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Citations for "Comparing Predictive Accuracy"

by Francis X. Diebold & Robert S. Mariano

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  1. Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009. "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE 0917, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013. "The Impact of Hedge Funds on Asset Markets," Working Papers 13-27, Duke University, Department of Economics.
  3. Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
  4. Christiane Baumeister & Lutz Kilian, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Staff Working Papers 13-28, Bank of Canada.
  5. Ercio Muñoz & Pablo Cruz, 2012. "Uso de un Modelo Favar para Proyectar el Precio del Cobre," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 84-95, December.
  6. Emmanuel Michaux & Éric Dubois, 2006. "Étalonnages à l’aide d’enquêtes de conjoncture : de nouveaux résultats," Économie et Prévision, Programme National Persée, vol. 172(1), pages 11-28.
  7. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
  8. 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.
  9. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
  10. Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona Graduate School of Economics.
  11. Javier Andrés & Fernando Restoy, 2007. "Macroeconomic modelling in EMU: how relevant is the change in regime?," Working Papers 0718, Banco de España;Working Papers Homepage.
  12. Ana-Maria Fuertes & Elena Kalotychou & Natasa Todorovic, 2015. "Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 251-278, August.
  13. Kang, Sang Hoon & Yoon, Seong-Min, 2013. "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, vol. 36(C), pages 354-362.
  14. Baruník, Jozef & Malinská, Barbora, 2016. "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, vol. 164(C), pages 366-379.
  15. Saltoglu, Burak & Yazgan, Ege, 2009. "The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market," MPRA Paper 18741, University Library of Munich, Germany.
  16. Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with Measurement Errors in Dynamic Models," Working Papers 521, Queen Mary University of London, School of Economics and Finance.
  17. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
  18. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc.
  19. Boutahar, Mohamed & Mootamri, Imène & Péguin-Feissolle, Anne, 2009. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Economic Modelling, Elsevier, vol. 26(2), pages 335-341, March.
  20. Bruno, Giancarlo, 2009. "Non-linear relation between industrial production and business surveys data," MPRA Paper 42337, University Library of Munich, Germany.
  21. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
  22. Mihaela Simionescu, 2015. "The Improvement of Unemployment Rate Predictions Accuracy," Prague Economic Papers, University of Economics, Prague, vol. 2015(3), pages 274-286.
  23. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
  24. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
  25. Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2010. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Discussion Papers in Economics 11442, University of Munich, Department of Economics.
  26. Dean Croushore & Simon van Norden, 2016. "Fiscal Forecasts at the FOMC: Evidence from the Greenbooks," CIRANO Working Papers 2016s-17, CIRANO.
  27. Jesus Crespo Cuaresma & Adusei Jumah & Sohbet Karbuz, . "Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles," Working Papers 2007-22, Faculty of Economics and Statistics, University of Innsbruck.
  28. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
  29. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
  30. Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001 258, Society for Computational Economics.
  31. Bork, Lasse & Møller, Stig V., 2015. "Forecasting house prices in the 50 states using Dynamic Model Averaging and Dynamic Model Selection," International Journal of Forecasting, Elsevier, vol. 31(1), pages 63-78.
  32. Gavin, William T. & Mandal, Rachel J., 2003. "Evaluating FOMC forecasts," International Journal of Forecasting, Elsevier, vol. 19(4), pages 655-667.
  33. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2008. "Forecasting Canadian time series with the New Keynesian model," Canadian Journal of Economics, Canadian Economics Association, vol. 41(1), pages 138-165, February.
  34. repec:emu:wpaper:dp15-01.pdf is not listed on IDEAS
  35. Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  36. Houda Ben Hadj Boubaker, 2011. "The Forecasting Performance of Seasonal and Nonlinear Models," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 1(1), pages 26-39, March.
  37. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 149-171.
  38. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
  39. C. Emre Alper & Salih Fendoglu & Burak Saltoglu, 2009. "MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets," Working Papers 2009/04, Bogazici University, Department of Economics.
  40. Heilemann, Ullrich & Stekler, H. O., 2003. "Has the accuracy of German macroeconomic forecasts improved?," Technical Reports 2003,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  41. Martens, M.P.E. & van Dijk, D.J.C., 2006. "Measuring volatility with the realized range," Econometric Institute Research Papers EI 2006-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  42. Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
  43. Malik, Farooq & Nasereddin, Mahdi, 2006. "Forecasting output using oil prices: A cascaded artificial neural network approach," Journal of Economics and Business, Elsevier, vol. 58(2), pages 168-180.
