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Approximately normal tests for equal predictive accuracy in nested models

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  1. repec:voj:journl:v:63:y:2016:i:3:p:273-291 is not listed on IDEAS
  2. 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, September.
  3. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2017. "Further evidence on bear market predictability: The role of the external finance premium," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 106-121.
  4. Gross, 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.
  5. Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Exchange Rates under Model and Parameter Uncertainty," CQE Working Papers 3214, Center for Quantitative Economics (CQE), University of Muenster.
  6. Naraidoo, Ruthira & Paya, Ivan, 2012. "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, vol. 28(2), pages 446-455.
  7. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2013. "State-Dependent Threshold Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 835-854, December.
  8. 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.
  9. 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.
  10. 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.
  11. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  12. 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.
  13. 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.
  14. Filippou, Ilias & Taylor, Mark P., 2017. "Common Macro Factors and Currency Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(04), pages 1731-1763, August.
  15. David Genesove & James Hansen, 2014. "Predicting Dwelling Prices with Consideration of the Sales Mechanism," RBA Research Discussion Papers rdp2014-09, Reserve Bank of Australia.
  16. 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.
  17. 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.
  18. 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.
  19. Daniele Valenti & Matteo Manera & Alessandro Sbuelz, 2018. "Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?," Working Papers 2018.03, Fondazione Eni Enrico Mattei.
  20. Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical Asset Pricing with Nonlinear Risk Premia," Working Papers wp09-03, Warwick Business School, Finance Group.
  21. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, Elsevier.
  22. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  23. 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.
  24. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2017. "The dynamic linkages between crude oil and natural gas markets," Energy Economics, Elsevier, vol. 62(C), pages 155-170.
  25. David Iselin & Boriss Siliverstovs, 2013. "Using Newspapers for Tracking the Business Cycle," KOF Working papers 13-337, KOF Swiss Economic Institute, ETH Zurich.
  26. Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
  27. repec:spr:jbuscr:v:12:y:2016:i:1:d:10.1007_s41549-016-0002-5 is not listed on IDEAS
  28. Hashmat Khan & Santosh Upadhayaya, 2017. "Does Business Confidence Matter for Investment?," Carleton Economic Papers 17-13, Carleton University, Department of Economics.
  29. 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.
  30. Carlos A. Medel & Michael Pedersen & Pablo M. Pincheira, 2016. "The Elusive Predictive Ability of Global Inflation," International Finance, Wiley Blackwell, vol. 19(2), pages 120-146, June.
  31. Pablo Pincheira & Andrés Gatty, 2016. "Forecasting Chilean inflation with international factors," Empirical Economics, Springer, vol. 51(3), pages 981-1010, November.
  32. Monticini, Andrea & Ravazzolo, Francesco, 2014. "Forecasting the intraday market price of money," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 304-315.
  33. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  34. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  35. 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.
  36. Charles Engel & Nelson C. Mark & Kenneth D. West, 2008. "Exchange Rate Models Are Not As Bad As You Think," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 381-441 National Bureau of Economic Research, Inc.
  37. 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.
  38. Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
  39. Goodness C. Aye Author-Email: goodness.aye@gmail.com & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291, June.
  40. Erkko Etula, 2013. "Broker-Dealer Risk Appetite and Commodity Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(3), pages 486-521, June.
  41. 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.
  42. 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.
  43. 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.
  44. Genesove, David & Hansen, James, 2016. "The Role of Auctions and Negotiation in Housing Prices," CEPR Discussion Papers 11392, C.E.P.R. Discussion Papers.
  45. repec:eee:eneeco:v:68:y:2017:i:c:p:240-254 is not listed on IDEAS
  46. 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.
  47. Marczak, Martyna & Proietti, Tommaso, 2016. "Outlier detection in structural time series models: The indicator saturation approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 180-202.
  48. 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.
  49. Kai Carstensen & Markus Heinrich & Magnus Reif & Maik H. Wolters, 2017. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle," CESifo Working Paper Series 6457, CESifo Group Munich.
  50. 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.
  51. 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.
  52. repec:wly:japmet:v:32:y:2017:i:2:p:275-295 is not listed on IDEAS
  53. Colin Bermingham & Antonello D’Agostino, 2014. "Understanding and forecasting aggregate and disaggregate price dynamics," Empirical Economics, Springer, vol. 46(2), pages 765-788, March.
