13
H index
15
i10 index
5897
Citations
University of Pennsylvania (50% share) | 13 H index 15 i10 index 5897 Citations RESEARCH PRODUCTION: 26 Articles 30 Papers 7 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Roberto S. Mariano. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Econometrica | 5 |
Journal of Econometrics | 3 |
International Economic Review | 3 |
Journal of Applied Econometrics | 2 |
Journal of Business & Economic Statistics | 2 |
Philippine Review of Economics | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
Working Papers / Singapore Management University, School of Economics | 7 |
UP School of Economics Discussion Papers / University of the Philippines School of Economics | 7 |
Finance Working Papers / East Asian Bureau of Economic Research | 4 |
Year | Title of citing document | |
---|---|---|
2021 | Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02. Full description at Econpapers || Download paper | |
2021 | Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09. Full description at Econpapers || Download paper | |
2021 | The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11. Full description at Econpapers || Download paper | |
2021 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2021-12. Full description at Econpapers || Download paper | |
2021 | TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21. Full description at Econpapers || Download paper | |
2021 | Price Forecasting Accuracy of the OECD-FAOs Agricultural Outlook and the European Commission DG AGRIs Medium-Term Agricultural Outlook Report. (2021). Fronk, Pavel ; Pokorn, Jii. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:320298. Full description at Econpapers || Download paper | |
2021 | Evaluating U.S. Department of Agriculture’s Long-Term Forecasts for U.S. Harvested Area. (2021). MacLachlan, Matthew ; Skorbiansky, Sharon Raszap ; Boussios, David. In: Economic Research Report. RePEc:ags:uersrr:327201. Full description at Econpapers || Download paper | |
2021 | Evaluating U.S. Department of Agriculture’s Long-Term Forecasts for U.S. Harvested Area. (2021). MacLachlan, Matthew ; Skorbiansky, Sharon Raszap ; Boussios, David. In: USDA Miscellaneous. RePEc:ags:usdami:309616. Full description at Econpapers || Download paper | |
2021 | Evaluating U.S. Department of Agriculture’s Long-Term Forecasts for U.S. Harvested Area. (2021). MacLachlan, Matthew ; Skoriansky, Sharon Raszap ; Boussios, David. In: USDA Miscellaneous. RePEc:ags:usdami:309619. Full description at Econpapers || Download paper | |
2021 | Forecasting Electricity Prices: Autoregressive Hybrid Nearest Neighbors (ARHNN) method. (2021). Sotiros, Dimitrios ; Serafin, Tomasz ; Nitka, Weronika. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2106. Full description at Econpapers || Download paper | |
2021 | Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx. (2021). Weron, Rafał ; Marcjasz, Grzegorz ; Dubrawski, Artur ; Challu, Cristian ; Olivares, Kin G. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2107. Full description at Econpapers || Download paper | |
2021 | Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?. (2021). Dewachter, Hans ; De Backer, Bruno ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021002. Full description at Econpapers || Download paper | |
2021 | Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004. Full description at Econpapers || Download paper | |
2021 | EXPERIMENTS ON PORTFOLIO SELECTION: A COMPARISON BETWEEN QUANTILE PREFERENCES AND EXPECTED UTILITY DECISION MODELS. (2021). Olmo, Jose ; Kim, Jeong Yeol ; Galvao, Antonio F ; de Castro, Luciano ; Montes-Rojas, Gabriel. In: Documentos de trabajo del Instituto Interdisciplinario de Economía Política (IIEP-BAIRES). RePEc:ake:iiepdt:202168. Full description at Econpapers || Download paper | |
2022 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2021 | Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178. Full description at Econpapers || Download paper | |
2022 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper | |
2021 | Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228. Full description at Econpapers || Download paper | |
2021 | Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307. Full description at Econpapers || Download paper | |
2022 | Equal 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. Full description at Econpapers || Download paper | |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2021 | The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724. Full description at Econpapers || Download paper | |
2021 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714. Full description at Econpapers || Download paper | |
2021 | Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios. (2020). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2008.03600. Full description at Econpapers || Download paper | |
2021 | To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063. Full description at Econpapers || Download paper | |
2021 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
