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Detecting and Predicting Forecast Breakdowns
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Cited by:
- 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.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper series 42_10, Rimini Centre for Economic Analysis.
- Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
- Kreye, Tom Jannik & Sibbertsen, Philipp, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Hannover Economic Papers (HEP) dp-729, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
- Li, Haixi & Sheng, Xuguang Simon & Yang, Jingyun, 2021. "Monitoring recessions: A Bayesian sequential quickest detection method," International Journal of Forecasting, Elsevier, vol. 37(2), pages 500-510.
- Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
- Christodoulakis, George & Mamatzakis, Emmanuel, 2013.
"Behavioural asymmetries in the G7 foreign exchange market,"
International Review of Financial Analysis, Elsevier, vol. 29(C), pages 261-270.
- mamatzakis, e & Christodoulakis, G, 2013. "Behavioural Asymmetries in the G7 Foreign Exchange Market," MPRA Paper 51615, University Library of Munich, Germany.
- Michael Dotsey & Shigeru Fujita & Tom Stark, 2018.
"Do Phillips Curves Conditionally Help to Forecast Inflation?,"
International Journal of Central Banking, International Journal of Central Banking, vol. 14(4), pages 43-92, September.
- Michael Dotsey & Shigeru Fujita & Tom Stark, 2011. "Do Phillips curves conditionally help to forecast inflation?," Working Papers 11-40, Federal Reserve Bank of Philadelphia.
- Michael Dotsey & Shigeru Fujita & Tom Stark, 2015. "Do Phillips curves conditionally help to forecast inflation?," Working Papers 15-16, Federal Reserve Bank of Philadelphia.
- Michael Dotsey & Shigeru Fujita & Tom Stark, 2017. "Do Phillips Curves Conditionally Help to Forecast Inflation?," Working Papers 17-26, Federal Reserve Bank of Philadelphia.
- Casini, Alessandro & Perron, Pierre, 2024.
"Prewhitened long-run variance estimation robust to nonstationarity,"
Journal of Econometrics, Elsevier, vol. 242(1).
- Alessandro Casini & Pierre Perron, 2021. "Prewhitened Long-Run Variance Estimation Robust to Nonstationarity," Papers 2103.02235, arXiv.org, revised Aug 2024.
- Norman R. Swanson & Weiqi Xiong, 2018.
"Big data analytics in economics: What have we learned so far, and where should we go from here?,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 695-746, August.
- Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
- Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
- Mamatzakis, Emmanuel & Tsionas, Mike G., 2015. "How are market preferences shaped? The case of sovereign debt of stressed euro-area countries," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 106-116.
- Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
- Afees A. Salisu & Wasiu Adekunle & Zachariah Emmanuel & Wasiu A. Alimi, 2018. "Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries," Working Papers 055, Centre for Econometric and Allied Research, University of Ibadan.
- Barbara Rossi & Tatevik Sekhposyan, 2016.
"Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 507-532, April.
- Barbara Rossi & Tatevik Sekhposyan, 2014. "Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts," Economics Working Papers 1426, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2014.
- Rossi, Barbara & Sekhposyan, Tatevik, 2016. "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts," CEPR Discussion Papers 11391, C.E.P.R. Discussion Papers.
- Barbara Rossi & Tatevik Sekhposyany, 2014. "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts," Working Papers 765, Barcelona School of Economics.
- Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," CAMA Working Papers 2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
- Giovanni Calice & Christos Ioannidis & Julian Williams, 2012. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 85-107, October.
- Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
- Raffaella Giacomini & Barbara Rossi, 2006.
"How Stable is the Forecasting Performance of the Yield Curve for Output Growth?,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 783-795, December.
- Rossi, Barbara & Giacomini, Raffaella, 2005. "How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?," Working Papers 05-08, Duke University, Department of Economics.
- Panagiotelis, Anastasios & Athanasopoulos, George & Hyndman, Rob J. & Jiang, Bin & Vahid, Farshid, 2019.
"Macroeconomic forecasting for Australia using a large number of predictors,"
International Journal of Forecasting, Elsevier, vol. 35(2), pages 616-633.
- Bin Jiang & George Athanasopoulos & Rob J Hyndman & Anastasios Panagiotelis & Farshid Vahid, 2017. "Macroeconomic forecasting for Australia using a large number of predictors," Monash Econometrics and Business Statistics Working Papers 2/17, Monash University, Department of Econometrics and Business Statistics.
- Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
- Siddhartha S. Bora & Ani L. Katchova & Todd H. Kuethe, 2021. "The Rationality of USDA Forecasts under Multivariate Asymmetric Loss," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1006-1033, May.
- Davide Pettenuzzo & Allan Timmermann, 2017.
"Forecasting Macroeconomic Variables Under Model Instability,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 183-201, April.
- Timmermann, Allan & Pettenuzzo, Davide, 2016. "Forecasting Macroeconomic Variables under Model Instability," CEPR Discussion Papers 11355, C.E.P.R. Discussion Papers.
- Rossi, Barbara & Sekhposyan, Tatevik, 2011.
"Understanding models' forecasting performance,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 158-172, September.
- Barbara Rossi & Tatevik Sekhposyan, 2010. "Understanding Models' Forecasting Performance," Working Papers 10-56, Duke University, Department of Economics.
- Yu Jeffrey Hu & Jeroen Rombouts & Ines Wilms, 2023. "Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms," Papers 2303.01887, arXiv.org, revised May 2024.
- Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017.
"Robust Forecast Comparison,"
Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
- Sainan Jin & Valentina Corradi & Norman Swanson, 2015. "Robust Forecast Comparison," Departmental Working Papers 201502, Rutgers University, Department of Economics.
- Gibbs, Christopher G. & Vasnev, Andrey L., 2024.
"Conditionally optimal weights and forward-looking approaches to combining forecasts,"
International Journal of Forecasting, Elsevier, vol. 40(4), pages 1734-1751.
- Christopher G. Gibbs & Andrey L. Vasnev, 2017. "Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts," Discussion Papers 2017-10, School of Economics, The University of New South Wales.
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- Pincheira-Brown, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2019.
"Forecasting inflation in Latin America with core measures,"
International Journal of Forecasting, Elsevier, vol. 35(3), pages 1060-1071.
- Pincheira, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2017. "Forecasting Inflation in Latin America with Core Measures," MPRA Paper 80496, University Library of Munich, Germany.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2023.
"Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 281-306, February.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
- Travis J. Berge, 2014.
"Forecasting Disconnected Exchange Rates,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 713-735, August.
- Travis J. Berge, 2011. "Forecasting disconnected exchange rates," Research Working Paper RWP 11-12, Federal Reserve Bank of Kansas City.
- Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers 41/14, Institute for Fiscal Studies.
- Procasky, William J. & Yin, Anwen, 2023. "The impact of COVID-19 on the relative market efficiency and forecasting ability of credit derivative and equity markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
- Mwasi Paza Mboya & Philipp Sibbertsen, 2023.
"Optimal forecasts in the presence of discrete structural breaks under long memory,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1889-1908, November.
- Mboya, Mwasi & Sibbertsen, Philipp, 2022. "Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory," Hannover Economic Papers (HEP) dp-705, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Clark, Todd E. & McCracken, Michael W., 2009.
"Tests of Equal Predictive Ability With Real-Time Data,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 441-454.
- Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2008. "Tests of equal predictive ability with real-time data," Working Papers 2008-029, Federal Reserve Bank of St. Louis.
- Corradi, Valentina & Swanson, Norman R., 2014.
"Testing for structural stability of factor augmented forecasting models,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 100-118.
- Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
- Mariia Artemova & Francisco Blasques & Siem Jan Koopman & Zhaokun Zhang, 2021. "Forecasting in a changing world: from the great recession to the COVID-19 pandemic," Tinbergen Institute Discussion Papers 21-006/III, Tinbergen Institute.
- Yin, Xiao-Cui & Li, Xin & Wang, Min-Hui & Qin, Meng & Shao, Xue-Feng, 2021. "Do economic policy uncertainty and its components predict China's housing returns?," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
- 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.
- Raffaella Giacomini, 2015.
"Economic theory and forecasting: lessons from the literature,"
Econometrics Journal, Royal Economic Society, vol. 18(2), pages 22-41, June.
- Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers CWP41/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Giacomini, Raffaella, 2014. "Economic theory and forecasting: lessons from the literature," CEPR Discussion Papers 10201, C.E.P.R. Discussion Papers.
- Alessandro Casini & Pierre Perron, 2018.
