1. Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Li, Haiqi ; Hong, Yongmiao ; Chen, Qitong.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

   Full description at Econpapers || Download paper

2. Forecasting inflation using sentiment. (2024). Uhl, Matthias W ; Eugster, Patrick.
   In: Economics Letters.
   RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000582.

   Full description at Econpapers || Download paper

3. Optimal forecasts in the presence of discrete structural breaks under long memory. (2023). Sibbertsen, Philipp ; Mboya, Mwasi Paza.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:42:y:2023:i:7:p:1889-1908.

   Full description at Econpapers || Download paper

4. Housing price uncertainty and housing prices in the UK in a time-varying environment. (2023). Balcilar, Mehmet ; Wohar, Mark E ; Bekun, Festus Victor ; Uzuner, Gizem.
   In: Empirica.
   RePEc:kap:empiri:v:50:y:2023:i:2:d:10.1007_s10663-023-09567-y.

   Full description at Econpapers || Download paper

5. Dynamic linear models with adaptive discounting. (2023). Pavlidis, Efthymios G ; Yusupova, Alisa.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:39:y:2023:i:4:p:1925-1944.

   Full description at Econpapers || Download paper

6. The impact of COVID-19 on the relative market efficiency and forecasting ability of credit derivative and equity markets. (2023). Yin, Anwen ; Procasky, William J.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004428.

   Full description at Econpapers || Download paper

7. Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377.

   Full description at Econpapers || Download paper

8. Measuring stability and structural breaks: Applications in social sciences. (2023). Loginova, Daria ; Mann, Stefan.
   In: Journal of Economic Surveys.
   RePEc:bla:jecsur:v:37:y:2023:i:2:p:302-320.

   Full description at Econpapers || Download paper

9. Robust inference under time?varying volatility: A real?time evaluation of professional forecasters. (2022). Krusebecher, Robinson ; Hanck, Christoph ; Demetrescu, Matei.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:37:y:2022:i:5:p:1010-1030.

   Full description at Econpapers || Download paper

10. Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory. (2022). Sibbertsen, Philipp ; Mboya, Mwasi.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-705.

    Full description at Econpapers || Download paper

11. Some international evidence on the causal impact of the yield curve. (2022). Haubrich, Joseph G ; Bordo, Michael D.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321001975.

    Full description at Econpapers || Download paper

12. Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact. (2022). Nonejad, Nima.
    In: Energy Economics.
    RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005242.

    Full description at Econpapers || Download paper

13. Conditional rotation between forecasting models. (2022). Timmermann, Allan ; Zhu, Yinchu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:231:y:2022:i:2:p:329-347.

    Full description at Econpapers || Download paper

14. A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction. (2022). Wilfling, Bernd ; Monschang, Verena.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:9722.

    Full description at Econpapers || Download paper

15. Forecasting Under Structural Breaks Using Improved Weighted Estimation. (2022). Parsaeian, Shahnaz ; Ullah, Aman ; Lee, Taehwy.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:84:y:2022:i:6:p:1485-1501.

    Full description at Econpapers || Download paper

16. Forecasting Inflation: The Use of Dynamic Factor Analysis and Nonlinear Combinations. (2022). Wang, Yongli ; Tavlas, George S ; Hall, Stephen G.
    In: Discussion Papers.
    RePEc:bir:birmec:22-12.

    Full description at Econpapers || Download paper

17. Time Series Prediction under Distribution Shift using Differentiable Forgetting. (2022). Clarkson, Jase ; Bennett, Stefanos.
    In: Papers.
    RePEc:arx:papers:2207.11486.

    Full description at Econpapers || Download paper

18. .

    Full description at Econpapers || Download paper

19. An approach to increasing forecast?combination accuracy through VAR error modeling. (2021). Wilfling, Bernd ; Weigt, Till .
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:4:p:686-699.

    Full description at Econpapers || Download paper

20. State?dependent evaluation of predictive ability. (2021). Wochner, Daniel S ; Siliverstovs, Boriss.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:3:p:547-574.

    Full description at Econpapers || Download paper

21. Forecasting in a changing world: from the great recession to the COVID-19 pandemic. (2021). Koopman, Siem Jan ; Zhang, Zhaokun ; Blasques, Francisco ; Artemova, Mariia.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20210006.

    Full description at Econpapers || Download paper

22. Time-varying influence of household debt on inequality in United Kingdom. (2021). Lau, Chi Keung ; GUPTA, RANGAN ; Gabauer, David ; Marco, Chi Keung ; Berisha, Edmond.
    In: Empirical Economics.
    RePEc:spr:empeco:v:61:y:2021:i:4:d:10.1007_s00181-020-01940-1.

    Full description at Econpapers || Download paper

23. New York FED Staff Nowcasts and Reality: What Can We Learn about the Future, the Present, and the Past?. (2021). Siliverstovs, Boriss.
    In: Econometrics.
    RePEc:gam:jecnmx:v:9:y:2021:i:1:p:11-:d:511974.

    Full description at Econpapers || Download paper

24. Bagging weak predictors. (2021). Wei, Wei ; Lukas, Manuel ; Hillebrand, Eric.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:1:p:237-254.

    Full description at Econpapers || Download paper

25. Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

    Full description at Econpapers || Download paper

26. Conditional Rotation Between Forecasting Models. (2021). Zhu, Yinchu ; Timmermann, Allan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:15917.

    Full description at Econpapers || Download paper

27. No-Regret Forecasting with Egalitarian Committees. (2021). Su, Jiun-Hua.
    In: Papers.
    RePEc:arx:papers:2109.13801.

    Full description at Econpapers || Download paper

28. Does Judgment Improve Macroeconomic Density Forecasts?. (2020). Mitchell, James ; Garratt, Anthony ; Galvao, Ana Beatriz.
    In: EMF Research Papers.
    RePEc:wrk:wrkemf:33.

    Full description at Econpapers || Download paper

29. Introducing the Bank of Canada staff economic projections database. (2020). Sekkel, Rodrigo ; Poulinbellisle, Guillaume ; Champagne, Julien.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:35:y:2020:i:1:p:114-129.

    Full description at Econpapers || Download paper

30. Does business confidence matter for investment?. (2020). Khan, Hashmat ; Upadhayaya, Santosh.
    In: Empirical Economics.
    RePEc:spr:empeco:v:59:y:2020:i:4:d:10.1007_s00181-019-01694-5.

    Full description at Econpapers || Download paper

31. Aggregate density forecasting from disaggregate components using Bayesian VARs. (2020). Cobb, Marcus.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01720-6.

    Full description at Econpapers || Download paper

32. Time-Varying Influence of Household Debt on Inequality in United Kingdom. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Gabauer, David ; Berisha, Edmond.
    In: Working Papers.
    RePEc:pre:wpaper:202017.

    Full description at Econpapers || Download paper

33. Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data. (2020). GUPTA, RANGAN ; Rojas, Omar ; Nazlioglu, Saban ; Coronado, Semei.
    In: Working Papers.
    RePEc:pre:wpaper:202006.

    Full description at Econpapers || Download paper

34. Time-Varying Spillover of US Trade War on the Growth of Emerging Economies. (2020). GUPTA, RANGAN ; Ramabulana, Khuliso ; Gabauer, David ; Cepni, Oguzhan.
    In: Working Papers.
    RePEc:pre:wpaper:202002.

    Full description at Econpapers || Download paper

35. Bayesian dynamic variable selection in high dimensions. (2020). Korobilis, Dimitris ; Koop, Gary.
    In: MPRA Paper.
    RePEc:pra:mprapa:100164.

    Full description at Econpapers || Download paper

36. Bagging Weak Predictors. (2020). Wei, Wei ; Lukas, Manuel ; Hillebrand, Eric.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2020-16.