  44. Dinh H B Phan & Susan S Sharma & Paresh K Narayan, . "Stock Return Forecasting: Some New Evidence," Financial Econometics Series 2015_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  45. Lehmann, Robert & Weyh, Antje, 2015. "Forecasting employment in Europe: Are survey results helpful?," IAB Discussion Paper 201530, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  46. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  47. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
  48. Ricardo Gimeno & José Manuel Marqués-Sevillano, 2009. "Incertidumbre y el precio del riesgo en un proceso de convergencia nominal," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 451-489, octubre-d.
  49. Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
  50. Lucian Liviu ALBU & Carlos MatéJIMÉNEZ & Mihaela SIMIONESCU, 2015. "The Assessment of Some Macroeconomic Forecasts for Spain using Aggregated Accuracy Indicators," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 30-47, June.
  51. Mariano, Roberto S. & Preve, Daniel, 2012. "Statistical tests for multiple forecast comparison," Journal of Econometrics, Elsevier, vol. 169(1), pages 123-130.
  52. Gubanova, Tatiana & Lohr, Luanne & Park, Timothy A., 2005. "Forecasting Organic Food Prices: Emerging Methods for Testing and Evaluating Conditional Predictive Ability," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19045, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  53. Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.
  54. Hans-Eggert Reimers, 2003. "Does Money Include Information for Prices in the Euro Area?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 223(5), pages 581-602, September.
  55. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.
  56. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2010. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers 201018, University of Pretoria, Department of Economics.
  57. Fabio Canova & Matteo Ciccarelli, 2002. "Estimating multi-country VAR models," Economics Working Papers 920, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
  58. Christophe Hurlin & Sebastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2015. "Risk Measure Inference," Working Papers halshs-00877279, HAL.
  59. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group.
  60. Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan.
  61. Marco Maffezzoli, . "Non-Walrasian Labor Markets and Real Business Cycles," Working Papers 167, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  62. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  63. Pablo Pincheira, 2012. "Are Forecast Combinations Efficient?," Working Papers Central Bank of Chile 661, Central Bank of Chile.
  64. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Persistence and Cyclical Dependence in the Monthly Euribor Rate," Discussion Papers of DIW Berlin 1165, DIW Berlin, German Institute for Economic Research.
  65. Kanas, Angelos & Yannopoulos, Andreas, 2001. "Comparing linear and nonlinear forecasts for stock returns," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 383-398, December.
  66. Dudek, Sławomir, 2008. "Consumer Survey Data and short-term forecasting of households consumption expenditures in Poland," MPRA Paper 19818, University Library of Munich, Germany.
  67. Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
  68. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
  69. 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 -.
  70. Fildes, Robert, 2006. "The forecasting journals and their contribution to forecasting research: Citation analysis and expert opinion," International Journal of Forecasting, Elsevier, vol. 22(3), pages 415-432.
  71. Sessi Tokpavi, 2013. "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers 2013-27, University of Paris West - Nanterre la Défense, EconomiX.
  72. Andrea Monticini & Francesco Ravazzolo, 2011. "Forecasting the intraday market price of money," Working Paper 2011/06, Norges Bank.
  73. 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.
  74. Harun Özkan & M. Yazgan, 2015. "Is forecasting inflation easier under inflation targeting?," Empirical Economics, Springer, vol. 48(2), pages 609-626, March.
  75. Michele Berardi & Jaqueson K. Galimberti, 2015. "Empirical Calibration of Adaptive Learning," KOF Working papers 15-392, KOF Swiss Economic Institute, ETH Zurich.
  76. Danilov, D.L. & Magnus, J.R., 2001. "On the Harm that Pretesting Does," Discussion Paper 2001-37, Tilburg University, Center for Economic Research.
  77. Rangan Gupta & Alain Kabundi, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
  78. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics 11/23, University of Canterbury, Department of Economics and Finance.
  79. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2012. "Comparison of misspecified calibrated models: The minimum distance approach," Journal of Econometrics, Elsevier, vol. 169(1), pages 131-138.
  80. Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
  81. Marczak, Martyna & Proietti, Tommaso, 2015. "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113137, Verein für Socialpolitik / German Economic Association.