  54. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2016. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(8), pages 1935-1955, August.
  55. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
  56. John Y. Campbell & Stefano Giglio & Christopher Polk, 2013. "Hard Times," Review of Asset Pricing Studies, Oxford University Press, vol. 3(1), pages 95-132.
    • 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.
  57. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  58. 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.
  59. 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.
  60. Wu, Jyh-Lin & Hu, Yu-Hau, 2009. "New evidence on nominal exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 1045-1063, October.
  61. Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
  62. Schnatz, Bernd & D'Agostino, Antonello, 2012. "Survey-based nowcasting of US growth: a real-time forecast comparison over more than 40 years," Working Paper Series 1455, European Central Bank.
  63. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
  64. 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).
  65. 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.
  66. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
  67. 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.
  68. Boriss Siliverstovs, 2016. "International Stock Return Predictability: On the Role of the United States in Bad and Good Times," EcoMod2016 9534, EcoMod.
  69. Gradojevic, Nikola, 2007. "The microstructure of the Canada/U.S. dollar exchange rate: A robustness test," Economics Letters, Elsevier, vol. 94(3), pages 426-432, March.
  70. 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.
  71. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2016. "Intraday return predictability, portfolio maximisation, and hedging," Emerging Markets Review, Elsevier, vol. 28(C), pages 105-116.
  72. 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.
  73. 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.
  74. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, Open Access Journal, vol. 2(1), pages 1-20, March.
  75. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  76. 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.
  77. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," International Journal of Forecasting, Elsevier, vol. 31(3), pages 664-679.
  78. 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.
  79. 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.
  80. 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.
  81. 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.
  82. Robert Lehmann, 2015. "Survey-based indicators vs. hard data: What improves export forecasts in Europe?," ERSA conference papers ersa15p756, European Regional Science Association.
  83. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  84. 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.
  85. 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.
  86. Lubos Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, August.
  87. 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.
  88. Acuña, Guillermo, 2017. "Evaluación de la capacidad predictiva del índice de percepción del consumidor
    [Assessing the predictive power of the consumer perception index]
    ," MPRA Paper 83154, University Library of Munich, Germany.
  89. 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.
  90. Pincheira, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2017. "Forecasting Inflation in Latin America with Core Measures," MPRA Paper 80496, University Library of Munich, Germany.
  91. Kenneth Rogoff, 2009. "Exchange rates in the modern floating era: what do we really know?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(1), pages 1-12, April.
  92. King, Daniel & Botha, Ferdi, 2015. "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, vol. 45(C), pages 50-73.
  93. 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.
  94. 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.
  95. Duncan, Roberto & Martinez-Garcia, Enrique, 2015. "Forecasting local inflation with global inflation: when economic theory meets the facts," Globalization and Monetary Policy Institute Working Paper 235, Federal Reserve Bank of Dallas.
  96. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010. "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper 2010/29, Norges Bank.
  97. 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.
  98. 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.
  99. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  100. 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.
  101. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, Elsevier.
  102. 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.
  103. repec:ipg:wpaper:2014-053 is not listed on IDEAS
  104. Busetti, Fabio & Marcucci, Juri, 2013. "Comparing forecast accuracy: A Monte Carlo investigation," International Journal of Forecasting, Elsevier, vol. 29(1), pages 13-27.
  105. 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.
  106. Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
  107. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  108. 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.
  109. Leo Krippner & Michelle Lewis, 2018. "Real-time forecasting with macro-finance models in the presence of a zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2018/04, Reserve Bank of New Zealand.
  110. Roman Horvath, 2012. "Do Confidence Indicators Help Predict Economic Activity? The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 398-412, November.
  111. 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).
  112. Park, Cheolbeom & Park, Sookyung, 2013. "Exchange rate predictability and a monetary model with time-varying cointegration coefficients," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 394-410.
  113. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  114. 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.
  115. repec:eee:empfin:v:42:y:2017:i:c:p:212-239 is not listed on IDEAS
  116. 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.
  117. Charles, Amelie & Darne, Olivier & Kim, Jae, 2016. "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper 70143, University Library of Munich, Germany.