    Full description at Econpapers || Download paper

37. Recessions as Breadwinner for Forecasters State-Dependent Evaluation of Predictive Ability: Evidence from Big Macroeconomic US Data. (2020). Siliverstovs, Boriss ; Wochner, Daniel.
    In: Working Papers.
    RePEc:ltv:wpaper:202002.

    Full description at Econpapers || Download paper

38. Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions. (2020). Wochner, Daniel.
    In: KOF Working papers.
    RePEc:kof:wpskof:20-472.

    Full description at Econpapers || Download paper

39. Bayesian dynamic variable selection in high dimensions. (2020). Korobilis, Dimitris ; Koop, Gary.
    In: Working Papers.
    RePEc:gla:glaewp:2020_11.

    Full description at Econpapers || Download paper

40. On the performance of volatility-managed portfolios. (2020). Yan, Xuemin ; Wang, Feifei ; Odoherty, Michael S ; Cederburg, Scott.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:138:y:2020:i:1:p:95-117.

    Full description at Econpapers || Download paper

41. Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile. (2020). Pincheira, Pablo ; Neumann, Federico ; Pincheira-Brown, Pablo.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319304477.

    Full description at Econpapers || Download paper

42. High-dimensional predictive regression in the presence of cointegration. (2020). Anderson, Heather ; Yao, Wenying ; Seo, Myung Hwan ; Koo, Bonsoo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:219:y:2020:i:2:p:456-477.

    Full description at Econpapers || Download paper

43. VAR-based Granger-causality test in the presence of instabilities. (2019). Rossi, Barbara ; Wang, Yiru.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1642.

    Full description at Econpapers || Download paper

44. Vector autoregressive-based Granger causality test in the presence of instabilities. (2019). Wang, Yiru ; Rossi, Barbara.
    In: MPRA Paper.
    RePEc:pra:mprapa:101492.

    Full description at Econpapers || Download paper

45. Off to the Races: A Comparison of Machine Learning and Alternative Data for Predicting Economic Indicators. (2019). Batch, Andrea ; Driessen, Alexander ; Hood, Kyle K ; Dunn, Abe ; Chen, Jeffrey C.
    In: NBER Chapters.
    RePEc:nbr:nberch:14268.

    Full description at Econpapers || Download paper

46. Predictive, finite-sample model choice for time series under stationarity and non-stationarity. (2019). Fryzlewicz, Piotr ; Preuss, Philip ; Kley, Tobias.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:101748.

    Full description at Econpapers || Download paper

47. Predicting relative forecasting performance: An empirical investigation. (2019). Sekhposyan, Tatevik ; Granziera, Eleonora.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:4:p:1636-1657.

    Full description at Econpapers || Download paper

48. Variable selection in panel models with breaks. (2019). Zhu, Yinchu ; Timmermann, Allan ; Smith, Simon C.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:323-344.

    Full description at Econpapers || Download paper

49. Hindsight vs. Real time measurement of the output gap: Implications for the Phillips curve in the Chilean Case. (2019). Fornero, Jorge ; Garcia, Pablo ; Figueroa, Camila.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:854.

    Full description at Econpapers || Download paper

50. Does Business Confidence Matter for Investment?. (2019). Khan, Hashmat ; Upadhayaya, Santosh.
    In: Carleton Economic Papers.
    RePEc:car:carecp:17-13.

    Full description at Econpapers || Download paper

51. Time-varying cointegration and the UK great ratios. (2019). Price, Simon ; Petrova, Katerina ; Millard, Stephen ; Kapetanios, George.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0789.

    Full description at Econpapers || Download paper

52. VAR-Based Granger-Causality Test in the Presence of Instabilities. (2019). Rossi, Barbara ; Wang, Yiru.
    In: Working Papers.
    RePEc:bge:wpaper:1083.

    Full description at Econpapers || Download paper

53. Adaptive Dynamic Model Averaging with an Application to House Price Forecasting. (2019). Pavlidis, Efthymios ; Yusupova, Alisa .
    In: Papers.
    RePEc:arx:papers:1912.04661.

    Full description at Econpapers || Download paper

54. Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif.
    In: Papers.
    RePEc:arx:papers:1910.03109.

    Full description at Econpapers || Download paper

55. Cointegration and price discovery in US corn cash and futures markets. (2018). Xu, Xiaojie.
    In: Empirical Economics.
    RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1322-6.

    Full description at Econpapers || Download paper

56. Forecasting the production side of GDP. (2018). Steiner, Elizabeth ; Baeurle, Gregor ; Zullig, Gabriel ; Baurle, Gregor.
    In: Working Papers.
    RePEc:snb:snbwpa:2018-16.

    Full description at Econpapers || Download paper

57. The Predictive Power of Oil and Commodity Prices for Equity Markets. (2018). Dagher, Leila ; Badra, Nasser ; Jamali, Ibrahim.
    In: MPRA Paper.
    RePEc:pra:mprapa:116055.

    Full description at Econpapers || Download paper

58. Time varying cointegration and the UK Great Ratios. (2018). Price, Simon ; Millard, Stephen ; Petrova, Katerina ; Kapetanios, George.
    In: Essex Finance Centre Working Papers.
    RePEc:esy:uefcwp:23320.

    Full description at Econpapers || Download paper

59. Time varying cointegration and the UK great ratios. (2018). Price, Simon ; Millard, Stephen ; Petrova, Katerina ; Kapetanios, George.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2018-53.

    Full description at Econpapers || Download paper

60. Belgian economic policy uncertainty index: Improvement through text mining. (2018). Tobback, Ellen ; Martens, David ; DE FORTUNY, Enric JUNQUe ; Daelemans, Walter ; Naudts, Hans.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:2:p:355-365.

    Full description at Econpapers || Download paper

61. A UK financial conditions index using targeted data reduction: Forecasting and structural identification. (2018). Young, Garry ; Price, Simon ; Kapetanios, George.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:7:y:2018:i:c:p:1-17.

    Full description at Econpapers || Download paper

62. The macroeconomic and fiscal implications of inflation forecast errors. (2018). Tavlas, George ; Gibson, Heather ; Hall, Stephen G ; Dellas, Harris.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:93:y:2018:i:c:p:203-217.

    Full description at Econpapers || Download paper

63. An approach to increasing forecast-combination accuracy through VAR error modeling. (2018). Wilfling, Bernd ; Weigt, Till.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:6818.

    Full description at Econpapers || Download paper

64. Forecasting Macroeconomic Variables Under Model Instability. (2017). Pettenuzzo, Davide ; Timmermann, Allan.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:35:y:2017:i:2:p:183-201.

    Full description at Econpapers || Download paper

65. The rolling causal structure between the Chinese stock index and futures. (2017). Xu, Xiaojie.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:31:y:2017:i:4:d:10.1007_s11408-017-0299-7.

    Full description at Econpapers || Download paper

66. A UK financial conditions index using targeted data reduction: forecasting and structural identification. (2017). Young, Garry ; Price, SG ; Kapetanios, G.
    In: Essex Finance Centre Working Papers.
    RePEc:esy:uefcwp:20328.

    Full description at Econpapers || Download paper

67. Short-term inflation forecasting: The M.E.T.A. approach. (2017). Venditti, Fabrizio ; Silvestrini, Andrea ; Sbrana, Giacomo.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1065-1081.

    Full description at Econpapers || Download paper

68. When does the yield curve contain predictive power? Evidence from a data-rich environment. (2017). Hannikainen, Jari.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1044-1064.

    Full description at Econpapers || Download paper

69. Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

    Full description at Econpapers || Download paper

70. Predicting white metal prices by a commodity sensitive exchange rate. (2017). Ciner, Cetin .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:52:y:2017:i:c:p:309-315.

