Todd Clark : Citation Profile

Are you Todd Clark?

Federal Reserve Bank of Cleveland

31

H index

50

i10 index

4209

Citations

RESEARCH PRODUCTION:

61

Articles

93

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1992 - 2020). See details.
   Cites by year: 150
   Journals where Todd Clark has often published
   Relations with other researchers
   Recent citing documents: 333.    Total self citations: 73 (1.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pcl55
   Updated: 2021-01-23    RAS profile: 2020-10-28    
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Relations with other researchers

Works with:

Marcellino, Massimiliano (17)

Carriero, Andrea (16)

Mertens, Elmar (6)

McCracken, Michael (6)

Aastveit, Knut Are (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Todd Clark.

Is cited by:

Rossi, Barbara (114)

Pincheira, Pablo (83)

Ravazzolo, Francesco (70)

Marcellino, Massimiliano (61)

GUPTA, RANGAN (58)

Koop, Gary (57)

Korobilis, Dimitris (55)

Kilian, Lutz (54)

Huber, Florian (53)

Swanson, Norman (42)

Chan, Joshua (41)

Cites to:

McCracken, Michael (95)

Giannone, Domenico (61)

West, Kenneth (58)

Watson, Mark (55)

Stock, James (52)

Kilian, Lutz (47)

Primiceri, Giorgio (46)

Koop, Gary (46)

Lenza, Michele (39)

Marcellino, Massimiliano (37)

Swanson, Norman (27)

Main data

Where Todd Clark has published?

Journals with more than one article published# docs
Economic Review11
Journal of Econometrics7
Journal of Applied Econometrics7
Economic Commentary6
Journal of Business & Economic Statistics4
The Review of Economics and Statistics3
Journal of Business & Economic Statistics3
Journal of Applied Econometrics2
Journal of Money, Credit and Banking2
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Research Working Paper / Federal Reserve Bank of Kansas City32
Working Papers (Old Series) / Federal Reserve Bank of Cleveland17
Working Papers / Federal Reserve Bank of St. Louis13
Working Papers / Federal Reserve Bank of Cleveland6
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3

Recent works citing Todd Clark (2021 and 2020)

YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19.

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2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Rapach, David E ; Borup, Daniel ; Montes, Erik Christian. In: CREATES Research Papers. RePEc:aah:create:2021-02.

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2020On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03.

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2020Examining the drivers of business cycle divergence between Euro Area and Romania. (2020). Jianu, Ionut. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(623):y:2020:i:2(623):p:19-32.

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2020“Measuring and assessing economic uncertainty”. (2020). Claveria, Oscar. In: AQR Working Papers. RePEc:aqr:wpaper:202003.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2020Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803.

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2020Forecasts with Bayesian vector autoregressions under real time conditions. (2020). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2004.04984.

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2020The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835.

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2020Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906.

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2020What Drives Inflation and How: Evidence from Additive Mixed Models Selected by cAIC. (2020). Volkmann, Alexander ; Rossi, Enzo ; Baumann, Philipp. In: Papers. RePEc:arx:papers:2006.06274.

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2020Measuring Macroeconomic Uncertainty: A Cross-Country Analysis. (2020). Sarferaz, Samad ; Dibiasi, Andreas. In: Papers. RePEc:arx:papers:2006.09007.

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2020Flexible Mixture Priors for Time-varying Parameter Models. (2020). Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2006.10088.

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2020Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2020Equity Tail Risk in the Treasury Bond Market. (2020). Rubin, Mirco ; Ruzzi, Dario. In: Papers. RePEc:arx:papers:2007.05933.

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2020Examining the drivers of business cycle divergence between Euro Area and Romania. (2020). Jianu, Ionut. In: Papers. RePEc:arx:papers:2007.11407.

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2020Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2020Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession. (2020). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin. In: Papers. RePEc:arx:papers:2007.15419.

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2020Estimating TVP-VAR models with time invariant long-run multipliers. (2020). Polbin, Andrey ; Krymova, Ekaterina ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2008.00718.

