsevier, vol. 31(2), pages 276-285.
  288. repec:eee:eneeco:v:66:y:2017:i:c:p:547-558 is not listed on IDEAS
  289. repec:eee:finana:v:52:y:2017:i:c:p:119-129 is not listed on IDEAS
  290. Gozgor, Giray & Nokay, Pinar, 2011. "Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL," MPRA Paper 34369, University Library of Munich, Germany.
  291. 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.
  292. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
  293. Huurman, Christian & Ravazzolo, Francesco & Zhou, Chen, 2012. "The power of weather," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3793-3807.
  294. Jaqueson K Galimberti, 2017. "Forecasting GDP growth from the outer space," KOF Working papers 17-427, KOF Swiss Economic Institute, ETH Zurich.
  295. Konstantin A. Kholodilin & Boriss Siliverstovs, 2015. "Think national, forecast local: A case study of 71 German urban housing markets," KOF Working papers 15-372, KOF Swiss Economic Institute, ETH Zurich.
  296. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
  297. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, Elsevier.
  298. 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, vol. 30(4), pages 996-1015.
  299. Gargano, Antonio & Timmermann, Allan, 2014. "Forecasting commodity price indexes using macroeconomic and financial predictors," International Journal of Forecasting, Elsevier, vol. 30(3), pages 825-843.
  300. Bordo, Michael D. & Haubrich, Joseph G., 2008. "Forecasting with the yield curve; level, slope, and output 1875-1997," Economics Letters, Elsevier, vol. 99(1), pages 48-50, April.
  301. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2014. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 310-335.
  302. 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.
  303. Strauss, Jack, 2013. "Does housing drive state-level job growth? Building permits and consumer expectations forecast a state’s economic activity," Journal of Urban Economics, Elsevier, vol. 73(1), pages 77-93.
  304. Altavilla, Carlo & Ciccarelli, Matteo, 2010. "Evaluating the effect of monetary policy on unemployment with alternative inflation forecasts," Economic Modelling, Elsevier, vol. 27(1), pages 237-253, January.
  305. Mariano, Roberto S. & Preve, Daniel, 2012. "Statistical tests for multiple forecast comparison," Journal of Econometrics, Elsevier, vol. 169(1), pages 123-130.
  306. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013. "Common factors and the exchange rate: results from the Brazilian case," Insper Working Papers wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  307. Pablo Pincheira & Hernán Rubio, 2010. "The Low Predictive Power of Simple Phillips Curves in Chile: A Real-Time Evaluation," Working Papers Central Bank of Chile 559, Central Bank of Chile.
  308. Schmeling, Maik & Schrimpf, Andreas, 2011. "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
  309. 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.
  310. Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
  311. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz J., 2012. "The Usefulness of factor models in forecasting the exchange rate: results from the Brazilian case," Insper Working Papers wpe_273, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  312. repec:kap:ecopln:v:50:y:2017:i:3:d:10.1007_s10644-017-9212-7 is not listed on IDEAS
  313. Axel Groß‐KlußMann & Nikolaus Hautsch, 2013. "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 724-742, December.
  314. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, Elsevier.
  315. repec:eee:reveco:v:51:y:2017:i:c:p:621-644 is not listed on IDEAS
  316. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume,in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  317. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  318. Pablo Pincheira B., 2008. "Predictibilidad Encubierta en Economía: El Caso del Tipo de Cambio Nominal Chileno," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(1), pages 137-142, April.
  319. Hutter, Christian & Weber, Enzo, 2014. "Forecasting with a mismatch-enhanced labor market matching function," IAB Discussion Paper 201416, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  320. Ida Wolden Bache & James Mitchell & Francesco Ravazzolo & Shaun P. Vahey, 2009. "Macro modelling with many models," Working Paper 2009/15, Norges Bank.
  321. 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.
  322. Nuno Silva, 2013. "Equity Premia Predictability in the EuroZone," GEMF Working Papers 2013-22, GEMF, Faculty of Economics, University of Coimbra.
  323. Luca Guerrieri & Michelle Welch, 2012. "Can macro variables used in stress testing forecast the performance of banks?," Finance and Economics Discussion Series 2012-49, Board of Governors of the Federal Reserve System (U.S.).
  324. Han, Xing & Li, Youwei, 2017. "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
  325. Mardi Dungey & Jan P.A.M. Jacobs & Jing Tian, 2017. "Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks," Applied Economics, Taylor & Francis Journals, vol. 49(45), pages 4554-4566, September.
  326. He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015. "Dynamic factors and asset pricing: International and further U.S. evidence," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 21-39.
  327. Michael P. Clements, 2014. "Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets," ICMA Centre Discussion Papers in Finance icma-dp2014-06, Henley Business School, Reading University.
  328. Hilde Bjørnland & Leif Brubakk & Anne Jore, 2008. "Forecasting inflation with an uncertain output gap," Empirical Economics, Springer, vol. 35(3), pages 413-436, November.
  329. David A Reichsfeld & Shaun K. Roache, 2011. "Do Commodity Futures Help Forecast Spot Prices?," IMF Working Papers 11/254, International Monetary Fund.
  330. Qiu, Mei & Pinfold, John F. & Rose, Lawrence C., 2011. "Predicting foreign exchange movements using historic deviations from PPP," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 485-497, October.
  331. repec:eee:intfor:v:34:y:2018:i:1:p:64-74 is not listed on IDEAS
  332. Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
  333. Schanne, Norbert, 2015. "A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany," IAB Discussion Paper 201513, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  334. Cortazar, Gonzalo & Eterovic, Francisco, 2010. "Can oil prices help estimate commodity futures prices? The cases of copper and silver," Resources Policy, Elsevier, vol. 35(4), pages 283-291, December.