  118. Francesco Ravazzolo & Joaquin Vespignani, 2017. "World steel production: A new monthly indicator of global real economic activity," CAMA Working Papers 2017-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  119. Coble, David & Pincheira, Pablo, 2017. "Nowcasting Building Permits with Google Trends," MPRA Paper 76514, University Library of Munich, Germany.
  120. Khalaf, Lynda & Saunders, Charles J., 2017. "Monte Carlo forecast evaluation with persistent data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 1-10.
  121. Abdullah Almansour and Margaret Insley, 2016. "The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  122. Wei Dong & Deokwoo Nam, 2011. "Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability," Discussion Papers 11-8, Bank of Canada.
  123. 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.
  124. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
  125. Barbara Rossi & Atsushi Inoue, 2012. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 432-453, April.
  126. 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.
  127. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  128. 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.
  129. 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).
  130. 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.
  131. 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.
  132. 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.
  133. 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.
  134. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
  135. Rudan Wang & Bruce Morley & Javier Ordóñez, 2015. "The Taylor Rule, Wealth Effects and the Exchange Rate," Working Papers 2015/08, Economics Department, Universitat Jaume I, Castellón (Spain).
  136. 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.
  137. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
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  139. 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.
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  284. 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.
  285. 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.
  286. 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.
  287. 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.
  288. Pincheira, Pablo, 2017. "A Power Booster Factor for Out-of-Sample Tests of Predictability," MPRA Paper 77027, University Library of Munich, Germany.
  289. Hilde Bjørnland & Leif Brubakk & Anne Jore, 2008. "Forecasting inflation with an uncertain output gap," Empirical Economics, Springer, vol. 35(3), pages 413-436, November.
  290. 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.
  291. David A Reichsfeld & Shaun K. Roache, 2011. "Do Commodity Futures Help Forecast Spot Prices?," IMF Working Papers 11/254, International Monetary Fund.
  292. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
  293. Kirstin Hubrich & Frauke Skudelny, 2017. "Forecast Combination for Euro Area Inflation: A Cure in Times of Crisis?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 515-540, August.
  294. Li, Yan & Ng, David T. & Swaminathan, Bhaskaran, 2013. "Predicting market returns using aggregate implied cost of capital," Journal of Financial Economics, Elsevier, vol. 110(2), pages 419-436.
  295. 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.
  296. Liu, Qingfu & Tse, Yiuman, 2017. "Overnight returns of stock indexes: Evidence from ETFs and futures," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 440-451.
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  299. He, Kaijian & Lai, Kin Keung & Yen, Jerome, 2011. "Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach," Energy Economics, Elsevier, vol. 33(5), pages 903-911, September.
  300. Rossi, Barbara & Sekhposyan, Tatevik, 2011. "Understanding models' forecasting performance," Journal of Econometrics, Elsevier, vol. 164(1), pages 158-172, September.
  301. 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.
  302. Camacho Maximo & Lovcha Yuliya & Quiros Gabriel Perez, 2015. "Can we use seasonally adjusted variables in dynamic factor models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(3), pages 377-391, June.
  303. Sarah Gelper & Christophe Croux, 2010. "On the Construction of the European Economic Sentiment Indicator," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 47-62, February.
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  305. S. Béreau & V. Faubert & K. Schmidt, 2018. "Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors," Working papers 663, Banque de France.
  306. 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.
  307. 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].
  308. 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.
  309. 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.
  310. 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.
  311. 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.
  312. 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.
  313. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
  314. Yunjung Kim & Cheolbeom Park, 2016. "Are Exchange Rates Disconnected from Macroeconomic Variables? Evidence from the Factor Approach," Discussion Paper Series 1606, Institute of Economic Research, Korea University.
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  316. 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.
  317. Shiu-Sheng Chen & Yu-Hsi Chou, 2010. "Exchange Rates and Fundamentals: Evidence from Long-Horizon Regression Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 63-88, February.
  318. Badarinza, Cristian & Gross, Marco, 2011. "Macroeconomic vulnerability and disagreement in expectations," Working Paper Series 1407, European Central Bank.