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2020A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2020Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs. (2020). Pfarrhofer, Michael ; Huber, Florian ; Schreiner, Josef ; Onorante, Luca ; Koop, Gary. In: Papers. RePEc:arx:papers:2008.12706.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2020Synchronization of Prefectural Business Cycles in Japan 1978-2018. (2020). Onozaki, Tamotsu ; Muto, Makoto ; Saiki, Yoshitaka. In: Papers. RePEc:arx:papers:2010.08835.

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2020Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2020Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

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2020Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2020Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155.

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2020Forecasting GDP growth from outer space. (2020). Galimberti, Jaqueson. In: Working Papers. RePEc:aut:wpaper:202002.

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2020Can the Business Outlook Survey Help Improve Estimates of the Canadian Output Gap?. (2020). Pichette, Lise ; Cheung, Calista ; Frymire, Luke. In: Discussion Papers. RePEc:bca:bocadp:20-14.

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2020Housing Collateral Reform and Economic Reallocation. (2020). Silva, Thiago ; Fazio, Dimas. In: Working Papers Series. RePEc:bcb:wpaper:522.

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2020Commodity Prices and Global Economic Activity: a derived-demand approach. (2020). Gaglianone, Wagner ; Duarte, Angelo Montalverne ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira. In: Working Papers Series. RePEc:bcb:wpaper:539.

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2020The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20.

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2020Equity tail risk in the treasury bond market. (2020). Ruzzi, Dario ; Rubin, Mirco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1311_20.

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2020Common Trade Exposure and Business Cycle Comovement. (2020). Mix, Carter ; Avila-Montealegre, Oscar. In: Borradores de Economia. RePEc:bdr:borrec:1149.

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2020From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142.

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2020The dollar, bank leverage and real economic activity: an evolving relationship. (2020). Mihaljek, Dubravko ; Lombardi, Marco ; Erik, Burcu ; Shin, Hyun Song. In: BIS Working Papers. RePEc:bis:biswps:847.

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2020Trend Fundamentals and Exchange Rate Dynamics. (2020). Kaufmann, Daniel ; Huber, Florian. In: Economica. RePEc:bla:econom:v:87:y:2020:i:348:p:1016-1036.

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2020Idiosyncratic momentum and the cross‐section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020Longevity forecasting by socio‐economic groups using compositional data analysis. (2020). Kallestruplamb, Malene ; Oeppen, Jim ; Bergeronboucher, Mariepier ; Ergemen, Yunus Emre ; Kjargaard, Sren. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1167-1187.

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2020Forecasting GDP Growth from Outer Space. (2020). Galimberti, Jaqueson. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:4:p:697-722.

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2020Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0088.

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2020Time-Varying Trend Models for Forecasting Inflation in Australia. (2020). Cross, Jamie ; Zhang, BO ; Guo, NA. In: Working Papers. RePEc:bny:wpaper:0092.

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2020Identification of structural vector autoregressions by stochastic volatility. (2020). Braun, Robin ; Bertsche, Dominik. In: Bank of England working papers. RePEc:boe:boeewp:0869.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

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2020Energy Markets and Global Economic Conditions. (2020). Korobilis, Dimitris ; Baumeister, Christiane ; Lee, Thomas K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8282.

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2020Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts. (2020). Kilian, Lutz ; Zhou, Xiaoqing. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8516.

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2020Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2020). Sheng, Xuguang ; Lahiri, Kajal ; Peng, Huaming . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8810.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020ifoCAST: Der neue Prognosestandard des ifo Instituts. (2020). Wollmershäuser, Timo ; Lehmann, Robert ; Wollmershauser, Timo ; Reif, Magnus. In: ifo Schnelldienst. RePEc:ces:ifosdt:v:73:y:2020:i:11:p:31-39.

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2020Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis. (2020). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-32.

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2020Macroeconomic Uncertainty and the COVID-19 Pandemic: Measure and Impacts on the Canadian Economy. (2020). Stevanovic, Dalibor ; Moran, Kevin ; Kader, Adam Abdel. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-47.

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2020An assessment of the Phillips curve over time: evidence for the United States and the euro area. (2020). Mellens, Martin ; Vlekke, Marente. In: CPB Discussion Paper. RePEc:cpb:discus:416.rdf.