2021 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394. Full description at Econpapers || Download paper | |
2022 | Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975. Full description at Econpapers || Download paper | |
2021 | Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601. Full description at Econpapers || Download paper | |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper | |
2021 | A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19. (2021). Corona, Francisco ; Gonz, Graciela ; L'Opez, Jes'Us. In: Papers. RePEc:arx:papers:2101.10383. Full description at Econpapers || Download paper | |
2021 | Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693. Full description at Econpapers || Download paper | |
2021 | The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266. Full description at Econpapers || Download paper | |
2021 | Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604. Full description at Econpapers || Download paper | |
2021 | Slow-Growing Trees. (2021). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2103.01926. Full description at Econpapers || Download paper | |
2021 | Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under Nonstationarity. (2021). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02235. Full description at Econpapers || Download paper | |
2021 | Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981. Full description at Econpapers || Download paper | |
2021 | Tail forecasts of inflation using time-varying parameter quantile regressions. (2021). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2103.03632. Full description at Econpapers || Download paper | |
2021 | Support Vector Regression Parameters Optimization using Golden Sine Algorithm and its application in stock market. (2021). Goldani, Mahdi ; Ghanbari, Mohammadreza. In: Papers. RePEc:arx:papers:2103.11459. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
2021 | Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182. Full description at Econpapers || Download paper | |
2021 | Asset volatility forecasting:The optimal decay parameter in the EWMA model. (2021). Araneda, Axel A. In: Papers. RePEc:arx:papers:2105.14382. Full description at Econpapers || Download paper | |
2021 | Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518. Full description at Econpapers || Download paper | |
2021 | Economic Nowcasting with Long Short-Term Memory Artificial Neural Networks (LSTM). (2021). Hopp, Daniel. In: Papers. RePEc:arx:papers:2106.08901. Full description at Econpapers || Download paper | |
2021 | Emotions in Macroeconomic News and their Impact on the European Bond Market. (2021). Tosetti, Elisa ; Pezzoli, Luca Tiozzo ; Consoli, Sergio. In: Papers. RePEc:arx:papers:2106.15698. Full description at Econpapers || Download paper | |
2022 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674. Full description at Econpapers || Download paper | |
2021 | Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552. Full description at Econpapers || Download paper | |
2022 | Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250. Full description at Econpapers || Download paper | |
2021 | Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946. Full description at Econpapers || Download paper | |
2021 | Macroeconomic forecasting with LSTM and mixed frequency time series data. (2021). Kamolthip, Sarun. In: Papers. RePEc:arx:papers:2109.13777. Full description at Econpapers || Download paper | |
2021 | No-Regret Forecasting with Egalitarian Committees. (2021). Su, Jiun-Hua. In: Papers. RePEc:arx:papers:2109.13801. Full description at Econpapers || Download paper | |
2021 | Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267. Full description at Econpapers || Download paper | |
2021 | Large Order-Invariant Bayesian VARs with Stochastic Volatility. (2021). Yu, Xuewen ; Chan, Joshua ; Koop, Gary. In: Papers. RePEc:arx:papers:2111.07225. Full description at Econpapers || Download paper | |
2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302. Full description at Econpapers || Download paper | |
2022 | Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556. Full description at Econpapers || Download paper | |
2022 | Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605. Full description at Econpapers || Download paper | |
2022 | Predicting Default Probabilities for Stress Tests: A Comparison of Models. (2022). Guth, Martin. In: Papers. RePEc:arx:papers:2202.03110. Full description at Econpapers || Download paper | |
2022 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2022 | Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. (2022). di Gangi, Domenico ; Lillo, Fabrizio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2202.09854. Full description at Econpapers || Download paper | |
2022 | Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664. Full description at Econpapers || Download paper | |
2022 | Improving Macroeconomic Model Validity and Forecasting Performance with Pooled Country Data using Structural, Reduced Form, and Neural Network Model. (2022). Fen, Cameron ; Undavia, Samir. In: Papers. RePEc:arx:papers:2203.06540. Full description at Econpapers || Download paper | |
