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2. Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David.
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3. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David.
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4. Multivariate Variance Targeting in the BEKK-GARCH Model. (2012). Rahbek, Anders ; Pedersen, Rasmus.
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5. Multivariate Variance Targeting in the BEKK-GARCH Model. (2012). Rahbek, Anders ; Pedersen, Rasmus.
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1. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance. (2017). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto.
   In: Tinbergen Institute Discussion Papers.
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2. The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling. (2015). Chan, Joshua ; Joshua C. C. Chan, .
   In: CAMA Working Papers.
   RePEc:een:camaaa:2015-07.

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3. Optimal combination of survey forecasts. (2015). Giannone, Domenico ; Conflitti, Cristina ; de Mol, Christine .
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:31:y:2015:i:4:p:1096-1103.

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4. Point and density forecasts for the euro area using Bayesian VARs. (2015). Henzel, Steffen ; Berg, Tim.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:31:y:2015:i:4:p:1067-1095.

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5. Asymmetric Quantile Persistence and Predictability: the Case of US Inflation. (2015). Zerom, Dawit ; Manzan, Sebastiano .
   In: Oxford Bulletin of Economics and Statistics.
   RePEc:bla:obuest:v:77:y:2015:i:2:p:297-318.

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6. Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR. (2015). Huber, Florian ; Feldkircher, Martin ; Dovern, Jonas.
   In: Working Papers.
   RePEc:awi:wpaper:0590.

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7. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics. (2014). Pettenuzzo, Davide ; Timmermann, Allan G ; Valkanov, Rossen .
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8. Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts. (2014). Wang, Mu-Chun ; Demetrescu, Matei.
   In: Oxford Bulletin of Economics and Statistics.
   RePEc:bla:obuest:v:76:y:2014:i:2:p:287-297.

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9. Bond returns and market expectations. (2013). Costantini, Riccardo ; Altavilla, Carlo ; Carlo Altavilla , ; Giacomini, Raffaella.
   In: CeMMAP working papers.
   RePEc:ifs:cemmap:20/13.

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10. Money Growth and Inflation: evidence from a Markov Switching Bayesian VAR. (2013). amisano, gianni ; Colavecchio, Roberta .
    In: Macroeconomics and Finance Series.
    RePEc:hep:macppr:201304.

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11. Assessment of probabilistic forecasts: Proper scoring rules and moments. (2012). Tsyplakov, Alexander.
    In: Applied Econometrics.
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12. Constructing Optimal Density Forecasts from Point Forecast Combinations. (2012). Lima, Luiz ; Gaglianone, Wagner ; Luiz Renato Regis de Oliveira Lima, .
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13. Multivariate Rotated ARCH Models. (2012). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
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14. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
    In: NBER Working Papers.
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15. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). McAleer, Michael ; Caporin, Massimiliano.
    In: KIER Working Papers.
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16. Common drifting volatility in large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers (Old Series).
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17. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2012/08.

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18. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8894.

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19. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
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20. Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters*. (2011). onorante, luca ; Koop, Gary.
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21. Multivariate High-Frequency-Based Volatility (HEAVY) Models. (2011). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
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22. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models. (2011). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; Brendan P. M. McCabe, ; Ng, Jason .
    In: Monash Econometrics and Business Statistics Working Papers.
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23. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). Diks, Cees ; Panchenko, Valentyn ; van Dijk, Dick.
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    RePEc:hal:journl:peer-00834423.

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24. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu .
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00658540.

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25. Scoring rules and survey density forecasts. (2011). Wallis, Kenneth ; Smith, Jeremy ; Boero, Gianna.
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    RePEc:eee:intfor:v:27:y::i:2:p:379-393.

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26. Multivariate semi-nonparametric distributions with dynamic conditional correlations. (2011). Perote, Javier ; Ñíguez Grau, Trino ; DEL BRIO, ESTHER.
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    RePEc:eee:intfor:v:27:y::i:2:p:347-364.

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27. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:215-230.

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28. Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Tom ; Maheu, John.
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    RePEc:eee:econom:v:160:y:2011:i:1:p:69-76.

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29. Real-time inflation forecast densities from ensemble Phillips curves. (2011). Wakerly, Elizabeth ; Vahey, Shaun ; Mitchell, James ; Garratt, Anthony.
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30. Combining VAR and DSGE forecast densities. (2011). Vahey, Shaun ; Mitchell, James ; Jore, Anne Sofie ; ShaunP. Vahey, ; Bache, Ida Wolden .
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31. Measuring Core Inflation in Australia with Disaggregate Ensembles. (2010). Ravazzolo, Francesco ; Vahey, Shaun P.
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32. Combining forecast densities from VARs with uncertain instabilities. (2010). Vahey, Shaun ; Mitchell, James ; Jore, Anne Sofie.
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33. Testing for unconditional predictive ability. (2010). McCracken, Michael ; Clark, Todd.
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34. Comparing and evaluating Bayesian predictive distributions of asset returns. (2010). Geweke, John ; amisano, gianni.
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35. Retrieving risk neutral densities from European option prices based on the principle of maximum entropy. (2010). Rompolis, Leonidas.
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36. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2010). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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37. Forecasting with DSGE models. (2010). Warne, Anders ; Coenen, Günter ; Christoffel, Kai.
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38. Long memory and nonlinearities in realized volatility: a Markov switching approach.. (2010). Raggi, Davide ; Bordignon, S..
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39. Oil and US GDP: A real-time out-of-sample examination. (2010). Rothman, Philip ; Ravazzolo, Francesco.
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40. Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns. (2010). Tsiaras, Leonidas.
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41. Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?. (2009). Zerom, Dawit ; Manzan, Sebastiano .
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42. Understanding forecast failure in ESTAR models of real exchange rates. (2009). Buncic, Daniel.
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43. Testing Predictive Ability and Power Robustification. (2009). Song, Kyungchul.
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44. Understanding forecast failure of ESTAR models of real exchange rates. (2009). Buncic, Daniel.
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45. Inflation and Inflation Uncertainty in the Euro Area. (2009). Paesani, Paolo ; onorante, luca ; Caporale, Guglielmo Maria.
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46. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Tom ; Maheu, John.
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47. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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48. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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49. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
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50. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:08-03.

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