  319. Foroni, Claudia & Ravazzolo, Francesco & Sadaba, Barbara, 2018. "Assessing the predictive ability of sovereign default risk on exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 242-264.
  320. Chang‐Jin Kim & Cheolbeom Park, 2013. "Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
  321. Levent Bulut, 2015. "Google Trends and Forecasting Performance of Exchange Rate Models," IPEK Working Papers 1505, Ipek University, Department of Economics.
  322. Driver, Ciaran & Trapani, Lorenzo & Urga, Giovanni, 2013. "On the use of cross-sectional measures of forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 29(3), pages 367-377.
  323. 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.
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  325. Bermingham, Colin, 2008. "Quantifying the Impact of Oil Prices on Inflation," Research Technical Papers 8/RT/08, Central Bank of Ireland.
  326. Haskamp, Ulrich, 2017. "Forecasting exchange rates: The time-varying relationship between exchange rates and Taylor rule fundamentals," Ruhr Economic Papers 704, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  327. Boriss Siliverstovs, 2015. "Dissecting Models' Forecasting Performance," KOF Working papers 15-397, KOF Swiss Economic Institute, ETH Zurich.
  328. 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.
  329. Matheson, Troy D., 2008. "Phillips curve forecasting in a small open economy," Economics Letters, Elsevier, vol. 98(2), pages 161-166, February.
  330. Pablo Pincheira Brown & Álvaro García Marín, 2009. "Forecasting Inflation in Chile With an Accurate Benchmark," Working Papers Central Bank of Chile 514, Central Bank of Chile.
  331. 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.
  332. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2015. "Markov-switching mixed-frequency VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 692-711.
  333. repec:amu:wpaper:2013-04 is not listed on IDEAS
  334. Huber Florian, 2016. "Forecasting exchange rates using multivariate threshold models," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 193-210, January.
  335. Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," MPRA Paper 58956, University Library of Munich, Germany.
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  337. 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, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
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  339. 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.
  340. 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.
  341. 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).
  342. Wai-Yip Alex Ho & James Yetman, 2013. "Do economies stall? The international evidence," BIS Working Papers 407, Bank for International Settlements.
  343. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
  344. repec:ebl:ecbull:v:7:y:2008:i:13:p:1-8 is not listed on IDEAS
  345. 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.
  346. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "International stock return predictability: Evidence from new statistical tests," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 97-113.
  347. Chen, Jian & Jiang, Fuwei & Li, Hongyi & Xu, Weidong, 2016. "Chinese stock market volatility and the role of U.S. economic variables," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 70-83.
  348. 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.
  349. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2010. "Forecasting with Factor-augmented Error Correction," Discussion Papers 09-06r, Department of Economics, University of Birmingham.
  350. 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.
  351. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
  352. 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.
  353. Yang, Kun & Shintani, Mototsugu, 2006. "Does the prediction horizon matter for the forward premium anomaly? Evidence from panel data," Economics Letters, Elsevier, vol. 93(2), pages 255-260, November.
  354. 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.
  355. Kuosmanen, Petri & Nabulsi, Nasib & Vataja, Juuso, 2015. "Financial variables and economic activity in the Nordic countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 368-379.
  356. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Westerlund, Joakim, 2016. "Are Islamic stock returns predictable? A global perspective," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 210-223.
  357. Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116R, Brandeis University, Department of Economics and International Businesss School.
  358. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  359. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Intraday volatility interaction between the crude oil and equity markets," Financial Econometics Series fe_2015_14, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  360. 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.
  361. Li Guo & Yubo Tao & Jun Tu, 2017. "Media Network and Return Predictability," Papers 1703.02715, arXiv.org, revised Dec 2017.
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  363. 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.
  364. 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.
  365. 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.
  366. Robert Lehmann & Antje Weyh, 2016. "Forecasting Employment in Europe: Are Survey Results Helpful?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 81-117, September.
  367. Tomaz Cajner & Leland Crane & Ryan Decker & Adrian Hamins-Puertolas & Christopher J. Kurz & Tyler Radler, 2018. "Using Payroll Processor Microdata to Measure Aggregate Labor Market Activity," Finance and Economics Discussion Series 2018-005, Board of Governors of the Federal Reserve System (U.S.).