2022 | Measurability of functionals and of ideal point forecasts. (2022). Fissler, Tobias ; Holzmann, Hajo. In: Papers. RePEc:arx:papers:2203.08635. Full description at Econpapers || Download paper | |
2022 | Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456. Full description at Econpapers || Download paper | |
2022 | Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848. Full description at Econpapers || Download paper | |
2022 | From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting. (2022). Kruger, Fabian ; Kachele, Fabian ; Grothe, Oliver. In: Papers. RePEc:arx:papers:2204.10154. Full description at Econpapers || Download paper | |
2022 | Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735. Full description at Econpapers || Download paper | |
2022 | A portfolio management of a small RES utility with a Structural Vector Autoregressive model of German electricity markets. (2022). Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2205.00975. Full description at Econpapers || Download paper | |
2022 | Benchmarking Econometric and Machine Learning Methodologies in Nowcasting. (2022). Hopp, Daniel. In: Papers. RePEc:arx:papers:2205.03318. Full description at Econpapers || Download paper | |
2022 | Probabilistic forecasting of German electricity imbalance prices. (2022). Narajewski, Michal. In: Papers. RePEc:arx:papers:2205.11439. Full description at Econpapers || Download paper | |
2022 | Ensemble distributional forecasting for insurance loss reserving. (2022). Xian, Alan ; Wong, Bernard ; Li, Yanfeng ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2206.08541. Full description at Econpapers || Download paper | |
2022 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2022 | Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
2022 | Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP. (2022). Zhu, Dan ; Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2209.01910. Full description at Econpapers || Download paper | |
2022 | Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach. (2022). Ciganovic, Milos ; D'Amario, Federico. In: Papers. RePEc:arx:papers:2210.00883. Full description at Econpapers || Download paper | |
2022 | Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562. Full description at Econpapers || Download paper | |
2022 | Unit Averaging for Heterogeneous Panels. (2022). Morozov, Vladislav ; Brownlees, Christian. In: Papers. RePEc:arx:papers:2210.14205. Full description at Econpapers || Download paper | |
2022 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
2022 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2022 | Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution. (2022). Ziel, Florian ; Hirsch, Simon. In: Papers. RePEc:arx:papers:2211.13002. Full description at Econpapers || Download paper | |
2022 | Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121. Full description at Econpapers || Download paper | |
2022 | Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154. Full description at Econpapers || Download paper | |
2022 | Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models. (2022). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Working Papers Series. RePEc:bcb:wpaper:561. Full description at Econpapers || Download paper | |
2022 | Nowcasting Brazilian GDP with Electronic Payments Data. (2022). Cesar, Raquel Nadal. In: Working Papers Series. RePEc:bcb:wpaper:564. Full description at Econpapers || Download paper | |
2021 | Forecasting corporate capital accumulation in Italy: the role of survey-based information. (2021). Giordano, Claire ; Silvestrini, Andrea ; Marinucci, Marco. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_596_21. Full description at Econpapers || Download paper | |
2021 | Forecasting Italian GDP growth with epidemiological data. (2021). Villa, Stefania ; Flaccadoro, Marco ; Conteduca, Francesco ; Emiliozzi, Simone ; Borin, Alessandro ; Aprigliano, Valentina ; Marchetti, Sabina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_664_21. Full description at Econpapers || Download paper | |
2021 | Nowcasting Colombian Economic Activity: DFM and Factor-MIDAS approaches. (2021). Rojas-Martinez, Carlos D ; Martinez-Cortes, Nicolas ; Galeano-Ramirez, Franky Juliano. In: Borradores de Economia. RePEc:bdr:borrec:1168. Full description at Econpapers || Download paper | |
2022 | Latin American Falls, Rebounds and Tail Risks. (2022). Leiva-Leon, Danilo ; Campos, Luciano ; Zapata-Alvarez, Steven. In: Borradores de Economia. RePEc:bdr:borrec:1201. Full description at Econpapers || Download paper | |
2022 | Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:863. Full description at Econpapers || Download paper | |
2021 | Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Working Papers. RePEc:bge:wpaper:1295. Full description at Econpapers || Download paper | |
2022 | Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996. Full description at Econpapers || Download paper | |