  82. Bhattacharya, Prasad S. & Thomakos, Dimitrios D., 2008. "Forecasting industry-level CPI and PPI inflation: Does exchange rate pass-through matter?," International Journal of Forecasting, Elsevier, vol. 24(1), pages 134-150.
  83. Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper RWP 04-03, Federal Reserve Bank of Kansas City.
  84. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 187-228.
  85. Liu, Li & Zhang, Tao, 2015. "Economic policy uncertainty and stock market volatility," Finance Research Letters, Elsevier, vol. 15(C), pages 99-105.
  86. BRATU SIMIONESCU, Mihaela, 2012. "Two Quantitative Forecasting Methods For Macroeconomic Indicators In Czech Republic," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 3(1), pages 71-87.
  87. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers 201122, University of Pretoria, Department of Economics.
  88. Regis Barnichon & Christopher J. Nekarda, 2013. "The ins and outs of forecasting unemployment: Using labor force flows to forecast the labor market," Finance and Economics Discussion Series 2013-19, Board of Governors of the Federal Reserve System (U.S.).
  89. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.
  90. Bernardini, Emmanuela & Cubadda, Gianluca, 2015. "Macroeconomic forecasting and structural analysis through regularized reduced-rank regression," International Journal of Forecasting, Elsevier, vol. 31(3), pages 682-691.
  91. Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers 2008/02, Latvijas Banka.
  92. Robert Lehmann & Klaus Wohlrabe, 2014. "Forecasting gross value-added at the regional level: are sectoral disaggregated predictions superior to direct ones?," Review of Regional Research, Springer, vol. 34(1), pages 61-90, February.
  93. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  94. Legerstee, R. & Franses, Ph.H.B.F., 2010. "Does Disagreement Amongst Forecasters have Predictive Value?," Econometric Institute Research Papers EI 2010-53, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  95. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," CESifo Working Paper Series 4807, CESifo Group Munich.
  96. Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer, vol. 9(1), pages 41-57, March.
  97. Corielli, Francesco & Marcellino, Massimiliano, 2006. "Factor based index tracking," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2215-2233, August.
  98. Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers 08-03, Duke University, Department of Economics.
  99. Corradi, Valentina & Swanson, Norman R., 2007. "Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data," Journal of Econometrics, Elsevier, vol. 136(2), pages 699-723, February.
  100. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(03), pages 77-108, May.
  101. Katja Drechsel & Rolf Scheufele, 2010. "Should We Trust in Leading Indicators? Evidence from the Recent Recession," IWH Discussion Papers 10, Halle Institute for Economic Research.
  102. Giorgio Valente & Mark Taylor & Lucio Sarno & Richard Clarida, 2004. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," Working Papers wp04-13, Warwick Business School, Finance Group.
  103. Hofmann, Boris, 2008. "Do monetary indicators lead euro area inflation?," Working Paper Series 0867, European Central Bank.
  104. António Rua, 2010. "A Wavelet Approach for Factor-Augmented Forecasting," Working Papers w201007, Banco de Portugal, Economics and Research Department.
  105. Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
  106. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2012. "Jump robust daily covariance estimation by disentangling variance and correlation components," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 2993-3005.
  107. Dovern, Jonas & Huber, Florian, 2015. "Global prediction of recessions," Economics Letters, Elsevier, vol. 133(C), pages 81-84.
  108. Giang Trinh & Cam Rungie & Malcolm Wright & Carl Driesener & John Dawes, 2014. "Predicting future purchases with the Poisson log-normal model," Marketing Letters, Springer, vol. 25(2), pages 219-234, June.
  109. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  110. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2009. "Predicting Agri-Commodity Prices: an Asset Pricing Approach," Working Papers UWEC-2010-02, University of Washington, Department of Economics.
  111. Giorgio Valente & Lucio Sarno & Abhay Abhayankar, 2004. "Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability," Working Papers wp04-01, Warwick Business School, Finance Group.
  112. Menzie D. Chinn & Ron Alquist, 2006. "Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment," NBER Working Papers 12481, National Bureau of Economic Research, Inc.
  113. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, Reading University.
  114. Paap, Richard & Segers, Rene & van Dijk, Dick, 2009. "Do Leading Indicators Lead Peaks More Than Troughs?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 528-543.
  115. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
  116. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
  117. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, vol. 148(2), pages 114-123, February.