    Full description at Econpapers || Download paper

71. Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

    Full description at Econpapers || Download paper

72. Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

    Full description at Econpapers || Download paper

73. Growth in a time of austerity: evidence from the UK. (2017). Middleditch, Paul ; Amann, Juergen.
    In: Scottish Journal of Political Economy.
    RePEc:bla:scotjp:v:64:y:2017:i:4:p:349-375.

    Full description at Econpapers || Download paper

74. Rolling window selection for out-of-sample forecasting with time-varying parameters. (2016). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1435.

    Full description at Econpapers || Download paper

75. Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks. (2016). Hännikäinen, Jari ; Hannikainen, Jari.
    In: Working Papers.
    RePEc:tam:wpaper:1692.

    Full description at Econpapers || Download paper

76. When does the yield curve contain predictive power? Evidence from a data-rich environment. (2016). Hännikäinen, Jari ; Hannikainen, Jari.
    In: Working Papers.
    RePEc:tam:wpaper:1603.

    Full description at Econpapers || Download paper

77. In-Sample Inference and Forecasting in Misspecified Factor Models. (2016). Rossi, Barbara ; Carrasco, Marine.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:34:y:2016:i:3:p:313-338.

    Full description at Econpapers || Download paper

78. Bayesian model averaging and principal component regression forecasts in a data rich environment. (2016). Ouysse, Rachida.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:3:p:763-787.

    Full description at Econpapers || Download paper

79. Forecasting in Economics and Finance. (2016). Elliott, Graham ; Timmermann, Allan G.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11354.

    Full description at Econpapers || Download paper

80. Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline .
    In: Working Papers Series.
    RePEc:bcb:wpaper:446.

    Full description at Econpapers || Download paper

81. Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads. (2015). Hannikainen, Jari .
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:26:y:2015:i:1:p:47-54.

    Full description at Econpapers || Download paper

82. Evaluating Point and Density Forecasts of DSGE Models. (2015). Wolters, Maik.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:30:y:2015:i:1:p:74-96.

    Full description at Econpapers || Download paper

83. Forecasting Consumption: The Role of Consumer Confidence in Real Time with many Predictors. (2015). Zhao, Yongchen ; Monokroussos, George ; Lahiri, Kajal.
    In: Working Papers.
    RePEc:tow:wpaper:2015-02.

    Full description at Econpapers || Download paper

84. Comment. (2015). Hansen, Peter ; Timmermann, Allan.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:33:y:2015:i:1:p:17-21.

    Full description at Econpapers || Download paper

85. Selection of an estimation window in the presence of data revisions and recent structural breaks. (2015). Hännikäinen, Jari ; Hannikainen, Jari.
    In: MPRA Paper.
    RePEc:pra:mprapa:66759.

    Full description at Econpapers || Download paper

86. Forecasting and model averaging with structural breaks. (2015). Yin, Anwen.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:201501010800005727.

    Full description at Econpapers || Download paper

87. Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads. (2015). Hännikäinen, Jari ; Hannikainen, Jari.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:26:y:2015:i:c:p:47-54.

    Full description at Econpapers || Download paper

88. EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries. (2015). Proietti, Tommaso ; Marcellino, Massimiliano ; Grassi, Stefano ; Mazzi, Gian Luigi ; Frale, Cecilia .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:712-738.

    Full description at Econpapers || Download paper

89. Comment. (2014). Rossi, Barbara.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:4:p:510-514.

    Full description at Econpapers || Download paper

90. Multi-step forecasting in the presence of breaks. (2014). Hännikäinen, Jari ; Hannikainen, Jari.
    In: MPRA Paper.
    RePEc:pra:mprapa:55816.

    Full description at Econpapers || Download paper

91. Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters. (2014). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10168.

    Full description at Econpapers || Download paper

92. Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?. (2013). Rossi, Barbara ; Kisacikoglu, Burcin ; Gürkaynak, Refet ; Gurkaynak, Refet S..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9576.

    Full description at Econpapers || Download paper

1. Agnew, R.A. Econometric forecasting via discounted least squares. 1982 Naval Research Logistics Quarterly. 29 291-302
   Paper not yet in RePEc: Add citation now
   

2. Aiolfi, M. ; Timmermann, A. Persistence of forecasting performance and conditional combination strategies. 2006 Journal of Econometrics. 135 31-53

3. Aiolfi, M., Capistran, C., Timmermann, A., 2010. Forecast Combinations. Mimeo, UCSD.

4. Aiolfi, M., Timmermann, A., 2004. Structural Breaks and the Performance of Forecast Combinations. Mimeo UCSD.
   Paper not yet in RePEc: Add citation now
   
5. Altavilla, C., Ciccarelli, M., 2007. Information combination and forecastability. Evidence From Vintages of Time-series Data, European Central Bank Working Paper Series 846.
   Paper not yet in RePEc: Add citation now
   
6. Amato, R. ; Swanson, N.R. Money and output viewed through a rolling window. 1998 Journal of Monetary Economics. 41 455-474
   Paper not yet in RePEc: Add citation now
   

7. Amisano, G. ; Giacomini, R. Comparing density forecasts via weighted likelihood ratio tests. 2007 Journal of Business and Economic Statistics. 25 177-190

8. Andersen, T. ; Bollerslev, T. ; Christoffersen, P. ; Diebold, F. Volatility and correlation forecating. 2006 En : . Elsevier: North Holland

9. Andreou, E. ; Ghysels, E. ; Kourtellos, A. Regression models with mixed sampling frequencies. 2010 Journal of Econometrics. 158 246-261

10. Andrews, D.W. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. 1991 Econometrica. 59 817-858

11. Andrews, D.W. Tests for parameter instability and structural change with unknown change point. 1993 Econometrica. 61 821-856

12. Andrews, D.W. ; Ploberger, W. Optimal tests when a nuisance parameter is present only under the alternative. 1994 Econometrica. 62 1383-1414

13. Ang, A., Bekaert, G., 2004. Stock Return Predictability: Is it There? Mimeo, Columbia University and NBER.
    Paper not yet in RePEc: Add citation now
    

14. Bacchetta, P., van Wincoop, E., 2009. On the unstable relationship between exchange rates and macroeconomic fundamentals. NBER Working Papers 15008.

15. Bache, I.W. ; Jore, A.S. ; Mitchell, J. ; Vahey, S.P. Combining VAR and DSGE forecast densities. 2011 Journal of Economic Dynamics and Control. 35 1659-1670

16. Bai, J. Estimation of a change point in multiple regression models. 1997 Review of Economics and Statistics. 79 551-563

17. Bai, J. ; Perron, P. Estimating and testing linear models with multiple structural changes. 1998 Econometrica. 66 47-78

18. Bates, J.M. ; Granger, C.W.J. The combination of forecasts. 1969 Operations Research Quarterly. 20 451-468
    Paper not yet in RePEc: Add citation now
    

19. Bauwens, L., Korobilis, D., Rombouts, J.V.K., 2011. A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models. Mimeo, available at: <http://neumann.hec.ca/pages/jeroen.rombouts/research/bkkr4.pdf>.

20. Beckmann, J. ; Belke, A. ; Kuhl, M. The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach. 2011 Review of World Economics. 147 11-40

21. Bekaert, G. ; Hodrick, R.J. Characterizing predictable components in excess returns in equity and foreign exchange markets. 1992 Journal of Finance. 47 467-509

22. Billio, M., Casarin, R., Ravazzolo, F.F., van Dijk, H.K., 2011. Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data. Mimeo, Norges Bank.