"Structural Breaks in Time Series,"
Papers
1805.03807, arXiv.org.
- Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
- Barbara Rossi, 2019.
"Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them,"
Working Papers
1162, Barcelona School of Economics.
- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Kreye, Tom Jannik & Sibbertsen, Philipp, 2024.
"Testing for a Forecast Accuracy Breakdown under Long Memory,"
Hannover Economic Papers (HEP)
dp-729, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Jannik Kreye & Philipp Sibbertsen, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Papers 2409.07087, arXiv.org.
- Döhrn, Roland & Schmidt, Christoph M. & Zimmermann, Tobias, 2008. "Inflation Forecasting with Inflation Sentiment Indicators," Ruhr Economic Papers 80, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Raffaella Giacomini & Barbara Rossi, 2015.
"Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models,"
Annual Review of Economics, Annual Reviews, vol. 7(1), pages 207-229, August.
- Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models," Economics Working Papers 1476, Department of Economics and Business, Universitat Pompeu Fabra.
- Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
- Chiu, Ching-Wai (Jeremy) & Hayes, Simon & Kapetanios, George & Theodoridis, Konstantinos, 2019.
"A new approach for detecting shifts in forecast accuracy,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1596-1612.
- Chiu,Ching-Wai & Hayes, Simon & Kapetanios, George & Theodoridis, Konstantinos, 2018. "A New Approach for Detecting Shifts in Forecast Accuracy," Cardiff Economics Working Papers E2018/24, Cardiff University, Cardiff Business School, Economics Section.
- Chiu, Ching-Wai (Jeremy) & hayes, simon & kapetanios, george & Theodoridis, Konstantinos, 2018. "A new approach for detecting shifts in forecast accuracy," Bank of England working papers 721, Bank of England.
- E. Mamatzakis, 2014. "Revealing asymmetries in the loss function of WTI oil futures market," Empirical Economics, Springer, vol. 47(2), pages 411-426, September.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Journal of Commodity Markets, Elsevier, vol. 31(C).
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
- Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
- De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
- Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013.
"Optimal forecasts in the presence of structural breaks,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
- M Hashem Pesaran & Andreas Pick & Mikhail Pranovich, 2011. "Optimal Forecasts in the Presence of Structural Breaks," DNB Working Papers 327, Netherlands Central Bank, Research Department.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.
- Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017.
"Rolling window selection for out-of-sample forecasting with time-varying parameters,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014. "Rolling Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," Working Papers 768, Barcelona School of Economics.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Economics Working Papers 1435, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2016.
- Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019.
"Macroeconomic forecast accuracy in a data‐rich environment,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1050-1072, November.
- Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic Forecast Accuracy in data-rich environment," Post-Print hal-02435757, HAL.
- Chollete, Loran & Schmeidler, David, 2014. "Extreme Events and the Origin of Central Bank Priors," UiS Working Papers in Economics and Finance 2014/15, University of Stavanger.
- Benjamin Beckers, 2015.
"The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts,"
Discussion Papers of DIW Berlin
1496, DIW Berlin, German Institute for Economic Research.
- Beckers, Benjamin, 2015. "The real-time predictive content of asset price bubbles for macro forecasts," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112852, Verein für Socialpolitik / German Economic Association.
- Valentina Corradi & Sainan Jin & Norman R. Swanson, 2023. "Robust forecast superiority testing with an application to assessing pools of expert forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 596-622, June.
- Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
- Byron Botha & Geordie Reid & Tim Olds & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Nowcasting South African GDP using a suite of statistical models," Working Papers 11001, South African Reserve Bank.
- Jiahan Li & Ilias Tsiakas & Wei Wang, 2015.
"Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?,"
Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 293-341.
- Jiahan Li & Ilias Tsiakas & Wei Wang, 2014. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Working Paper series 05_14, Rimini Centre for Economic Analysis.
- Michael W. McCracken, 2020. "Tests of Conditional Predictive Ability: Existence, Size, and Power," Working Papers 2020-050, Federal Reserve Bank of St. Louis.
- Christopher G. Gibbs, 2015. "Overcoming the Forecast Combination Puzzle: Lessons from the Time-Varying Effciency of Phillips Curve Forecasts of U.S. Inflation," Discussion Papers 2015-09, School of Economics, The University of New South Wales.
- Peter Reinhard Hansen & Allan Timmermann, 2015. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 17-21, January.
