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Citations for "Forecast Evaluation and Combination"

by Francis X. Diebold & Jose A. Lopez

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  1. Jose A. Lopez & Marc R. Saidenberg, 1999. "Evaluating credit risk models," Working Papers in Applied Economic Theory 99-06, Federal Reserve Bank of San Francisco.
  2. 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.
  3. Masahiro Fukuhara & Yasufumi Saruwatari, 2007. "A Model Forecasting Risk for Emerging Market Currencies," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 325-340, December.
  4. Hamid Baghestani, 2009. "A Comparison of U.S. Housing Starts Forecasts," Economics Bulletin, AccessEcon, vol. 29(4), pages 2525-2530.
  5. Jose A. Lopez, 1996. "Regulatory Evaluation of Value-at-Risk Models," Center for Financial Institutions Working Papers 96-51, Wharton School Center for Financial Institutions, University of Pennsylvania.
  6. Raymond Struyk & Douglas Wissoker & Ioulia Zaitseva, 2004. "Economic Forecasting for Large Russian Cities," ERSA conference papers ersa04p318, European Regional Science Association.
  7. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
  8. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011. "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," Statistics and Econometrics Working Papers ws111813, Universidad Carlos III, Departamento de Estadística y Econometría.
  9. Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers 22481, East Asian Bureau of Economic Research.
  10. Baghestani, Hamid, 2010. "How well do experts predict interbank loan rates and spreads?," Economics Letters, Elsevier, vol. 109(1), pages 4-6, October.
  11. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc.
  12. Knüppel, Malte & Schultefrankenfeld, Guido, 2008. "How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts," Discussion Paper Series 1: Economic Studies 2008,14, Deutsche Bundesbank, Research Centre.
  13. Ullrich Heilemann & Herman O. Stekler, 2010. "Has the Accuracy of German Macroeconomic Forecasts Improved?," Working Papers 2010-001, The George Washington University, Department of Economics, Research Program on Forecasting, revised Feb 2012.
  14. Dopke, Jorg & Fritsche, Ulrich, 2006. "When do forecasters disagree? An assessment of German growth and inflation forecast dispersion," International Journal of Forecasting, Elsevier, vol. 22(1), pages 125-135.
  15. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  16. Bofinger, Peter & Leitner, Johannes & Schmidt, Robert, 2004. "Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices," CEPR Discussion Papers 4230, C.E.P.R. Discussion Papers.
  17. Huiyu Huang & Tae-Hwy Lee, 2010. "To Combine Forecasts or to Combine Information?," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 534-570.
  18. Hock, Thorsten, 2008. "Tactical size rotation in Switzerland," W.E.P. - Würzburg Economic Papers 77, University of Würzburg, Chair for Monetary Policy and International Economics.
  19. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
  20. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  21. Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, EconWPA.
  22. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
  23. Döpke, Jörg, 2004. "Real-time data and business cycle analysis in Germany," Discussion Paper Series 1: Economic Studies 2004,11, Deutsche Bundesbank, Research Centre.
  24. Inoue, Atsushi & Rossi, Barbara, 2011. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers 8542, C.E.P.R. Discussion Papers.
  25. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
  26. Timmermann, Allan G, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers.
  27. Lukas Menkhoff & Rafael Rebitzky & Michael Schroder, 2008. "Do dollar forecasters believe too much in PPP?," Applied Economics, Taylor & Francis Journals, vol. 40(3), pages 261-270.
  28. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
  29. Kitchen, John, 2003. "Observed Relationships between Economic and Technical Receipts Revisions in Federal Budget Projections," National Tax Journal, National Tax Association, vol. 56(2), pages 337-53, June.
  30. Kim, Hyun Hak & Swanson, Norman R., 2014. "Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence," Journal of Econometrics, Elsevier, vol. 178(P2), pages 352-367.
  31. 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.
  32. Francis X. Diebold & Peter F. Christoffersen, 1997. "Cointegration and Long-Horizon Forecasting," IMF Working Papers 97/61, International Monetary Fund.