23. Blume, M.E. Betas and their regression tendencies. 1975 Journal of Finance. 30 785-795

24. Boivin, J. ; Giannoni, M. Has monetary policy become more effective?. 2006 Review of Economics and Statistics. 88 445-462

25. Bordo, M.D. ; Haubrich, J.G. The yield curve as a predictor of growth: long-run evidence, 1875–1997. 2008 Review of Economics and Statistics. 90 182-185

26. Bossaerts, P. ; Hillion, P.P. Implementing statistical criteria to select return forecasting models: what do we learn?. 1999 Review of Financial Studies. 12 405-428

27. Brown, R.G. Smoothing, Forecasting and Prediction. 1963 Prentice Hall: Englewood Cliffs
    Paper not yet in RePEc: Add citation now
    
28. Brown, R.L. ; Durbin, J. ; Evans, J.M. Techniques for testing the constancy of regression relationships over time. 1975 Journal of the Royal Statistical Society Series B. 37 149-192
    Paper not yet in RePEc: Add citation now
    
29. Busetti, F., Marcucci, J., Veronese, G., 2011. Comparing Forecast Accuracy: A Monte Carlo Investigation. Mimeo, Bank of Italy.
    Paper not yet in RePEc: Add citation now
    
30. Calhoun, G., 2011. Out-of-Sample Comparison of Overfit Models. Mimeo, Iowa State University.
    Paper not yet in RePEc: Add citation now
    
31. Calhoun, G., Elliott, G., 2012. Why do Nonlinear Models Provide Poor Macroeconomic Forecasts? Mimeo, UCSD.
    Paper not yet in RePEc: Add citation now
    

32. Campbell, J.Y. Stock returns and the term structure. 1987 Journal of Financial Economics. 18 373-399

33. Campbell, J.Y. ; Shiller, R.J. Stock prices, earnings, and expected dividends. 1988 Journal of Finance. 43 661-676

34. Canova, F. G-7 Inflation forecasts: random walk, phillips curve, or what else?. 2007 Macroeconomic Dynamics. 11 1-30

35. Canova, F. Modelling and forecasting exchange rates with a bayesian time-varying coefficient model. 1993 Journal of Economic Dynamics and Control. 17 233-261

36. Carriero, A., Clark, T., Marcellino, M., 2012. Common drifting volatility in large Bayesian VARs, CEPR Discussion Paper 8894.

37. Carstensen, K., Wohlrabe, K., Ziegler, C., 2010. Predictive ability of business cycle indicators under test: a case study for the euro area industrial production. CESIFO Working Paper No. 3158.

38. Castelnuovo, E., Greco, L., Raggi, D., 2008. Estimating regime-switching Taylor rules with trend inflation, Bank of Finland Research Discussion Papers 20/2008.

39. Castle, J. ; Fawcett, N.W.P. ; Hendry, D.F. Forecasting breaks and forecasting during breaks. 2012 En : Clements, M.P. ; Hendry, D.F. Oxford Handbook of Economic Forecasting. Oxford University Press:
    Paper not yet in RePEc: Add citation now
    

40. Chen, Y. ; Rogoff, K. ; Rossi, B. Can exchange rates forecast commodity prices?. 2010 Quarterly Journal of Economics. 125 1145-1194

41. Clark, T.E. Real-time density forecasts from bayesian vector autoregressions with stochastic volatility. 2011 Journal of Business and Economic Statistics. 29 327-341

42. Clark, T.E. ; McCracken, M.W. Averaging forecasts from vars with uncertain instabilities. 2010 Journal of Applied Econometrics. 25 5-29

43. Clark, T.E. ; McCracken, M.W. Forecasting with small macroeconomic VARs in the presence of instability. 2008 En : Rapach, D.E. ; Wohar, M.E. Forecasting in the Presence of Structural Breaks and Model Uncertainty. Emerald Group Publishing: Bingley, UK
    Paper not yet in RePEc: Add citation now
    

44. Clark, T.E. ; McCracken, M.W. Improving forecast accuracy by combining recursive and rolling forecasts. 2009 International Economic Review. 50 363-395

45. Clark, T.E. ; McCracken, M.W. Tests of equal forecast accuracy and encompassing for nested models. 2001 Journal of Econometrics. 105 85-110

46. Clark, T.E. ; McCracken, M.W. The power of tests of predictive ability in the presence of structural breaks. 2005 Journal of Econometrics. 124 1-31

47. Clark, T.E. ; West, K.D. Approximately normal tests for equal predictive accuracy in nested models. 2007 Journal of Econometrics. 138 291-311

48. Clark, T.E. ; West, K.D. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis. 2006 Journal of Econometrics. 135 155-186

49. Clemen, R.T. ; Winkler, R.L. Combining economic forecasts. 1986 Journal of Business and Economic Statistics. 4 39-46

50. Clements, M.P. ; Franses, P.H. ; Swanson, N.R. Forecasting economic and financial time-series with non-linear models. 2004 International Journal of Forecasting. 20 169-183

51. Clements, M.P. ; Hendry, D.F. Explaining forecast failure in macroeconomics. 2002 En : Clements, M.P. ; Hendry, D.F. A Companion to Economic Forecasting. Blackwells: Oxford
    Paper not yet in RePEc: Add citation now
    

52. Clements, M.P. ; Hendry, D.F. Forecasting Economic Time Series. 1998 Cambridge University Press: Cambridge

53. Clements, M.P. ; Hendry, D.F. Forecasting with breaks in data processes. 2006 En : . Elsevier:

54. Clements, M.P. ; Hendry, D.F. Intercept corrections and structural change. 1996 Journal of Applied Econometrics. 11 475-494

55. Clements, M.P. ; Hendry, D.F. On the limitations of comparing mean square forecast errors. 1993 Journal of Forecasting. 12 617-637
    Paper not yet in RePEc: Add citation now
    
56. Clements, M.P., Hendry, D.F. 1999. Some Methodological Implications of Forecast Failure. Mimeo, Warwick University and Nuffield College.
    Paper not yet in RePEc: Add citation now
    

57. Cogley, T. A simple adaptive measure of core inflation. 2002 Journal of Money, Credit and Banking. 34 94-113

58. Cogley, T. ; Sargent, T. Drifts and volatilities: monetary policies and outcomes in the post world war II US. 2005 Review of Economic Dynamics. 8 262-302

59. Cogley, T. ; Sargent, T. Evolving post-world war II US inflation dynamics. 2001 En : Bernanke, B. ; Rogoff, K. NBER Macroeconomics Annual. MIT Press: Cambridge, MA
    Paper not yet in RePEc: Add citation now
    

60. Cogley, T. ; Sbordone, A. Trend inflation, indexation, and inflation persistence in the new keynesian phillips curve. 2008 American Economic Review. 98 2101-2126

61. Cooper, M. ; Gutierrez, R.C. ; Marcum, W. On the predictability of stock returns in real time. 2005 Journal of Business. 78 469-499

62. Corradi, V. ; Swanson, N.R. Bootstrap conditional distribution tests in the presence of dynamic mis-specification. 2006 Journal of Econometrics. 133 779-806

63. Corradi, V. ; Swanson, N.R. Predictive density evaluation. 2006 En : Elliott, G. ; Granger, C. ; Timmermann, A. Handbook of Economic Forecasting. Elsevier:

64. Corradi, V., Swanson, N.R., 2010. Testing for Index Model Stability and Forecast Failure. Mimeo, University of Warwick.
    Paper not yet in RePEc: Add citation now
    

65. Croushore, D. ; Stark, T. A real-time data set for macroeconomists. 2001 Journal of Econometrics. 105 111-130

66. Croushore, D., 2011. Two Dimensions of Forecast Evaluation: Vintages and Sub-samples. Mimeo, University of Richmond
    Paper not yet in RePEc: Add citation now
    

67. Díaz, J., Leyva, G., 2008. Forecasting chilean inflation in difficult times. Central Bank of Chile Working Papers 511.