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2020From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267.

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2020The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020Out of sample predictability in predictive regressions with many predictor candidates. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31554.

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2020Optimalmonetary policy in a model of vertical productionand tradewith reference currency. (2020). zou, heng-fu ; Wang, Chan ; Gong, Liutang. In: CEMA Working Papers. RePEc:cuf:wpaper:611.

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2020Monetary policy and the term structure of Inflation expectations with information frictions. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-07.

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2020Financial disruptions and heightened uncertainty: a case for timely policy action. (2020). Smadu, Andra ; Nalban, Valeriu. In: DNB Working Papers. RePEc:dnb:dnbwpp:687.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020International Drivers of Policy Uncertainty in Emerging Economies. (2020). SOAVE, GIAN PAULO . In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00839.

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2020PCCI – a data-rich measure of underlying inflation in the euro area. (2020). BOBEICA, Elena ; Banbura, Marta ; Babura, Marta. In: Statistics Paper Series. RePEc:ecb:ecbsps:202038.

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2020The predictive power of equilibrium exchange rate models. (2020). Rubaszek, Michał ; Mijakovic, Andrej ; Ca' Zorzi, Michele ; Michele Ca, ; Cap, Adam. In: Working Paper Series. RePEc:ecb:ecbwps:20202358.

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2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2020What’s up with the Phillips Curve?. (2020). Lenza, Michele ; Del Negro, Marco ; Tambalotti, Andrea ; Primiceri, Giorgio E. In: Working Paper Series. RePEc:ecb:ecbwps:20202435.

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2020Nowcasting with large Bayesian vector autoregressions. (2020). Sokol, Andrej ; Giannone, Domenico ; Cimadomo, Jacopo ; Monti, Francesca ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20202453.

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2020How to estimate a VAR after March 2020. (2020). Primiceri, Giorgio ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20202461.

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2020Forecasting the Covid-19 recession and recovery: lessons from the financial crisis. (2020). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20202468.

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2020Financial conditions, business cycle fluctuations and growth at risk. (2020). Manganelli, Simone ; Falconio, Andrea . In: Working Paper Series. RePEc:ecb:ecbwps:20202470.

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2020Does the Phillips curve help to forecast euro area inflation?. (2020). BOBEICA, Elena ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20202471.

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2020Daily tracker of global economic activity: a close-up of the COVID-19 pandemic. (2020). Perez Quiros, Gabriel ; Diaz, Elena Maria ; Perezquiros, Gabriel . In: Working Paper Series. RePEc:ecb:ecbwps:20202505.

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2021Nowcasting in a pandemic using non-parametric mixed frequency VARs. (2021). Koop, Gary ; Huber, Florian ; Schreiner, Josef ; Pfarrhofer, Michael ; Onorante, Luca. In: Working Paper Series. RePEc:ecb:ecbwps:20212510.

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2020A new European investor sentiment index (EURsent) and its return and volatility predictability. (2020). Pinho, Carlos ; Nogueira, Pedro Manuel. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019303041.

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2020The COVID-19 global fear index and the predictability of commodity price returns. (2020). Salisu, Afees ; Raheem, Ibrahim ; Akanni, Lateef. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020302136.

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2020Bureaucratic integration and synchronization of regional economic growth: Evidence from China. (2020). Liu, Junyi ; He, Qing ; Zhou, Shaojie ; Xue, Chang. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x19300719.

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2020Can systemic risk measures predict economic shocks? Evidence from China. (2020). Liu, Yanzhen ; Chen, Guojin ; Zhang, YU. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541.

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2020Policy uncertainty and the capital shortfall of global financial firms. (2020). Papachristopoulou, Andromachi ; Panopoulou, Ekaterini ; Matousek, Roman. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911992030002x.

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2020Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x.

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2020Mind the gap!—A monetarist view of the open-economy Phillips curve. (2020). Martínez García, Enrique ; Garcia, Enrique Martinez ; Dur, Aye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301275.

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2020The heterogeneous impact of monetary policy on the US labor market. (2020). Zoerner, Thomas ; Böck, Maximilian ; Zorner, Thomas O ; Bock, Maximilian ; Zens, Gregor. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301573.