2021 | Forecasting Aggregate Retail Sales with Google Trends. (2021). Zubarev, Andrey ; Golovanova, Elizaveta. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:80:y:2021:i:4:p:50-73. Full description at Econpapers || Download paper | |
2022 | Assessment of Monthly GDP Growth Using Temporal Disaggregation Methods. (2022). Zhemkov, Michael. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:2:p:79-104. Full description at Econpapers || Download paper | |
2022 | Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588. Full description at Econpapers || Download paper | |
2022 | A comparison of multistep commodity price forecasts using direct and iterated smooth transition autoregressive methods. (2022). Ubilava, David. In: Agricultural Economics. RePEc:bla:agecon:v:53:y:2022:i:5:p:687-701. Full description at Econpapers || Download paper | |
2022 | Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385. Full description at Econpapers || Download paper | |
2022 | A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683. Full description at Econpapers || Download paper | |
2021 | Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186. Full description at Econpapers || Download paper | |
2022 | Global financial crisis versus COVID?19: Evidence from sentiment analysis. (2022). Abdoh, Hussein ; Maghyereh, Aktham. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:218-248. Full description at Econpapers || Download paper | |
2021 | Predictive Inference Based on Markov Chain Monte Carlo Output. (2021). Gneiting, Tilmann ; Thorarinsdottir, Thordis ; Lerch, Sebastian ; Kruger, Fabian. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:2:p:274-301. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|
Year | Title | Type | Cited |
---|---|---|---|
1995 | Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 4864 |
2002 | Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics. [Citation analysis] This paper has another version. Agregated cites: 4864 | article | |
1994 | Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4864 | paper | |
2006 | Monetary policy approaches and implementation in Asia: the Philippines and Indonesia In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 2 |
2010 | A Coincident Index, Common Factors, and Monthly Real GDP* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 96 |
2004 | Prediction of Currency Crises: Case of Turkey In: Review of Middle East Economics and Finance. [Full Text][Citation analysis] | article | 15 |
1989 | Predictors in Dynamic Nonlinear Models: Large-Sample Behavior In: Econometric Theory. [Full Text][Citation analysis] | article | 22 |
2007 | Financial Liberalization and Monetary Policy Cooperation in East Asia1 In: Finance Working Papers. [Full Text][Citation analysis] | paper | 2 |
2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers. [Full Text][Citation analysis] | paper | 8 |
2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2006 | Underpriced Default Spread Exacerbates Market Crashes In: Finance Working Papers. [Full Text][Citation analysis] | paper | 1 |
2006 | Underpriced Default Spread Exacerbates Market Crashes.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2005 | Sustainable External Debt Levels : Estimates for Selected Asian Countries In: Macroeconomics Working Papers. [Full Text][Citation analysis] | paper | 1 |
2005 | Sustainable External Debt Levels: Estimates for Selected Asian Countries.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2009 | Misaligned Incentives and Mortgage Lending in Asia In: Microeconomics Working Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Misaligned Incentives and Mortgage Lending in Asia.(2007) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2009 | Misaligned Incentives and Mortgage Lending in Asia.(2009) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | chapter | |
2009 | Misaligned Incentives and Mortgage Lending in Asia.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1972 | The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators. In: Econometrica. [Full Text][Citation analysis] | article | 8 |
1973 | Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables. In: Econometrica. [Full Text][Citation analysis] | article | 5 |
1973 | Approximations to the Distribution Functions of Theils K-Class Estimators. In: Econometrica. [Full Text][Citation analysis] | article | 3 |
1977 | Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients. In: Econometrica. [Full Text][Citation analysis] | article | 7 |
1984 | Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System. In: Econometrica. [Full Text][Citation analysis] | article | 27 |
2004 | Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] | paper | 3 |
2004 | Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2005 | Bank lending and real estate in Asia: market optimism and asset bubbles In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 17 |
2012 | Statistical tests for multiple forecast comparison In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
1975 | Some large-concentration-parameter asymptotics for the k-class estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