  33. Fuchun Li & Greg Tkacz, 2001. "Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods," Working Papers 01-12, Bank of Canada.
  34. Bofinger, Peter & Schmidt, Robert, 2003. "Should one rely on professional exchange rate forecasts: An empirical analysis of professional forecasts for the €/US-$ rate," W.E.P. - Würzburg Economic Papers 38, University of Würzburg, Chair for Monetary Policy and International Economics.
  35. Ullrich Heilemann & Herman O. Stekler, 2013. "Has The Accuracy of Macroeconomic Forecasts for Germany Improved?," German Economic Review, Verein für Socialpolitik, vol. 14(2), pages 235-253, 05.
  36. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17.
  37. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," BORRADORES DE ECONOMIA 002153, BANCO DE LA REPÚBLICA.
  38. Şener, Emrah & Baronyan, Sayad & Ali Mengütürk, Levent, 2012. "Ranking the predictive performances of value-at-risk estimation methods," International Journal of Forecasting, Elsevier, vol. 28(4), pages 849-873.
  39. Moral-Benito, Enrique, 2008. "Bayesian posterior prediction and meta-analysis: an application to the value of travel time savings," MPRA Paper 12861, University Library of Munich, Germany.
  40. Laurence Ball & Dean Croushore, 2001. "Expectations and the effects of monetary policy," Working Papers 01-12, Federal Reserve Bank of Philadelphia.
  41. David Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Economics Series Working Papers 2004-W15, University of Oxford, Department of Economics.
  42. Hofmann, Boris, 2008. "Do monetary indicators lead euro area inflation?," Working Paper Series 0867, European Central Bank.
  43. Dean Croushore, 2006. "An evaluation of inflation forecasts from surveys using real-time data," Working Papers 06-19, Federal Reserve Bank of Philadelphia.
  44. Leblang, David & Satyanath, Shanker, 2006. "Institutions, Expectations, and Currency Crises," International Organization, Cambridge University Press, vol. 60(01), pages 245-262, January.
  45. Shao, Renyuan & Roe, Brian E., 2001. "Underpinnings for Prospective, Net Revenue Forecasting in Hog Finishing: Characterizing the Joint Distribution of Corn, Soybean Meal and Lean Hogs Time Series," 2001 Annual meeting, August 5-8, Chicago, IL 20664, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  46. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, 06.
  47. Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank, Research Centre.
  48. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc.
  49. Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis.
  50. Fuertes, Ana-Maria & Kalotychou, Elena, 2006. "Early warning systems for sovereign debt crises: The role of heterogeneity," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1420-1441, November.
  51. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 686-700, September.
  52. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
  53. Hugo Oliveros & Luisa Fernanda Silva, 2001. "La Demanda Por Importaciones En Colombia," BORRADORES DE ECONOMIA 002967, BANCO DE LA REPÚBLICA.
  54. Hock, Thorsten & Zimmermann, Patrick, 2005. "Forecasting monetary policy in Switzerland: Some empirical assistance," W.E.P. - Würzburg Economic Papers 60, University of Würzburg, Chair for Monetary Policy and International Economics.
  55. Liu, Zhichao & Ma, Feng & Long, Yujia, 2015. "High and low or close to close prices? Evidence from the multifractal volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 50-61.
  56. David Laster & Paul Bennett & In Sun Geoum, 1996. "Rational bias in macroeconomic forecasts," Research Paper 9617, Federal Reserve Bank of New York.
  57. Michael P. Clements & David F. Hendry, 2005. "Guest Editors' Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
  58. Paulo M.M. Rodrigues & Nazarii Salish, 2011. "Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns," Working Papers w201128, Banco de Portugal, Economics and Research Department.
  59. Yoshua Bengio & François Gingras & Claude Nadeau, 2002. "On Out-of-Sample Statistics for Time-Series," CIRANO Working Papers 2002s-51, CIRANO.
  60. Hugo Oliveros & Luisa Fernanda Silva, . "La Demanda por Importaciones en Colombia," Borradores de Economia 187, Banco de la Republica de Colombia.