  118. Carlo Altavilla & Paul De Grauwe, 2005. "Non-Linearities in the Relation between the Exchange Rate and its Fundamentals," CESifo Working Paper Series 1561, CESifo Group Munich.
  119. Marian Berneburg, 2003. "Composite Leading Indicators der amerikanischen Wirtschaft - Prognosegüte des Conference Board und des OECD Ansatzes im Vergleich," IWH Discussion Papers 172, Halle Institute for Economic Research.
  120. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
  121. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1652-1669, December.
  122. Antonio Mele, 2009. "Financial Volatility and Economic Activity," FMG Discussion Papers dp642, Financial Markets Group.
  123. Carstensen, Kai, 2007. "Is core money growth a good and stable inflation predictor in the euro area?," Kiel Working Papers 1318, Kiel Institute for the World Economy (IfW).
  124. Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay, 2011. "Clustering and Classification in Option Pricing," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 3(2), pages 109-128, October.
  125. Oliver Blaskowitz & Helmut Herwartz, 2009. "On economic evaluation of directional forecasts," SFB 649 Discussion Papers SFB649DP2009-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  126. Neely, Christopher J. & Weller, Paul, 2000. "Predictability in International Asset Returns: A Reexamination," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 601-620, December.
  127. Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 493-497.
  128. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
  129. Rodrigo Fuentes & Fabián Gredig & Mauricio Larraín, 2008. "La brecha de producto en Chile: medición y evaluación," Investigación Conjunta - español, 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.
  130. Fabio Canova & Matteo Ciccarelli, 2000. "Forecasting And Turning Point Predictions In A Bayesian Panel Var Model," Working Papers. Serie AD 2000-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  131. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
  132. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  133. Bekiros, Stelios D. & Paccagnini, Alessia, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 298-323.
  134. Patrizio Pagano & Massimiliano Pisani, 2006. "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers) 585, Bank of Italy, Economic Research and International Relations Area.
  135. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, Elsevier.
  136. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
  137. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models," NBER Working Papers 13611, National Bureau of Economic Research, Inc.
  138. Hyun Hak Kim & Norman Swanson, 2013. "Mining Big Data Using Parsimonious Factor and Shrinkage Methods," Departmental Working Papers 201316, Rutgers University, Department of Economics.
  139. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
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  1296. Ubilava, David & Helmers, C Gustav, 2012. "Forecasting ENSO with a smooth transition autoregressive model," MPRA Paper 36890, University Library of Munich, Germany.
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  1312. Pablo Pincheira, 2012. "A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 04-39, December.
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  1314. Wali Ullah & Yoshihiko Tsukuda & Yasumasa Matsuda, 2012. "Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Does Macroeconomic Factors Imply Better Out-of-Sample Forecasts?," TERG Discussion Papers 287, Graduate School of Economics and Management, Tohoku University.
  1315. 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).
  1316. Lizardo, Radhamés A. & Mollick, André V., 2009. "Do foreign purchases of U.S. stocks help the U.S. stock market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 969-986, December.
  1317. Benner, Joachim & Meier, Carsten-Patrick, 2005. "Was leisten Stimmungsindikatoren für die Prognose des realen Bruttoinlandsprodukts in Deutschland? : Eine Echtzeit-Analyse," Open Access Publications from Kiel Institute for the World Economy 3725, Kiel Institute for the World Economy (IfW).
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  1319. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  1320. Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2008. "The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area," Working Paper Series 0901, European Central Bank.
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  1342. Catherine L. Kling & Raymond W. Arritt & Gray Calhoun & David A. Keiser, 2016. "Research Needs and Challenges in the FEW System: Coupling Economic Models with Agronomic, Hydrologic, and Bioenergy Models for Sustainable Food, Energy, and Water Systems," Center for Agricultural and Rural Development (CARD) Publications 16-wp563, Center for Agricultural and Rural Development (CARD) at Iowa State University.
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  1347. Muzzioli, Silvia, 2015. "The optimal corridor for implied volatility: From periods of calm to turmoil," Journal of Economics and Business, Elsevier, vol. 81(C), pages 77-94.
  1348. Simonetta Longhi & Peter Nijkamp, 2005. "Forecasting Regional Labour Market Developments Under Spatial Heterogeneity and Spatial Autocorrelation," Tinbergen Institute Discussion Papers 05-041/3, Tinbergen Institute.