68. D’Agostino, A. ; Surico, P. A century of inflation forecasts. 2012 Review of Economics and Statistics. 94 1097-1106

69. D’Agostino, A., Gambetti, L., Giannone, D., 2009. Macroeconomic Forecasting and Structural Change. Mimeo, European Central Bank.

70. D’Agostino, A., Giannone, D., Surico, P., 2008. (Un)Predictability and macroeconomic stability, CEPR Discussion Paper, No. DP6594.
    Paper not yet in RePEc: Add citation now
    

71. Diebold, F.X. ; Gunther, T.A. ; Tay, A.S. Evaluating density forecasts with applications to financial risk management. 1998 International Economic Review. 39 863-883

72. Diebold, F.X. ; Lopez, J. Forecast evaluation and combination. 1996 En : Maddala, G.S. ; Rao, C.R. Handbook of Statistics. North-Holland:

73. Diebold, F.X. ; Mariano, R.S. Comparing predictive accuracy. 1995 Journal of Business and Economic Statistics. 13 253-263

74. Diebold, F.X. ; Pauly, P. Structural change and the combination of forecasts. 1987 Journal of Forecasting. 6 21-40
    Paper not yet in RePEc: Add citation now
    

75. Diks, C. ; Panchenkob, V. ; van Dijk, D. Likelihood-based scoring rules for comparing density forecasts in tails. 2011 Journal of Econometrics. 163 215-230

76. Doornik, J.A. Encompassing and automatic model selection. 2008 Oxford Bulletin of Economics and Statistics. 70 915-925

77. Edge, R.M. ; Gürkaynak, R.S. How useful are estimated DSGE model forecasts for central bankers? CEPR Discussion Papers 8158. 2010 Brooking Papers on Economic Activity. 41 209-259

78. Eklund, J. ; Karlsson, S. Forecast combination and model averaging using predictive measures. 2005 Econometric Reviews. 26 329-363

79. Elliott, G. Forecasting with trending data. 2009 En : . Elsevier: North Holland
    Paper not yet in RePEc: Add citation now
    

80. Elliott, G. ; Muller, U. Confidence sets for the date of a single break in linear time series regressions. 2007 Journal of Econometrics. 141 1196-1218

81. Elliott, G. ; Muller, U. Efficient tests for general persistent time variation in regression coefficients. 2006 Review of Economic Studies. 73 907-940

82. Elliott, G. ; Timmermann, A. Optimal forecast combination under regime switching. 2005 International Economic Review. 1081-1102

83. Engle, R.F. ; Smith, A.D. Stochastic permanent breaks. 1999 Review of Economics and Statistics. 81 553-574

84. Fama, E. ; French, K.R. Industry cost of equity. 1997 Journal of Financial Economics. 43 153-193

85. Fama, E.F. ; French, K.R. Dividend yields and expected stock returns. 1988 Journal of Financial Economics. 22 3-25

86. Faust, J. ; Wright, J. Comparing greenbook and reduced form forecasts using a large realtime dataset. 2009 Journal of Business and Economic Statistics. 27 468-479

87. Faust, J. ; Wright, J. Forecasting inflation. 2013 En : . Elsevier: North Holland

88. Ferraro, D., Rogoff, K., Rossi, B., 2011. Can oil prices forecast exchange rates? Federal Reserve Bank of Philadelphia Working Paper 11–34.

89. Galvão, A.B. Structural break threshold vars for predicting the probability of US recessions using the spread. 2006 Journal of Applied Econometrics. 21 463-487

90. Galvão, A.B., 2011. Changes in Predictive Ability with Mixed Frequency Data. Mimeo, Queen Mary University of London.
    Paper not yet in RePEc: Add citation now
    

91. Garratt, A. ; Koop, G. ; Vahey, S.P. Forecasting substantial data revisions in the presence of model uncertainty. 2008 Economic Journal. 118 1128-1144

92. Geweke, J. ; Amisano, G. Optimal prediction pools. 2007 Journal of Econometrics. 164 130-141
    Paper not yet in RePEc: Add citation now
    

93. Giacomini, R. ; Rossi, B. Detecting and predicting forecast breakdowns. 2009 Review of Economic Studies. 76 -

94. Giacomini, R. ; Rossi, B. Forecast comparisons in unstable environments. 2010 Journal of Applied Econometrics. 25 595-620

95. Giacomini, R. ; Rossi, B. How stable is the forecasting performance of the yield curve for output growth?. 2006 Oxford Bulletin of Economics and Statistics. 68 783-795

96. Giacomini, R. ; White, H. Tests of conditional predictive ability. 2006 Econometrica. 74 1545-1578

97. Giacomini, R., Rossi, B., 2010b. Model Comparisons in Unstable Environments. Mimeo.

98. Gonzales, A., Hubrich, K., Terasvirta, T., 2011. Forecasting inflation with gradual regime shifts and exogenous information, European Central BankWorking Paper, No. 1363.

99. Gonzalo, J., Pitarakis, J., 2010. Regime specific predictability in predictive regressions. Universidad Carlos III Working Papers we097844.

100. Goyal, A. ; Welch, I. A Comprehensive look at the empirical performance of equity premium prediction. 2008 Review of Financial Studies. 21 1455-1508

101. Goyal, A. ; Welch, I. Predicting the equity premium with dividend ratios. 2003 Management Science. 49 639-654

102. Granger, C.W.J. ; Newbold, P. Forecasting Economic Time Series. 1986 Academic Press: New York

103. Granger, C.W.J. ; Newbold, P. Some comments on the evaluation of economic forecasts. 1973 Applied Economics. 5 35-47
     Paper not yet in RePEc: Add citation now
     

104. Groen, J.J., Paap, R., Ravazzolo, F., 2009. Real-time inflation forecasting in a changing world. Norges Bank Working Paper 2009/16.

105. Guidolin, M. ; Timmermann, A. Asset allocation under multivariate regime switching. 2007 Journal of Economic Dynamics and Control. 31 3503-3544

106. Hall, S.G. ; Mitchell, J. Combining density forecasts. 2007 International Journal of Forecasting. 23 1-13

107. Hamilton, J. Rational Expectations Econometric analysis of changes in regime. 1988 Journal of Economic Dynamics and Control. 12 385-413
     Paper not yet in RePEc: Add citation now
     

108. Hansen, B. Testing for structural change in conditional models. 2000 Journal of Econometrics. 97 93-115

109. Hansen, P.R., Timmermann, A., 2012. Choice of Sample Split in Out-of-Sample Forecast Evaluation. CREATES Working Paper. 2012–43, University of Aarhus.

110. Harvey, A. Forecasting, Structural Time Series Models and the Kalman Filter. 1989 Cambridge University Press: Cambridge
     Paper not yet in RePEc: Add citation now
     

111. Harvey, D.I. ; Leybourne, S.J. ; Newbold, P. Tests for forecast encompassing. 1998 Journal of Business and Economic Statistics. 16 254-259

112. Hayashi, F. Econometrics. 2000 Princeton University Press: Princeton
     Paper not yet in RePEc: Add citation now
     

113. Hendry, D.F. On detectable and non-detectable structural change. 2000 Structural Change and Economic Dynamics. 11 45-65

114. Hendry, D.F. ; Clements, M.P. Pooling of forecasts. 2004 Econometrics Journal. 7 1-31

115. Hendry, D.F. ; Hubrich, K. Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate. 2011 Journal of Business and Economic Statistics. 29 216-227

116. Hendry, D.F. ; Krolzig, H.M. The properties of automatic gets modelling. 2005 Economic Journal. 115 C32-C61

117. Henkel, S. ; Martin, J.S. ; Nardari, F. Time-varying short-horizon predictability. 2011 Journal of Financial Economics. 99 -