1998 | Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
2008 | Markov switching GARCH models of currency turmoil in Southeast Asia In: Emerging Markets Review. [Full Text][Citation analysis] | article | 29 |
2007 | Markov switching GARCH models of currency turmoil in southeast Asia.(2007) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
1985 | New tests of the life cycle and tax discounting hypotheses In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 43 |
1991 | Comparing predictive accuracy I: an asymptotic test In: Discussion Paper / Institute for Empirical Macroeconomics. [Full Text][Citation analysis] | paper | 8 |
1997 | Testing under non-standard conditions in frequency domain: with applications to Markov regime-switching models of exchange rates and federal funds rate In: Staff Reports. [Full Text][Citation analysis] | paper | 5 |
1982 | Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case. In: International Economic Review. [Full Text][Citation analysis] | article | 37 |
1983 | Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System. In: International Economic Review. [Full Text][Citation analysis] | article | 17 |
1989 | Measures of Deterministic Prediction Bias in Nonlinear Models. In: International Economic Review. [Full Text][Citation analysis] | article | 12 |
2003 | A new coincident index of business cycles based on monthly and quarterly series In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 431 |
1994 | Prediction, Filtering and Smoothing in Non-linear and Non-normal Cases Using Monte Carlo Integration. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 12 |
1997 | Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 1 |
2007 | External Debt, Adjustment, and Growth In: NBER Chapters. [Full Text][Citation analysis] | chapter | 7 |
2006 | External Debt, Adjustment, and Growth.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2011 | Comment on Commodity Prices, Commodity Currencies, and Global Economic Developments In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2011 | Comment on The Consumption Terms of Trade and Commodity Prices In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2010 | Comment on Population Aging and Economic Growth in Asia In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2010 | Comment on Demographic Transition, Childless Families and Economic Growth In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2003 | Markov Switching Garch Models of Currency Crises in Southeast Asia In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 9 |
1990 | The PIDS-NEDA Annual Macroeconometric Model, Version 1989: A Summary In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1970 | On the Existence of Moments of the Ordianary Least Squares and Two-Stage Least Squares Estimators In: UP School of Economics Discussion Papers. [Citation analysis] | paper | 0 |
1970 | Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables In: UP School of Economics Discussion Papers. [Citation analysis] | paper | 0 |
1970 | Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Squares Least Squares Estimators in the Case of Two Included Endogenous Variables In: UP School of Economics Discussion Papers. [Citation analysis] | paper | 0 |
1970 | Approximations to the Distribution Fuinctions of Theils K- Class Estimators in the Case of Two Included Endogenous Variables In: UP School of Economics Discussion Papers. [Citation analysis] | paper | 0 |
1971 | A Macro-Economic Model of the Philippines, 1950-1969 In: UP School of Economics Discussion Papers. [Citation analysis] | paper | 0 |
1979 | On the Effect of Multicollinearity Upon the Properties of Structural Coefficient Estimators In: UP School of Economics Discussion Papers. [Citation analysis] | paper | 0 |
1979 | Large Sample Asymptotic Expansions for General Linear Simultaneous Systems Under Misspecification In: UP School of Economics Discussion Papers. [Citation analysis] | paper | 0 |
2003 | The Bangko Sentral’s structural long-term inflation forecasting model for the Philippines In: Philippine Review of Economics. [Full Text][Citation analysis] | article | 1 |
2009 | The NEDA quarterly macroeconomic model: theoretical structure and some empirical results In: Philippine Review of Economics. [Full Text][Citation analysis] | article | 3 |
1993 | Complementarity and Conflict among Population and other Policies: Specifying an Economic-Demographic Model for a Developing Country In: The Pakistan Development Review. [Full Text][Citation analysis] | article | 0 |
2005 | Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Financial Liberalization and Monetary Policy Cooperation in East Asia In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Open vs. sealed-bid auctions: testing for revenue equivalence under Singapores vehicle quota system In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
1985 | Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results. In: The Warwick Economics Research Paper Series (TWERPS). [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team