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2020Time to build and bond risk premia. (2020). Huang, Fuzhe ; Guo, Bin ; Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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2020Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Alqahtani, Abdullah. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:239-249.

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2020Equilibrium real interest rates and the financial cycle: Empirical evidence for Euro area member countries. (2020). Klose, Jens ; Belke, Ansgar. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:357-366.

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2020Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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2020Business cycle synchronization: Disentangling direct and indirect effect of financial integration in the Indian context. (2020). Padhan, Rakesh ; Prabheesh, K P. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:272-287.

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2020Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

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2020Is the slope of the Phillips curve time-varying? Evidence from unobserved components models. (2020). Fu, Bowen. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:320-340.

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2020A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China. (2020). Lv, Dayong ; Zhou, Yaping ; Wang, Zilin ; Ruan, Qingsong. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:47-58.

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2020Structural analysis with mixed-frequency data: A model of US capital flows. (2020). Rossi, Eduardo ; Missale, Alessandro ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:427-443.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Changing transmission of monetary policy on disaggregate inflation in India. (2020). Dash, Pradyumna ; Kumar, Ankit. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:109-125.

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2020Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:605-619.

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2020Which types of commodity price information are more useful for predicting US stock market volatility?. (2020). Li, Yan ; Ma, Feng ; Liang, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:642-650.