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  1536. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
  1537. Thorsten Lehnert & Gildas Blanchard & Dennis Bams, 2014. "Evaluating Option Pricing Model Performance Using Model Uncertainty," LSF Research Working Paper Series 14-06, Luxembourg School of Finance, University of Luxembourg.
  1538. Costantini, Mauro & Pappalardo, Carmine, 2010. "A hierarchical procedure for the combination of forecasts," International Journal of Forecasting, Elsevier, vol. 26(4), pages 725-743, October.
  1539. Carlos Capistrán, 2007. "Optimality Tests for Multi-Horizon Forecasts," Working Papers 2007-14, Banco de México.
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  1543. Magnus, Jan R. & Vasnev, Andrey L., 2015. "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, vol. 31(3), pages 769-781.
  1544. Kevin Sheppard, 2014. "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers 710, University of Oxford, Department of Economics.
  1545. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
  1546. Anders B. Trolle & Eduardo S. Schwartz, 2006. "A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives," NBER Working Papers 12337, National Bureau of Economic Research, Inc.
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  1548. Döhrn, Roland & Barabas, György & Gebhardt, Heinz & Middendorf, Torge & Schäfer, Günter & Zimmermann, Tobias, 2008. "Die wirtschaftliche Entwicklung im Inland: Konjunktur im Zwischentief," RWI Konjunkturberichte, Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), vol. 59(1), pages 31-82.
  1549. Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Georgios Sermpinis & Charalampos Stasinakis & Konstantinos Theofilatos & Andreas Karathanasopoul, 2014. "Inflation and Unemployment Forecasting with Genetic Support Vector Regression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(6), pages 471-487, 09.
  1550. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
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  1554. Götz Thomas & Hecq Alain & Urbain Jean-Pierre, 2012. "Forecasting Mixed Frequency Time Series with ECM-MIDAS Models," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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  1562. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
  1563. 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.
  1564. Benner, Joachim & Meier, Carsten-Patrick, 2003. "Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland," Kiel Working Papers 1139, Kiel Institute for the World Economy (IfW).
  1565. Steffen Henzel, 2008. "Learning Trend Inflation – Can Signal Extraction Explain Survey Forecasts?," Ifo Working Paper Series Ifo Working Paper No. 55, Ifo Institute for Economic Research at the University of Munich.
  1566. Ana-Maria Fuertes & Elena Kalotychou, 2004. "Elements in the Design of an Early Warning System for Sovereign Default," Computing in Economics and Finance 2004 231, Society for Computational Economics.
  1567. Eran Yashiv & Renato Faccini, 2014. "Inflation Dynamics and Marginal Costs: the Crucial Role of Hiring and Investment Frictions," 2014 Meeting Papers 178, Society for Economic Dynamics.
  1568. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
  1569. Schlenker, Wolfram & Hanemann, W. Michael & Fisher, Anthony C., 2004. "Determinants of Agricultural Output: Degree Days, Yields and Implications for Climate Change," 2005 Annual meeting, July 24-27, Providence, RI 19222, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  1570. Gu, Li & McNelis, Paul D., 2013. "Yen/Dollar volatility and Chinese fear of floating: Pressures from the NDF market," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 37-49.
  1571. Jed Armstrong, 2015. "The Reserve Bank of New Zealand’s output gap indicator suite and its real-time properties," Reserve Bank of New Zealand Analytical Notes series AN2015/08, Reserve Bank of New Zealand.
  1572. Roy H. Webb & Tazwell S. Rowe, 1995. "An index of leading indicators for inflation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 75-96.
  1573. Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinlander, Thorsten, 2014. "Relative Liquidity and Future Volatility," Finance and Economics Discussion Series 2014-45, Board of Governors of the Federal Reserve System (U.S.).
  1574. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Robust tests of predictive accuracy," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 161-184.
  1575. Christensen, Bent Jesper & Raahauge, Peter, 2004. "Latent Utility Shocks in a Structural Empirical Asset Pricing Model," Working Papers 2004-7, Copenhagen Business School, Department of Finance.
  1576. Franses, Philip Hans, 2013. "Improving judgmental adjustment of model-based forecasts," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 1-8.
  1577. Michele Lenza & Thomas Warmedinger, 2011. "A Factor Model for Euro-area Short-term Inflation Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 50-62, February.
  1578. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.