  368. Gunter Löffler, 2013. "Tower Building And Stock Market Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(3), pages 413-434, September.
  369. 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.
  370. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2015. "Are Indian stock returns predictable?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 506-531.
  371. 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.
  372. 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.
  373. 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.
  374. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
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  376. Chu‐An Liu & Biing‐Shen Kuo, 2016. "Model averaging in predictive regressions," Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.
  377. Narayan, Paresh Kumar & Sharma, Susan Sunila & Phan, Dinh Hoang Bach, 2016. "Asset price bubbles and economic welfare," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 139-148.
  378. Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2017. "On the influence of US monetary policy on crude oil price volatility," Empirical Economics, Springer, vol. 52(1), pages 155-178, February.
  379. Bucci, Andrea, 2017. "Forecasting realized volatility: a review," MPRA Paper 83232, University Library of Munich, Germany.
  380. 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, vol. 0(4), pages 134-147, December.
  381. Arbués, Ignacio, 2013. "Determining the MSE-optimal cross section to forecast," Journal of Econometrics, Elsevier, vol. 175(2), pages 61-70.
  382. 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, vol. 425(C), pages 1-9.
  383. Waters, James, 2013. "Variable marginal propensities to pirate and the diffusion of computer software," MPRA Paper 46036, University Library of Munich, Germany.
  384. repec:eee:jfinec:v:127:y:2018:i:2:p:248-263 is not listed on IDEAS
  385. Nuno Silva, 2015. "Industry based equity premium forecasts," GEMF Working Papers 2015-19, GEMF, Faculty of Economics, University of Coimbra.
  386. Wang, Xunxiao & Wu, Chongfeng & Xu, Weidong, 2015. "Volatility forecasting: The role of lunch-break returns, overnight returns, trading volume and leverage effects," International Journal of Forecasting, Elsevier, vol. 31(3), pages 609-619.
  387. repec:cuf:journl:y:2017:v:18:i:2:tong is not listed on IDEAS
  388. 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.
  389. Rodrigo Fuentes & Fabián Gredig & Mauricio Larraín, 2007. "Estimating the Output Gap for Chile," Working Papers Central Bank of Chile 455, Central Bank of Chile.
  390. 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].
  391. Gross, Marco & Binder, Michael, 2013. "Regime-switching global vector autoregressive models," Working Paper Series 1569, European Central Bank.
  392. 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).
  393. Li, Ziran, 2017. "Three essays on commodity markets," ISU General Staff Papers 201701010800006361, Iowa State University, Department of Economics.
  394. 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.
  395. 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.
  396. 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.
  397. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
  398. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
  399. 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.
  400. Thomas Lux, 2011. "Sentiment dynamics and stock returns: the case of the German stock market," Empirical Economics, Springer, vol. 41(3), pages 663-679, December.
  401. Gross, Marco, 2013. "Estimating GVAR weight matrices," Working Paper Series 1523, European Central Bank.
  402. David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
  403. Arai, Natsuki, 2014. "Using forecast evaluation to improve the accuracy of the Greenbook forecast," International Journal of Forecasting, Elsevier, vol. 30(1), pages 12-19.
  404. Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2017. "When the Walk Is Not Random: Commodity Prices and Exchange Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 121-158, June.
  405. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
  406. repec:eee:finana:v:52:y:2017:i:c:p:309-315 is not listed on IDEAS
  407. 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.
  408. Pablo Pincheira & Carlos Medel, 2012. "Forecasting Inflation With a Random Walk," Working Papers Central Bank of Chile 669, Central Bank of Chile.
  409. Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
  410. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2017. "Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 69(C), pages 692-704.
  411. Kaijian He & Rui Zha & Jun Wu & Kin Keung Lai, 2016. "Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price," Sustainability, MDPI, Open Access Journal, vol. 8(4), pages 1-11, April.
  412. Alun H. Thomas, 2012. "Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters," IMF Working Papers 12/208, International Monetary Fund.
  413. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
  414. Nan-Kuang Chen & Han-Liang Cheng & Ching-Sheng Mao, 2014. "Identifying and forecasting house prices: a macroeconomic perspective," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2105-2120, December.
  415. 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.
  416. 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.
  417. 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.
  418. 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.
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