118. Holt, C.C., 1957. Forecasting Seasonals and Trends by Exponentially Weighted Moving Averages. ONR Research Memorandum 52. Carnegie Institute of Technology.
     Paper not yet in RePEc: Add citation now
     
119. Inoue, A. ; Kilian, L. In-Sample or out-of-sample tests of predictability: which one should we use?. 2004 Econometric Reviews. 23 371-402
     Paper not yet in RePEc: Add citation now
     

120. Inoue, A. ; Kilian, L. On the selection of forecasting models. 2006 Journal of Econometrics. 130 273-306

121. Inoue, A. ; Rossi, B. Identifying the sources of instabilities in macroeconomic fluctuations. 2011 Review of Economics and Statistics. -

122. Inoue, A. ; Rossi, B. Out of sample forecast tests robust to the window size choice. 2012 Journal of Business and Economic Statistics. 30 432-453

123. Jore, A.S. ; Mitchell, J. ; Vahey, S.P. Combining forecast densities from vars with uncertain instabilities. 2010 Journal of Applied Econometrics. 25 621-634

124. Kang, H. Unstable weights in the combination of forecasts. 1986 Management Science. 32 683-695

125. Kascha, C. ; Ravazzolo, F. Combining inflation density forecasts. 2010 Journal of Forecasting. 29 231-250

126. Koop, G. ; Potter, S.M. Estimation and forecasting in models with multiple breaks. 2007 Review of Economic Studies. 74 763-789

127. Koop, G. ; Potter, S.M. Forecasting in large macroeconomic panels using bayesian model averaging. 2004 Econometrics Journal. 7 550-565
     Paper not yet in RePEc: Add citation now
     

128. Koop, G. ; Potter, S.M. ; Strachan, R.W. Re-examining the consumption-wealth relationship: the role of model uncertainty. 2008 Journal of Money Credit and Banking. 40 341-367

129. Koop, G., Korobilis, D., 2009. Forecasting inflation using dynamic model averaging. Rimini Centre for Economic Analysis Working Paper 3409.

130. Koop, G., Korobilis., 2012. Large Time-Varying Parameter VARs. Mimeo, University of Glasgow.

131. Kozicki, S. ; Tinsley, P.A. Shifting endpoints in the term structure of interest rates. 2001 Journal of Monetary Economics. 47 613-652

132. Manzana, S., Zerom, D., 2009. Are Macroeconomic Variables Useful for Forecasting the Distribution of US Inflation? Mimeo, Baruch College.

133. Marcellino, M. Leading indicators. 2006 En : Elliot, G. ; Granger, C.W.J. ; Timmermann, A. Handbook of Economic Forecasting. Elsevier: Amsterdam

134. Marquering, W. ; Verbeek, M. The economic value of predicting stock index returns and volatility. 2004 Journal of Financial and Quantitative Analysis. 39 407-429

135. McConnell, M. ; Perez-Quiros, G. Output fluctuations in the united states: what has changed since the early 1980s?. 2000 American Economic Review. 90 1464-1476

136. McCracken, M.W. Asymptotics for out-of-sample tests of Granger causality. 2007 Journal of Econometrics. 140 719-752

137. Meese, R. ; Rogoff, K.S. Exchange rate models of the seventies. Do they fit out of sample?. 1983 Journal of International Economics. 14 3-24

138. Meese, R. ; Rogoff, K.S. The out of sample failure of empirical exchange rate models. 1983 En : Frankel, Jacob Exchange Rates and International Macroeconomics. University of Chicago Press for NBER: Chicago

139. Meese, R. ; Rogoff, K.S. Was it real? the exchange rate-interest differential relation over the modern floating rate period. 1988 Journal of Finance. 43 923-948

140. Min, C. ; Zellner, A. Bayesian and non-bayesian methods for combining models and forecasts with applications to forecasting international growth rates. 1993 Journal of Econometrics. 56 89-118

141. Mincer, J. ; Zarnowitz, V. The evaluation of economic forecasts. 1969 En : Mincer, J. Economic Forecasts and Expectations. National Bureau of Economic Research: New York

142. Newey, W. ; West, K. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708

143. Nyblom, J. Testing for the constancy of parameters over time. 1989 Journal of the American Statistical Association. 84 223-230
     Paper not yet in RePEc: Add citation now
     

144. Palm, F.C. ; Zellner, A. To combine or not to combine? issues of combining forecasts. 1992 Journal of Forecasting. 11 687-701

145. Patton, A. ; Timmermann, A. Forecast rationality tests based on multi-horizon bounds. 2012 Journal of Business and Economic Statistics. 30 1-17

146. Paye, B. ; Timmermann, A. Instability of return prediction models. 2006 Journal of Empirical Finance. 13 274-315

147. Perez-Quiros, G. ; Timmermann, A. Firm size and cyclical variations in stock returns. 2000 Journal of Finance. 55 1229-1262

148. Pesaran, M.H. ; Pettenuzzo, D. ; Timmermann, A. Forecasting time series subject to multiple structural breaks. 2006 Review of Economic Studies. 73 1057-1084

149. Pesaran, M.H. ; Pick, A. Forecast combination across estimation windows. 2011 Journal of Business and Economic Statistics. 29 307-318

150. Pesaran, M.H. ; Schuermann, T. ; Smith, L.V. Forecasting economic and financial variables with global VARs. 2009 International Journal of Forecasting. 25 642-675

151. Pesaran, M.H. ; Timmermann, A. Market timing and return prediction under model instability. 2002 Journal of Empirical Finance. 9 495-510

152. Pesaran, M.H. ; Timmermann, A. Predictability of stock returns: robustness and economic significance. 1995 Journal of Finance. 50 1201-1228

153. Pesaran, M.H. ; Timmermann, A. Selection of estimation window in the presence of breaks. 2007 Journal of Econometrics. 137 134-161

154. Pesaran, M.H. ; Timmermann, A. Small sample properties of forecasts from autoregressive models under structural breaks. 2005 Journal of Econometrics. 129 183-217

155. Qu, Z. ; Perron, P. Estimating and testing multiple structural changes in multivariate regressions. 2007 Econometrica. 75 459-502

156. Rapach, D.E. ; Strauss, J.K. ; Zhou, G. Out-of-sample equity premium prediction: combination forecasts and links to the real economy. 2010 Review of Financial Studies. 23 821-862

157. Rapach, D.E. ; Wohar, M.E. Regime changes in international real interest rates: are they a monetary phenomenon?. 2005 Journal of Money, Credit, and Banking. 37 887-906

158. Rapach, D.E. ; Wohar, M.E. Structural breaks and predictive regression models of aggregate US stock returns. 2006 Journal of Financial Econometrics. 4 238-274

159. Ravazzolo, F., Paap, R., van Dijk, D., Franses, P.H., 2007. Bayesian Model Averaging in the Presence of Structural Breaks. Mimeo, Erasmus University.
     Paper not yet in RePEc: Add citation now
     

160. Ravazzolo, F., Verbeek, M., Van Dijk, H.K., 2007. Predictive Gains from Forecast Combinations Using Time Varying Model Weights. Mimeo. Available at SSRN: <http://ssrn.com/abstract=1012574>.

161. Rime, D. ; Sarno, L. ; Sojli, E. Exchange rate forecasting, order flow and macroeconomic information. 2010 Journal of International Economics. 80 72-88

162. Rogoff, K.S., Stavrakeva, V., 2008. The continuing puzzle of short horizon exchange rate forecasting. NBER Working Papers 14071.