  1579. Kang, Sang Hoon & Kang, Sang-Mok & Yoon, Seong-Min, 2009. "Forecasting volatility of crude oil markets," Energy Economics, Elsevier, vol. 31(1), pages 119-125, January.
  1580. Pérez, Javier J., 2005. "Early-warning tools to forecast general government deficit in the euro area: the role of intra-annual fiscal indicators," Working Paper Series 0497, European Central Bank.
  1581. Kitlinski, Tobias, 2015. "With or without you: Do financial data help to forecast industrial production?," Ruhr Economic Papers 558, Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  1582. Norberto Rodríguez N. & Patricia Siado C., . "Un Pronóstico no Paramétrico de la Inflación Colombiana," Borradores de Economia 248, Banco de la Republica de Colombia.
  1583. Castilla, Adolfo, 2015. "Proyecto LINK y Econometría de Alta Frecuencia: Las últimas aportaciones econométricas de Lawrence R. Klein /LINK Project and High Frequency Econometrics: Recent Econometric Contributions of Lawrence ," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 33, pages 421-450, Mayo.
  1584. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports HSC/13/11, Hugo Steinhaus Center, Wroclaw University of Technology.
  1585. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3076-3088.
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  1587. Kurach, Radosław & Stelmach, Jerzy, 2014. "Time-Varying Behaviour of Sector Beta Risk – The Case of Poland," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 139-159, March.
  1588. Qi, Min & Yang, Sha, 2003. "Forecasting consumer credit card adoption: what can we learn about the utility function?," International Journal of Forecasting, Elsevier, vol. 19(1), pages 71-85.
  1589. Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Society for Computational Economics, vol. 41(2), pages 249-265, February.
  1590. Lei Lei Song, 2005. "Do underlying measures of inflation outperform headline rates? Evidence from Australian data," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 339-345.
  1591. 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.
  1592. Audrino, Francesco & Knaus, Simon, 2012. "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series 1224, University of St. Gallen, School of Economics and Political Science.
  1593. André P. Calmon & Thomas Vallée & João B. R. Do Val, 2009. "Monetary policy as a source of uncertainty," Working Papers hal-00422454, HAL.
  1594. Goodness C. Aye & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2013. "Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors," Working Papers 201348, University of Pretoria, Department of Economics.
  1595. Andrés Sagner, 2011. "El Índice Cartera Vencida como Medida de Riesgo de Crédito: Análisis y Aplicación al Caso de Chile," Working Papers Central Bank of Chile 618, Central Bank of Chile.
  1596. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
  1597. Ca' Zorzi, Michele & Muck, Jakub & Rubaszek, Michał, 2013. "Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk," Working Paper Series 1576, European Central Bank.
  1598. Susanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What is the best risk measure in practice? A comparison of standard measures," Papers 1312.1645, arXiv.org, revised Apr 2015.
  1599. Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2014. "An Evolving Fuzzy-Garch Approach Forfinancial Volatility Modeling And Forecasting," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  1600. Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003. "Dating and Forecasting the Belgian Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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  1602. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2010. "Forecasting crude oil market volatility: Further evidence using GARCH-class models," Energy Economics, Elsevier, vol. 32(6), pages 1477-1484, November.
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  1604. Beechey, Meredith & Österholm, Pär, 2010. "Forecasting inflation in an inflation-targeting regime: A role for informative steady-state priors," International Journal of Forecasting, Elsevier, vol. 26(2), pages 248-264, April.
  1605. Qiuqiong Huang & Richard Howitt & Scott Rozelle, 2012. "Estimating production technology for policy analysis: trading off precision and heterogeneity," Journal of Productivity Analysis, Springer, vol. 38(2), pages 219-233, October.
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  1614. Anella Munro, 2005. "UIP, Expectations and the Kiwi," Reserve Bank of New Zealand Discussion Paper Series DP2005/05, Reserve Bank of New Zealand.
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  1622. Massimiliano Marcellino, . "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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  1642. Zhiwei Zhang, 2002. "Corporate Bond Spreads and the Business Cycle," Staff Working Papers 02-15, Bank of Canada.
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  1645. Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012. "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper Series 65_12, The Rimini Centre for Economic Analysis.
  1646. Tsyplakov, Alexander, 2014. "Theoretical guidelines for a partially informed forecast examiner," MPRA Paper 55017, University Library of Munich, Germany.
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