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YearTitleTypeCited
2016Measuring Uncertainty and Its Impact on the Economy In: BAFFI CAREFIN Working Papers.
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2016Measuring Uncertainty and Its Impact on the Economy.(2016) In: Working Papers (Old Series).
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2018Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics.
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1996Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure. In: Journal of Business & Economic Statistics.
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1995Small sample properties of estimators of non-linear models of covariance structure.(1995) In: Research Working Paper.
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2009Tests of Equal Predictive Ability With Real-Time Data In: Journal of Business & Economic Statistics.
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2007Tests of equal predictive ability with real-time data.(2007) In: Research Working Paper.
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2008Tests of equal predictive ability with real-time data.(2008) In: Working Papers.
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2011Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility In: Journal of Business & Economic Statistics.
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2011Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility.(2011) In: Journal of Business & Economic Statistics.
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2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors In: BIS Working Papers.
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2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers (Old Series).
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2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers.
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2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers.
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2020Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2020) In: The Review of Economics and Statistics.
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2015Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility In: Journal of the Royal Statistical Society Series A.
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2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
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2012Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series).
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2009Combining Forecasts from Nested Models* In: Oxford Bulletin of Economics and Statistics.
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2007Combining forecasts from nested models.(2007) In: Finance and Economics Discussion Series.
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2006Combining forecasts from nested models.(2006) In: Research Working Paper.
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2008Combining forecasts from nested models.(2008) In: Working Papers.
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2012The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility In: Working Paper.
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2012The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility.(2012) In: Working Papers (Old Series).
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2014Have standard VARs remained stable since the crisis? In: Working Paper.
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2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
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2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
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2017Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics.
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2015Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts In: Working Papers.
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2015Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts.(2015) In: Working Papers (Old Series).
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2017Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts.(2017) In: Journal of Business & Economic Statistics.
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2015Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts.(2015) In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects In: CEPR Discussion Papers.
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2019) In: Working Papers.
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2020Assessing international commonality in macroeconomic uncertainty and its effects.(2020) In: Journal of Applied Econometrics.
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2011Bayesian VARs: Specification Choices and Forecast Accuracy In: CEPR Discussion Papers.
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2011Bayesian VARs: specification choices and forecast accuracy.(2011) In: Working Papers (Old Series).
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2015Bayesian VARs: Specification Choices and Forecast Accuracy.(2015) In: Journal of Applied Econometrics.
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2012Common Drifting Volatility in Large Bayesian VARs In: CEPR Discussion Papers.
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2012Common Drifting Volatility in Large Bayesian VARs.(2012) In: Economics Working Papers.
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2012Common drifting volatility in large Bayesian VARs.(2012) In: Working Papers (Old Series).
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2016Common Drifting Volatility in Large Bayesian VARs.(2016) In: Journal of Business & Economic Statistics.
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2014No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates In: CEPR Discussion Papers.
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2020No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates.(2020) In: Working Papers.
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2014HOW THE ECONOMY WORKS: CONFIDENCE, CRASHES, AND SELF-FULFILLING PROPHECIES BY ROGER E. A. FARMER Roger E. A. Farmer Oxford University Press, New York, 2010 In: Macroeconomic Dynamics.
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2000Tests of Equal Forecast Accuracy and Encompassing for Nested Models In: Econometric Society World Congress 2000 Contributed Papers.
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2001Tests of equal forecast accuracy and encompassing for nested models.(2001) In: Journal of Econometrics.
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1999Tests of equal forecast accuracy and encompassing for nested models.(1999) In: Research Working Paper.
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1999Tests of Equal Forecast Accuracy and Encompassing for Nested Models.(1999) In: Computing in Economics and Finance 1999.
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2011Decomposing the declining volatility of long-term inflation expectations In: Journal of Economic Dynamics and Control.
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2009Decomposing the declining volatility of long-term inflation expectations.(2009) In: Research Working Paper.
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2013Advances in Forecast Evaluation In: Handbook of Economic Forecasting.
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2011Advances in forecast evaluation.(2011) In: Working Papers (Old Series).
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2011Advances in forecast evaluation.(2011) In: Working Papers.
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2005Estimating equilibrium real interest rates in real time In: The North American Journal of Economics and Finance.
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2004Estimating equilibrium real interest rates in real time.(2004) In: Research Working Paper.
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2004Estimating equilibrium real interest rates in real-time.(2004) In: Discussion Paper Series 1: Economic Studies.
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2005The power of tests of predictive ability in the presence of structural breaks In: Journal of Econometrics.
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2006Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis In: Journal of Econometrics.
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2004Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis.(2004) In: Research Working Paper.
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2007Approximately normal tests for equal predictive accuracy in nested models In: Journal of Econometrics.
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2005Approximately normal tests for equal predictive accuracy in nested models.(2005) In: Research Working Paper.
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2006Approximately Normal Tests for Equal Predictive Accuracy in Nested Models.(2006) In: NBER Technical Working Papers.
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2012In-sample tests of predictive ability: A new approach In: Journal of Econometrics.
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2009In-sample tests of predictive ability: a new approach.(2009) In: Research Working Paper.
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2009In-sample tests of predictive ability: a new approach.(2009) In: Working Papers.
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2015Nested forecast model comparisons: A new approach to testing equal accuracy In: Journal of Econometrics.
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2009Nested forecast model comparisons: a new approach to testing equal accuracy.(2009) In: Research Working Paper.