  61. Pesaran, M Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
  62. Hofmann, Boris, 2006. "Do monetary indicators (still) predict euro area inflation?," Discussion Paper Series 1: Economic Studies 2006,18, Deutsche Bundesbank, Research Centre.
  63. repec:ebl:ecbull:v:30:y:2010:i:1:p:292-302 is not listed on IDEAS
  64. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.).
  65. No, Sung Chul & Salassi, Michael E., 2006. "Dynamic Analysis and Forecasts of Rough Rice Price under Government Price Support Program: An Application of Bayesian VAR," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35279, Southern Agricultural Economics Association.
  66. M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008. "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series 2231, CESifo Group Munich.
  67. Allan Timmermann & Andrew Patton, 2004. "Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity," Working Papers wp04-05, Warwick Business School, Finance Group.
  68. Enrique Moral-Benito, 2010. "Model Averaging In Economics," Working Papers wp2010_1008, CEMFI.
  69. Clements, Michael P. & Harvey, David I., 2011. "Combining probability forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 208-223.
  70. Berg, Andrew & Pattillo, Catherine, 1999. "Predicting currency crises:: The indicators approach and an alternative," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 561-586, August.
  71. DE LA CROIX, David & LINDH, Thomas & MALMBERG, Bo, 2006. "Growth and longevity from the industrial revolution to the future of an aging society," CORE Discussion Papers 2006064, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  72. Steffen Henzel & Johannes Mayr, 2009. "The Virtues of VAR Forecast Pooling – A DSGE Model Based Monte Carlo Study," Ifo Working Paper Series Ifo Working Paper No. 65, Ifo Institute for Economic Research at the University of Munich.
  73. Wang, Yiyao & Lee, Tae-Hwy, 2014. "Asymmetric loss in the Greenbook and the Survey of Professional Forecasters," International Journal of Forecasting, Elsevier, vol. 30(2), pages 235-245.
  74. Stéphanie Guichard & Elena Rusticelli, 2011. "A Dynamic Factor Model for World Trade Growth," OECD Economics Department Working Papers 874, OECD Publishing.
  75. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
  76. David F. Hendry, 2004. "Robustifying Forecasts from Equilibrium-Correction Models," Economics Papers 2004-W14, Economics Group, Nuffield College, University of Oxford.
  77. Michael P. Clements & David I. Harvey, 2010. "Forecast encompassing tests and probability forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 1028-1062.
  78. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
  79. Elkin Castaño V. & Luis Fernando Melo Velandia, 1998. "Métodos De Combinación De Pronósticos:Una Aplicación A La Inflación Colombiana," BORRADORES DE ECONOMIA 003212, BANCO DE LA REPÚBLICA.
  80. J. Baixauli & Susana Alvarez, 2006. "Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 27-46, August.
  81. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
  82. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print peer-00834423, HAL.
  83. Michael P. Clements & Ana Beatriz Galvao, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.
  84. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," NBER Working Papers 6845, National Bureau of Economic Research, Inc.
  85. Sanders, Dwight R. & Manfredo, Mark R., 2002. "Usda Production Forecasts For Pork, Beef, And Broilers: An Evaluation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 27(01), July.
  86. Kenton Yee, 2008. "A Bayesian framework for combining valuation estimates," Review of Quantitative Finance and Accounting, Springer, vol. 30(3), pages 339-354, April.
  87. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics.
  88. A Garratt & K Lee & M H Pesaran & Yongcheol Shin, 2004. "Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy," ESE Discussion Papers 64, Edinburgh School of Economics, University of Edinburgh.
  89. Barrera, Carlos R., 2010. "Redes neuronales para predecir el tipo de cambio diario," Working Papers 2010-001, Banco Central de Reserva del Perú.
  90. Bailey, DeeVon & Brorsen, B. Wade, 1998. "Trends In The Accuracy Of Usda Production Forecasts For Beef And Pork," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(02), December.
  91. Christian Walter & Jose A. Lopez, 2000. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Working Paper Series 2000-02, Federal Reserve Bank of San Francisco.