163. Rossi, B. Are exchange rates really random walks? some evidence robust to parameter instability. 2006 Macroeconomic Dynamics. 10 20-38

164. Rossi, B. Comment to: forecast rationality tests based on multi-horizon bounds. 2012 Journal of Business and Economic Statistics. 30 25-29
     Paper not yet in RePEc: Add citation now
     

165. Rossi, B. Optimal tests for nested model selections with underlying parameter instabilities. 2005 Econometric Theory. 21 962-990

166. Rossi, B. ; Sekhposyan, T. Have models’ forecasting performance changed over time, and when?. 2010 International Journal of Forecasting. 26 -
     Paper not yet in RePEc: Add citation now
     

167. Rossi, B. ; Sekhposyan, T. Understanding models’ forecasting performance. 2011 Journal of Econometrics. 164 158-172

168. Rossi, B., Sekhposyan, T., 2011b. Forecast Optimality Tests in the Presence of Instabilities. Mimeo, Duke University.

169. Sarno, L. ; Valente, G. Exchange rates and fundamentals: footloose or evolving relationship?. 2009 Journal of the European Economic Association. 7 786-830

170. Schinasi, G. ; Swamy, P. The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change. 1989 Journal of International Money and Finance. 8 375-390

171. Schrimpf, A. ; Wang, Q.W. A reappraisal of the leading indicator properties of the yield curve under structural instability. 2010 International Journal of Forecasting. 26 836-857

172. Schwert, G.W. Anomalies and market efficiency. 2003 En : Constantinides, G.M. ; Harris, M. ; Stulz, R. Handbook of the Economics of Finance. Elsevier:

173. Smith, A. Forecasting in the presence of level shifts. 2005 Journal of Forecasting. 24 557-574

174. Smith, J. ; Wallis, K. A simple explanation of the forecast combination puzzle. 2009 Oxford Bulletin of Economics and Statistics. 71 331-355

175. Stock, J.H. Unit roots, structural breaks, and trends. 1994 En : . Elsevier: Amsterdam
     Paper not yet in RePEc: Add citation now
     
176. Stock, J.H. ; Watson, M.W. A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series. 2001 En : Engle, R.F. ; White, H. Festschrift in Honour of Clive Granger. Cambridge University Press:
     Paper not yet in RePEc: Add citation now
     

177. Stock, J.H. ; Watson, M.W. A dynamic factor model framework for forecast combination. 1999 Spanish Economic Review. 1 91-121

178. Stock, J.H. ; Watson, M.W. Combination forecasts of output growth in a seven country data set. 2004 Journal of Forecasting. 23 405-430

179. Stock, J.H. ; Watson, M.W. Evidence on structural stability in macroeconomic time series relations. 1996 Journal of Business and Economic Statistics. 14 11-30

180. Stock, J.H. ; Watson, M.W. Forecasting in dynamic factor models subject to structural instability. 2008 En : Castle, J. ; Shephard, N. The Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F. Oxford University Press: Hendry, Oxford
     Paper not yet in RePEc: Add citation now
     

181. Stock, J.H. ; Watson, M.W. Forecasting output and inflation: the role of asset prices. 2003 Journal of Economic Literature XLI. 788-829

182. Stock, J.H. ; Watson, M.W. Forecasting with many predictors. 2006 En : . Elsevier: North Holland

183. Stock, J.H. ; Watson, M.W. Has the business cycle changed and why?. 2002 En : Gertler, M. ; Rogoff, K. NBER Macroeconomics Annual. MIT Press: Cambridge, MA

184. Stock, J.H. ; Watson, M.W. Why has inflation become harder to forecast?. 2007 Journal of Money, Credit, and Banking. 39 3-34

185. Sullivan, R. ; Timmermann, A. ; White, H. Data-snooping, technical trading rule performance, and the bootstrap. 1999 Journal of Finance. 54 1647-1691

186. Swanson, N.R. Money and output viewed through a rolling window. 1998 Journal of Monetary Economics. 41 455-473

187. Swanson, N.R. ; White, H. A model selection approach to assessing the information in the term structure using linear models and artifical neural networks. 1995 Journal of Business and Economic Statistics. 13 265-275

188. Swanson, N.R. ; White, H. A model selection approach to real-time macroeconomic forecasting using linear models and artificial neural networks. 1997 Review of Economics and Statistics. 79 540-550

189. Terasvirta, Timo Forecasting economic variables with nonlinear models. 2009 En : . Elsevier: North Holland
     Paper not yet in RePEc: Add citation now
     

190. Timmermann, A. Elusive return predictability. 2008 International Journal of Forecasting. 24 1-18

191. Timmermann, A. Forecast combinations. 2006 En : . Elsevier: North Holland

192. West, K.D. Asymptotic inference about predictive ability. 1996 Econometrica. 64 1067-1084

193. West, K.D. Forecast evaluation. 2006 En : . Elsevier: North Holland

194. West, K.D. ; McCracken, M.W. Regression-based tests of predictive ability. 1998 International Economic Review. 39 817-840

195. Wheelock, D.C. ; Wohar, M.E. Can the term spread predict output growth and recessions? a survey of the literature. 2009 Federal Reserve Bank of St. Louis Review. 91 419-440

196. Winters, P.R. Forecasting sales by exponentially weighted moving averages. 1960 Management Science. 6 324-342

197. Wolff, C. Time-varying parameters and the out-of-sample forecasting performance of structural exchange rate models. 1987 Journal of Business and Economic Statistics. 5 87-97

198. Wright, J.H. Bayesian model averaging and exchange rate forecasts. 2008 Journal of Econometrics. 146 329-341

199. Wright, J.H. Forecasting US inflation by bayesian model averaging. 2009 Journal of Forecasting. 28 131-144

1. Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?. (2015). Mogliani, Matteo ; Bec, Frédérique.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:31:y:2015:i:4:p:1021-1042.

   Full description at Econpapers || Download paper

2. Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market. (2014). Wohar, Mark ; Vivian, Andrew ; Jordan, Steven J..
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:41:y:2014:i:c:p:95-109.

   Full description at Econpapers || Download paper

3. Is there an optimal forecast combination?. (2014). hsiao, cheng ; Wan, Shui Ki .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:178:y:2014:i:p2:p:294-309.

   Full description at Econpapers || Download paper

4. Mining Big Data Using Parsimonious Factor and Shrinkage Methods. (2013). Swanson, Norman ; Kim, Hyun Hak.
   In: Departmental Working Papers.
   RePEc:rut:rutres:201316.

   Full description at Econpapers || Download paper

5. El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011. (2013). Barrera-Chaupis, Carlos.
   In: Working Papers.
   RePEc:rbp:wpaper:2013-009.

   Full description at Econpapers || Download paper

6. Does housing drive state-level job growth? Building permits and consumer expectations forecast a state’s economic activity. (2013). Strauss, Jack.
   In: Journal of Urban Economics.
   RePEc:eee:juecon:v:73:y:2013:i:1:p:77-93.

   Full description at Econpapers || Download paper

7. Adaptive forecasting of exchange rates with panel data. (2013). Moura, Guilherme ; Morales-Arias, Leonardo .
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:29:y:2013:i:3:p:493-509.

   Full description at Econpapers || Download paper

8. Combining expert forecasts: Can anything beat the simple average?. (2013). Meyler, Aidan ; Kenny, Geoff ; Genre, Veronique ; Timmermann, Allan.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:29:y:2013:i:1:p:108-121.

   Full description at Econpapers || Download paper

9. Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?. (2013). Mogliani, Matteo ; Bec, Frédérique.
   In: Working Papers.
   RePEc:crs:wpaper:2013-21.

   Full description at Econpapers || Download paper

10. Forecasting with Many Models: Model Confidence Sets and Forecast Combination. (2013). Samuels, Jon D. ; Sekkel, Rodrigo.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-11.

    Full description at Econpapers || Download paper

11. Volatility Forecast Combinations using Asymmetric Loss Functions. (2012). Kourouyiannis, Constantinos ; Kourtellos, Andros ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:07-2012.