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2009Nested forecast model comparisons: a new approach to testing equal accuracy.(2009) In: Working Papers.
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2019Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors In: Journal of Econometrics.
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2001Borders and business cycles In: Journal of International Economics.
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1999Borders and business cycles.(1999) In: Research Working Paper.
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1999Borders and business cycles.(1999) In: Staff Reports.
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2014Evaluating alternative models of trend inflation In: International Journal of Forecasting.
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1995Rents and prices of housing across areas of the United States. A cross-section examination of the present value model In: Regional Science and Urban Economics.
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20142013 Annual Report Why Inflation Is Very Low, and Why It Matters In: Annual Report.
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2014The Importance of Trend Inflation in the Search for Missing Disinflation In: Economic Commentary.
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2015Measuring Inflation Forecast Uncertainty In: Economic Commentary.
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2020Credit Market Frictions, Business Cycles, and Monetary Policy: The Research Contributions of Charles Carlstrom and Timothy Fuerst In: Economic Commentary.
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2011Food and energy price shocks: what other prices are affected? In: Economic Commentary.
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2012Policy rules in macroeconomic forecasting models In: Economic Commentary.
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2013Forecasting implications of the recent decline in inflation In: Economic Commentary.
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2011Tests of equal forecast accuracy for overlapping models In: Working Papers (Old Series).
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2011Tests of equal forecast accuracy for overlapping models.(2011) In: Working Papers.
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2014TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS.(2014) In: Journal of Applied Econometrics.
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2011A Bayesian evaluation of alternative models of trend inflation In: Working Papers (Old Series).
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2011A Bayesian evaluation of alternative models of trend inflation.(2011) In: Research Working Paper.
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2014Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters In: Working Papers (Old Series).
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2014Evaluating Conditional Forecasts from Vector Autoregressions In: Working Papers (Old Series).
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2014Evaluating Conditional Forecasts from Vector Autoregressions.(2014) In: Working Papers.
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2015A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations In: Working Papers (Old Series).
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2018A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations.(2018) In: Journal of Money, Credit and Banking.
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2016Large Vector Autoregressions with Stochastic Volatility and Flexible Priors In: Working Papers (Old Series).
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2018Endogenous Uncertainty In: Working Papers (Old Series).
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2020Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions In: Working Papers.
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2020Nowcasting Tail Risks to Economic Activity with Many Indicators In: Working Papers.
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2020Measuring Uncertainty and Its Effects in the COVID-19 Era In: Working Papers.
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2007Forecasting with small macroeconomic VARs in the presence of instabilities In: Finance and Economics Discussion Series.
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2007Averaging forecasts from VARs with uncertain instabilities In: Finance and Economics Discussion Series.
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2006Averaging forecasts from VARs with uncertain instabilities.(2006) In: Research Working Paper.
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2008Averaging forecasts from VARs with uncertain instabilities.(2008) In: Working Papers.
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2010Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics.
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2010Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics.
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1994Nominal GDP targeting rules: can they stabilize the economy? In: Economic Review.
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2006The trend growth rate of employment : past, present, and future In: Economic Review.
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2009Is the Great Moderation over? an empirical analysis In: Economic Review.
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1992Business cycle fluctuations in U.S. regions and industries: the roles of national, region-specific, and industry-specific shocks In: Research Working Paper.
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1993Rents and prices of housing across areas of the U.S.: a cross-section examination of the present value model In: Research Working Paper.
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1993Cross-country evidence on long run growth and inflation In: Research Working Paper.
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1997Cross-country Evidence on Long-Run Growth and Inflation..(1997) In: Economic Inquiry.
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1994A comparison of two approaches to measuring common and idiosyncratic components in sets of time series variables In: Research Working Paper.
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1995Forecasting an aggregate of cointegrated disaggregates In: Research Working Paper.
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1996Finite-sample properties of tests for forecast equivalence In: Research Working Paper.
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1996The responses of prices at different stages of production to monetary policy shocks In: Research Working Paper.
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1999The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks.(1999) In: The Review of Economics and Statistics.
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1997Do producer prices help predict consumer prices? In: Research Working Paper.
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1998The sources of fluctuations within and across countries In: Research Working Paper.
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2000Can out-of-sample forecast comparisons help prevent overfitting? In: Research Working Paper.
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2004Can out-of-sample forecast comparisons help prevent overfitting?.(2004) In: Journal of Forecasting.
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2001Evaluating long-horizon forecasts In: Research Working Paper.
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2002Forecast-based model selection in the presence of structural breaks In: Research Working Paper.
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2003The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence In: Research Working Paper.
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2006The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence.(2006) In: Journal of Money, Credit and Banking.
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2003The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence.(2003) In: Computing in Economics and Finance 2003.
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2003Disaggregate evidence on the persistence of consumer price inflation In: Research Working Paper.
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2006Disaggregate evidence on the persistence of consumer price inflation.(2006) In: Journal of Applied Econometrics.
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2004Improving forecast accuracy by combining recursive and rolling forecasts In: Research Working Paper.
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2008Improving forecast accuracy by combining recursive and rolling forecasts.(2008) In: Working Papers.
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2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS.(2009) In: International Economic Review.
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2010Time Variation in the Inflation Passthrough of Energy Prices.(2010) In: Journal of Money, Credit and Banking.
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2010Testing for unconditional predictive ability In: Working Papers.
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2010Reality checks and nested forecast model comparisons In: Working Papers.
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2013Evaluating the accuracy of forecasts from vector autoregressions In: Working Papers.
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2005Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference In: NBER Technical Working Papers.
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