  92. Knüppel, Malte & Schultefrankenfeld, Guido, 2011. "How informative are central bank assessments of macroeconomic risks?," Discussion Paper Series 1: Economic Studies 2011,13, Deutsche Bundesbank, Research Centre.
  93. Cheng, Xu & Hansen, Bruce E., 2015. "Forecasting with factor-augmented regression: A frequentist model averaging approach," Journal of Econometrics, Elsevier, vol. 186(2), pages 280-293.
  94. Gabriel Moser & Fabio Rumler & Johann Scharler, 2004. "Forecasting Austrian Inflation," Working Papers 91, Oesterreichische Nationalbank (Austrian Central Bank).
  95. Trapani, Lorenzo & Urga, Giovanni, 2009. "Optimal forecasting with heterogeneous panels: A Monte Carlo study," International Journal of Forecasting, Elsevier, vol. 25(3), pages 567-586, July.
  96. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
  97. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.
  98. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators under Real-Time Condition," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 54(4), pages 293-318.
  99. repec:onb:oenbwp:y::i:91:b:1 is not listed on IDEAS
  100. Giacomini, Raffaella, 2002. "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," University of California at San Diego, Economics Working Paper Series qt59s2g5j5, Department of Economics, UC San Diego.
  101. Elliott, Graham & Komunjer, Ivana & Timmermann, Allan G, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers.
  102. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
  103. Dean Croushore, 1998. "Evaluating inflation forecasts," Working Papers 98-14, Federal Reserve Bank of Philadelphia.
  104. Kurmas Akdogan & Selen Baser & Meltem Gulenay Chadwick & Dilara Ertug & Timur Hulagu & Sevim Kosem & Fethi Ogunc & M. Utku Ozmen & Necati Tekatli, 2012. "Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis," Working Papers 1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  105. Poncela, Pilar & Rodríguez, Julio & Sánchez-Mangas, Rocío & Senra, Eva, 2011. "Forecast combination through dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 27(2), pages 224-237, April.
  106. W. R. M. Perraudin & Manmohan S. Kumar & Uma Moorthy, 2002. "Predicting Emerging Market Currency Crashes," IMF Working Papers 02/7, International Monetary Fund.
  107. Theodosiou, Marina, 2011. "Forecasting monthly and quarterly time series using STL decomposition," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1178-1195, October.
  108. Elliott, Graham & Timmermann, Allan, 2002. "Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions," University of California at San Diego, Economics Working Paper Series qt15r9t2q2, Department of Economics, UC San Diego.
  109. Kalimipalli, Madhu & Susmel, Raul, 2004. "Regime-switching stochastic volatility and short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 309-329, June.
  110. Ulrich Fritsche & Vladimir Kuzin, 2005. "Prediction of Business Cycle Turning Points in Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(1), pages 22-43, January.
  111. Arie Preminger & Uri Ben-Zion & David Wettstein, 2006. "Extended switching regression models with time-varying probabilities for combining forecasts," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 455-472.
  112. Knüppel, Malte & Schultefrankenfeld, Guido, 2011. "Evaluating macroeconomic risk forecasts," Discussion Paper Series 1: Economic Studies 2011,14, Deutsche Bundesbank, Research Centre.
  113. Friedrich Heinemann, 2006. "Planning or Propaganda? An Evaluation of Germany's Medium-term Budgetary Planning," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 62(4), pages 551-578, December.
  114. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
  115. Dean Croushore, 1999. "How useful are forecasts of corporate profits?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 3-12.
  116. Sanders, Dwight R. & Manfredo, Mark R., 2003. "USDA Livestock Price Forecasts: A Comprehensive Evaluation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(02), August.
  117. Andrawis, Robert R. & Atiya, Amir F. & El-Shishiny, Hisham, 2011. "Forecast combinations of computational intelligence and linear models for the NN5 time series forecasting competition," International Journal of Forecasting, Elsevier, vol. 27(3), pages 672-688, July.
  118. Thorsten Hock & Patrick Zimmermann, 2005. "Forecasting Monetary Policy in Switzerland: Some Empirical Assistance," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 201-212, August.