  335. Zhu, Xiaoneng, 2015. "Out-of-sample bond risk premium predictions: A global common factor," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 155-173.
  336. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
  337. Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, Department of Economics and Business Economics, Aarhus University.
  338. KIlIç, Rehim, 2011. "Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 368-378, March.
  339. Claudia Foroni & Francesco Ravazzolo & Barbara Sadaba, 2017. "Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns," Staff Working Papers 17-19, Bank of Canada.
  340. Badarinza, Cristian & Buchmann, Marco, 2011. "Macroeconomic vulnerability and disagreement in expectations," Working Paper Series 1407, European Central Bank.
  341. Levent Bulut, 2015. "Google Trends and Forecasting Performance of Exchange Rate Models," IPEK Working Papers 1505, Ipek University, Department of Economics.
  342. Jeffrey S. Racine & Christopher F. Parmeter, 2012. "Data-Driven Model Evaluation: A Test for Revealed Performance," Department of Economics Working Papers 2012-13, McMaster University.
  343. repec:gam:jsusta:v:8:y:2016:i:4:p:387:d:68672 is not listed on IDEAS
  344. Bermingham, Colin, 2008. "Quantifying the Impact of Oil Prices on Inflation," Research Technical Papers 8/RT/08, Central Bank of Ireland.
  345. Vermeulen, Philip, 2012. "Quantifying the qualitative responses of the output purchasing managers index in the US and the Euro area," Working Paper Series 1417, European Central Bank.
  346. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2015. "Markov-switching mixed-frequency VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 692-711.
  347. repec:amu:wpaper:2013-04 is not listed on IDEAS
  348. repec:ecb:ecbwps:20111428 is not listed on IDEAS
  349. Marek RUSNAK, 2013. "Revisions to the Czech National Accounts: Properties and Predictability," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(3), pages 244-261, July.
  350. Vermeulen, Philip, 2014. "An evaluation of business survey indices for short-term forecasting: Balance method versus Carlson–Parkin method," International Journal of Forecasting, Elsevier, vol. 30(4), pages 882-897.
  351. Amendola, Alessandra & Candila, Vincenzo & Scognamillo, Antonio, 2015. "On the influence of the U.S. monetary policy on the crude oil price volatility," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy 207860, Italian Association of Agricultural and Applied Economics (AIEAA).
  352. Ince, Onur, 2014. "Forecasting exchange rates out-of-sample with panel methods and real-time data," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 1-18.
  353. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
  354. Rodrigo Fuentes & Fabián Gredig & Mauricio Larraín, 2008. "La brecha de producto en Chile: medición y evaluación," Investigación Conjunta-Joint Research,in: Centro de Estudios Monetarios Latinoamericanos (CEMLA) (ed.), Estimación y Uso de Variables no Observables en la Región, edition 1, volume 1, chapter 3, pages 69-102 Centro de Estudios Monetarios Latinoamericanos, CEMLA.
  355. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2016. "Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange," Economic Modelling, Elsevier, vol. 52(PB), pages 592-608.
  356. Richard A. Ashley & Christopher F. Parmeter, 2013. "Sensitivity Analysis of Inference in GMM Estimation With Possibly-Flawed Moment Conditions," Working Papers e07-40, Virginia Polytechnic Institute and State University, Department of Economics.
  357. repec:eee:finana:v:54:y:2017:i:c:p:97-113 is not listed on IDEAS
  358. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
  359. Francisco Javier Eransus & Alfonso Novales Cinca, 2014. "Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions," Documentos de Trabajo del ICAE 2014-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  360. Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand, 2017. "The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey," Economic Modelling, Elsevier, vol. 64(C), pages 26-39.
  361. Beckmann, Joscha & Schüssler, Rainer, 2016. "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 267-288.
  362. Arbués, Ignacio, 2013. "Determining the MSE-optimal cross section to forecast," Journal of Econometrics, Elsevier, vol. 175(2), pages 61-70.
  363. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
  364. Rodrigo Fuentes & Fabián Gredig & Mauricio Larraín, 2007. "Estimating the Output Gap for Chile," Working Papers Central Bank of Chile 455, Central Bank of Chile.
  365. 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].
  366. Gross, Marco & Binder, Michael, 2013. "Regime-switching global vector autoregressive models," Working Paper Series 1569, European Central Bank.
  367. P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-71, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  368. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
  369. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators," Finance Research Letters, Elsevier, vol. 13(C), pages 196-204.
  370. Jonathan Hambur & Lynne Cockerell & Christopher Potter & Penelope Smith & Michelle Wright, 2015. "Modelling the Australian Dollar," RBA Research Discussion Papers rdp2015-12, Reserve Bank of Australia.
  371. Gross, Marco, 2013. "Estimating GVAR weight matrices," Working Paper Series 1523, European Central Bank.
  372. 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.
  373. Lu, Helen & Jacobsen, Ben, 2016. "Cross-asset return predictability: Carry trades, stocks and commodities," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 62-87.
  374. Pablo Pincheira & Carlos Medel, 2012. "Forecasting Inflation With a Random Walk," Working Papers Central Bank of Chile 669, Central Bank of Chile.
  375. Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Equity Premia using Bayesian Dynamic Model Averaging," CQE Working Papers 2914, Center for Quantitative Economics (CQE), University of Muenster.
  376. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2008. "The Yield Curve and its Relation with Economic Activity: The Mexican Case," Working Papers 2008-15, Banco de México.
  377. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.
  378. Tomáš Havránek & Roman Horváth & Jakub Matějů, 2012. "Monetary transmission and the financial sector in the Czech Republic," Economic Change and Restructuring, Springer, vol. 45(3), pages 135-155, August.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.