    Full description at Econpapers || Download paper

12. Forecasting Welfare Caseloads: The Case of the Japanese Public Assistance Program. (2012). Hayashi, Masayoshi.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2012cf846.

    Full description at Econpapers || Download paper

13. Real-time forecasting in a data-rich environment. (2012). Liebermann, Joëlle.
    In: MPRA Paper.
    RePEc:pra:mprapa:39452.

    Full description at Econpapers || Download paper

14. A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables. (2012). Marcellino, Massimiliano ; Foroni, Claudia.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2012/07.

    Full description at Econpapers || Download paper

15. Forecasting the Prices and Rents for Flats in Large German Cities. (2012). Kholodilin, Konstantin ; Mense, Andreas.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1207.

    Full description at Econpapers || Download paper

16. Are Forecast Combinations Efficient?. (2012). Pincheira, Pablo.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:661.

    Full description at Econpapers || Download paper

17. Real-time forecasting in a data-rich environment. (2012). Liebermann, Joëlle.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:07/rt/12.

    Full description at Econpapers || Download paper

18. Short-term forecasting of quarterly gross domestic product growth. (2012). Liebermann, Joëlle.
    In: Quarterly Bulletin Articles.
    RePEc:cbi:qtbart:y:2012:m:02:p:74-84.

    Full description at Econpapers || Download paper

19. Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors. (2011). Uwilingiye, Josine ; GUPTA, RANGAN ; Modise, Mampho P..
    In: Working Papers.
    RePEc:pre:wpaper:201122.

    Full description at Econpapers || Download paper

20. Evaluating density forecasts: model combination strategies versus the RBNZ. (2011). Thorsrud, Leif ; McDonald, Chris .
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2011/03.

    Full description at Econpapers || Download paper

21. Combining Survey Forecasts and Time Series Models: The Case of the Euribor. (2011). Pohlmeier, Winfried ; Mokinski, Frieder ; Krueger, Fabian .
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:231:y:2011:i:1:p:63-81.

    Full description at Econpapers || Download paper

22. Combination of long term and short term forecasts, with application to tourism demand forecasting. (2011). Atiya, Amir F. ; Andrawis, Robert R. ; El-Shishiny, Hisham .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:3:p:870-886.

    Full description at Econpapers || Download paper

23. Forecast combinations of computational intelligence and linear models for the NN5 time series forecasting competition. (2011). Atiya, Amir F. ; Andrawis, Robert R. ; El-Shishiny, Hisham .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:3:p:672-688.

    Full description at Econpapers || Download paper

24. Advances in Forecasting Under Instability. (2011). Rossi, Barbara.
    In: Working Papers.
    RePEc:duk:dukeec:11-20.

    Full description at Econpapers || Download paper

25. Nowcasting GDP in Real-Time: A Density Combination Approach. (2011). Thorsrud, Leif ; Jore, Anne Sofie ; Aastveit, Knut Are ; Gerdrup, Karsten R..
    In: Working Papers.
    RePEc:bny:wpaper:0003.

    Full description at Econpapers || Download paper

26. Adaptive Forecasting of Exchange Rates with Panel Data. (2010). Dross, Alexander ; Morales-Arias, Leonardo .
    In: Research Paper Series.
    RePEc:uts:rpaper:285.

    Full description at Econpapers || Download paper

27. Should macroeconomic forecasters use daily financial data and how?. (2010). Kourtellos, Andros ; Andreou, Elena ; Ghysels, Eric.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:09-2010.

    Full description at Econpapers || Download paper

28. Should Macroeconomic Forecasters Use Daily Financial Data and How?. (2010). Kourtellos, Andros ; Andreou, Elena ; Ghysels, Eric.
    In: Working Paper series.
    RePEc:rim:rimwps:42_10.

    Full description at Econpapers || Download paper

29. Averaging forecasts from VARs with uncertain instabilities. (2010). McCracken, Michael ; Clark, Todd.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:1:p:5-29.

    Full description at Econpapers || Download paper

30. Stock return predictability and dividend-price ratio: a nonlinear approach. (2010). Wohar, Mark ; McMillan, David G..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:351-365.

    Full description at Econpapers || Download paper

31. Real-time forecast averaging with ALFRED. (2010). McCracken, Michael ; Banternghansa, Chanont .
    In: Working Papers.
    RePEc:fip:fedlwp:2010-033.

    Full description at Econpapers || Download paper

32. Does forecast combination improve Norges Bank inflation forecasts?. (2010). Thorsrud, Leif ; Smith, Christie ; Jore, Anne Sofie ; Bjørnland, Hilde ; Bjornland, Hilde C. ; Gerdrup, Karsten R..
    In: Working Papers.
    RePEc:bny:wpaper:0002.

    Full description at Econpapers || Download paper

33. Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco .
    In: Working Papers.
    RePEc:bdm:wpaper:2010-04.

    Full description at Econpapers || Download paper

34. Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-21.

    Full description at Econpapers || Download paper

35. Differences in housing price forecastability across US states. (2009). Strauss, Jack ; Rapach, David E..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:351-372.

    Full description at Econpapers || Download paper

36. Forecasts of US short-term interest rates: A flexible forecast combination approach. (2009). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:297-311.

    Full description at Econpapers || Download paper

37. Flexible shrinkage in portfolio selection. (2009). Golosnoy, Vasyl ; Okhrin, Yarema.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:2:p:317-328.

    Full description at Econpapers || Download paper

38. Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts. (2009). Capistrán, Carlos ; Benavides, Guillermo .
    In: Working Papers.
    RePEc:bdm:wpaper:2009-01.

    Full description at Econpapers || Download paper

39. Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data. (2008). Nikolsko-Rzhevskyy, Alex.
    In: MPRA Paper.
    RePEc:pra:mprapa:11352.

    Full description at Econpapers || Download paper

40. Averaging forecasts from VARs with uncertain instabilities. (2008). McCracken, Michael ; Clark, Todd.
    In: Working Papers.
    RePEc:fip:fedlwp:2008-030.

    Full description at Econpapers || Download paper

41. Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance. (2007). Golosnoy, Vasyl ; Herwartz, Helmut.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:5903.

    Full description at Econpapers || Download paper

42. Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
    In: MPRA Paper.
    RePEc:pra:mprapa:2512.

    Full description at Econpapers || Download paper

43. Forecasting real housing price growth in the Eighth District states. (2007). Strauss, Jack ; Rapach, David E..
    In: Regional Economic Development.
    RePEc:fip:fedlrd:y:2007:i:nov:p:33-42:n:v.3no.2.

    Full description at Econpapers || Download paper

44. Online forecast combinations of distributions: Worst case bounds. (2007). Sancetta, Alessio.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:621-651.

    Full description at Econpapers || Download paper

45. Online Forecast Combination for Dependent Heterogeneous Data. (2007). Sancetta, Alessio.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0718.

    Full description at Econpapers || Download paper

46. Averaging forecasts from VARs with uncertain instabilities. (2006). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp06-12.

    Full description at Econpapers || Download paper

47. Forecasting employment growth in Missouri with many potentially relevant predictors: an analysis of forecast combining methods. (2005). Strauss, Jack ; Rapach, David E..
    In: Regional Economic Development.
    RePEc:fip:fedlrd:y:2005:i:nov:p:97-112:n:v.1no.1.

    Full description at Econpapers || Download paper

48. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1196.

    Full description at Econpapers || Download paper

49. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1237.

    Full description at Econpapers || Download paper

50. ‘Forecasting Time Series Subject to Multiple Structural Breaks’. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0433.

    Full description at Econpapers || Download paper

Report date: 2025-02-23 07:24:47 || Missing content? Let us know