- Boot, Tom & Pick, Andreas, 2020. "Does modeling a structural break improve forecast accuracy?," Journal of Econometrics, Elsevier, vol. 215(1), pages 35-59.
- David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.
- Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024.
"Predicting Bond Return Predictability,"
Management Science, INFORMS, vol. 70(2), pages 931-951, February.
- Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
- Graham Elliott & Allan Timmermann, 2016.
"Forecasting in Economics and Finance,"
Annual Review of Economics, Annual Reviews, vol. 8(1), pages 81-110, October.
- Elliott, Graham & Timmermann, Allan G, 2016. "Forecasting in Economics and Finance," University of California at San Diego, Economics Working Paper Series qt6z55v472, Department of Economics, UC San Diego.
- Timmermann, Allan & Elliott, Graham, 2016. "Forecasting in Economics and Finance," CEPR Discussion Papers 11354, C.E.P.R. Discussion Papers.
- Byron Botha & Tim Olds & Geordie Reid & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Nowcasting South African gross domestic product using a suite of statistical models," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 526-554, December.
- William J. Procasky & Anwen Yin, 2022. "Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1466-1490, August.
- Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
- Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
- Camila Figueroa & Jorge Fornero & Pablo García, 2019. "Hindsight vs. Real time measurement of the output gap: Implications for the Phillips curve in the Chilean Case," Working Papers Central Bank of Chile 854, Central Bank of Chile.
- Tom Boot & Andreas Pick, 2017. "A near optimal test for structural breaks when forecasting under square error loss," Tinbergen Institute Discussion Papers 17-039/III, Tinbergen Institute.
- Brave, Scott A. & Butters, R. Andrew & Justiniano, Alejandro, 2019. "Forecasting economic activity with mixed frequency BVARs," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1692-1707.
- Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
- Alessandro Casini, 2018. "Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework," Papers 1803.10883, arXiv.org, revised Dec 2018.
- Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023.
"Density forecasts of inflation: a quantile regression forest approach,"
CEPR Discussion Papers
18298, C.E.P.R. Discussion Papers.
- Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023. "Density forecasts of inflation: a quantile regression forest approach," Working Paper Series 2830, European Central Bank.
- M. Lenza & I. Moutachaker & I. Moutachaker, 2024. "Density forecasts of inflation : a quantile regression forest approach," Documents de Travail de l'Insee - INSEE Working Papers 2024-12, Institut National de la Statistique et des Etudes Economiques.
- Mamatzakis, E. & Koutsomanoli-Filippaki, A., 2014. "Testing the rationality of DOE's energy price forecasts under asymmetric loss preferences," Energy Policy, Elsevier, vol. 68(C), pages 567-575.
- Pierre Perron & Yohei Yamamoto, 2021.
"Testing for Changes in Forecasting Performance,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 148-165, January.
- PERRON, Pierre & YAMAMOTO, Yohei & 山本, 庸平, 2018. "Testing for Changes in Forecasting Performance," Discussion Papers 2018-03, Graduate School of Economics, Hitotsubashi University.
- Pierre Perron & Yohei Yamamoto, 2018. "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series WP2019-03, Boston University - Department of Economics, revised Dec 2018.
- Pierre Perron & Yohei Yamamoto, 2018. "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series WP2019-13, Boston University - Department of Economics, revised Jun 2019.
- Clark, Todd & McCracken, Michael, 2013.
"Advances in Forecast Evaluation,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201,
Elsevier.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
- Chad Fulton & Kirstin Hubrich, 2021.
"Forecasting US Inflation in Real Time,"
Econometrics, MDPI, vol. 9(4), pages 1-20, October.
- Chad Fulton & Kirstin Hubrich, 2021. "Forecasting US Inflation in Real Time," Finance and Economics Discussion Series 2021-014, Board of Governors of the Federal Reserve System (U.S.).
- Barbara Rossi, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 510-514, October.
- Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016.
"Goodness-of-fit test for specification of semiparametric copula dependence models,"
Journal of Econometrics, Elsevier, vol. 193(1), pages 215-233.
- Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2013. "Goodness-of-fit test for specification of semiparametric copula dependence models," SFB 649 Discussion Papers 2013-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Christodoulakis, George, 2020. "Estimating the term structure of commodity market preferences," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1146-1163.
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