  119. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  120. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
  121. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, vol. 28(2), pages 343-352.
  122. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
  123. Mikhail Golosov & J. R. King, 2002. "Tax Revenue Forecasts in IMF-Supported Programs," IMF Working Papers 02/236, International Monetary Fund.
  124. Götz T.B. & Hecq A.W. & Urbain J.R.Y.J., 2014. "Combining distributions of real-time forecasts: An application to U.S. growth," Research Memorandum 027, Maastricht University, Graduate School of Business and Economics (GSBE).
  125. Geert Mesters & Siem Jan Koopman, 2012. "A Forty Year Assessment of Forecasting the Boat Race," Tinbergen Institute Discussion Papers 12-110/III, Tinbergen Institute.
  126. Dopke, Jorg, 2001. "Macroeconomic forecasts and the nature of economic shocks in Germany," International Journal of Forecasting, Elsevier, vol. 17(2), pages 181-201.
  127. Baghestani, Hamid, 2012. "Are professional forecasts of growth in US business investment rational?," Economics Letters, Elsevier, vol. 114(1), pages 132-135.
  128. Ekrem Kilic, 2005. "Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models," Econometrics 0510007, EconWPA.
  129. Ruth, Karsten, 2008. "Macroeconomic forecasting in the EMU: Does disaggregate modeling improve forecast accuracy?," Journal of Policy Modeling, Elsevier, vol. 30(3), pages 417-429.
  130. Michael Groemling, 2005. "Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler," Departmental Discussion Papers 123, University of Goettingen, Department of Economics.
  131. Brandt, Patrick T. & Freeman, John R. & Schrodt, Philip A., 2014. "Evaluating forecasts of political conflict dynamics," International Journal of Forecasting, Elsevier, vol. 30(4), pages 944-962.
  132. Pong, Shiuyan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2004. "Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2541-2563, October.
  133. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
  134. David E. Rapach & Jack K. Strauss, 2005. "Forecasting employment growth in Missouri with many potentially relevant predictors: an analysis of forecast combining methods," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Nov, pages 97-112.
  135. Clements, Michael P & Galvão, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS) 773, University of Warwick, Department of Economics.
  136. James H. Stock & Mark M. Watson, 2003. "How did leading indicator forecasts perform during the 2001 recession?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 71-90.
  137. Bryan Campbell & Steve Murphy, 2006. "The Recent Performance of the Canadian Forecasting Industry," Canadian Public Policy, University of Toronto Press, vol. 32(1), pages 23-40, March.
  138. Giancarlo Marini & Giovanni Piersanti, 2003. "Fiscal Deficits and Currency Crises," CEIS Research Paper 15, Tor Vergata University, CEIS.
  139. Chong, James, 2005. "The forecasting abilities of implied and econometric variance-covariance models across financial measures," Journal of Economics and Business, Elsevier, vol. 57(5), pages 463-490.
  140. Hüfner, Felix P. & Schröder, Michael, 2001. "Unternehmens- versus Analystenbefragungen: Zum Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen," ZEW Discussion Papers 01-04, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  141. 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.
  142. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
  143. Michael Clements, 2006. "Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts," Empirical Economics, Springer, vol. 31(1), pages 49-64, March.
  144. Hyun Hak Kim & Norman Swanson, 2013. "Mining Big Data Using Parsimonious Factor and Shrinkage Methods," Departmental Working Papers 201316, Rutgers University, Department of Economics.
  145. David Laster & Paul Bennett & In Sun Geoum, 1997. "Rational bias in macroeconomic forecasts," Staff Reports 21, Federal Reserve Bank of New York.
  146. Jörg Döpke & Ulrich Fritsche, 2006. "Growth and inflation forecasts for Germany a panel-based assessment of accuracy and efficiency," Empirical Economics, Springer, vol. 31(3), pages 777-798, September.
  147. Geert Mesters & Siem Jan Koopman, 2012. "A Forty Year Assessment of Forecasting the Boat Race," Tinbergen Institute Discussion Papers 12-110/III, Tinbergen Institute.
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