Michael McCracken : Citation Profile


Are you Michael McCracken?

Federal Reserve Bank of St. Louis

16

H index

21

i10 index

1623

Citations

RESEARCH PRODUCTION:

33

Articles

45

Papers

2

Chapters

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 81
   Journals where Michael McCracken has often published
   Relations with other researchers
   Recent citing documents: 175.    Total self citations: 36 (2.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc81
   Updated: 2017-11-18    RAS profile: 2017-08-28    
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Relations with other researchers


Works with:

Clark, Todd (6)

Goncalves, Silvia (2)

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

Is cited by:

Swanson, Norman (75)

Rossi, Barbara (56)

Clark, Todd (55)

Kilian, Lutz (45)

GUPTA, RANGAN (45)

West, Kenneth (44)

Inoue, Atsushi (36)

Marcellino, Massimiliano (36)

Franses, Philip Hans (35)

Clements, Michael (34)

Pincheira, Pablo (31)

Cites to:

Clark, Todd (61)

West, Kenneth (53)

Watson, Mark (41)

Kilian, Lutz (40)

Stock, James (38)

Swanson, Norman (29)

Rogoff, Kenneth (24)

Diebold, Francis (22)

White, Halbert (19)

Corradi, Valentina (19)

Hansen, Bruce (18)

Main data


Where Michael McCracken has published?


Journals with more than one article published# docs
Economic Synopses7
Journal of Econometrics7
International Economic Review2
Journal of Money, Credit and Banking2
Review2
The Regional Economist2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis21
Research Working Paper / Federal Reserve Bank of Kansas City11
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3
Working Paper / Federal Reserve Bank of Cleveland3

Recent works citing Michael McCracken (2017 and 2016)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2016Testing the Predictability of Consumption Growth: Evidence from China. (2016). Kim, Hyeongwoo ; Gao, Liping. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2016-09.

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2016Forecasting Financial Stress Indices in Korea: A Factor Model Approach. (2016). Kim, Hyun Hak ; Shi, Wen . In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2016-10.

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2017Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan . In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-03.

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2016On the Surprising Explanatory Power of Higher Realized Moments in Practice. (2016). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng . In: Papers. RePEc:arx:papers:1604.07969.

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2017Media Network and Return Predictability. (2017). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2017How well do experience curves predict technological progress? A method for making distributional forecasts. (2017). Lafond, François ; Bakker, Jan David ; Rebois, Dylan ; Zadourian, Rubina ; Bailey, Aimee Gotway ; Farmer, Doyne J ; McSharry, Patrick . In: Papers. RePEc:arx:papers:1703.05979.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632.

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2016The evasive predictive ability of core inflation. (2016). Selaive, Jorge ; Pincheira, Pablo ; Nolazco, Jose. In: Working Papers. RePEc:bbv:wpaper:1534.

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2017Assessing the Business Outlook Survey Indicator Using Real-Time Data. (2017). Pichette, Lise ; Robitaille, Marie-Noelle . In: Discussion Papers. RePEc:bca:bocadp:17-5.

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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2016Intuitive and reliable estimates of the output gap from a Beveridge-Nelson filter. (2016). Wong, Benjamin ; Morley, James ; Kamber, Gunes. In: BIS Working Papers. RePEc:bis:biswps:584.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2016Commodity Futures and Forecasting Commodity Currencies. (2016). Sveen, Tommy ; Ravazzolo, Francesco ; Zahiri, Sepideh K. In: Working Papers. RePEc:bny:wpaper:0047.

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2016Tracking the slowdown in long-run GDP growth. (2016). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Bank of England working papers. RePEc:boe:boeewp:0587.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2016_029.

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2016Oil-price density forecasts of US GDP. (2016). Ravazzolo, Francesco ; Francesco, Ravazzolo ; Philip, Rothman . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:441-453:n:7.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:052016.

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2016Forecasting U.S. Recessions and Economic Activity. (2016). Stevanovic, Dalibor ; Kotchoni, Rachidi. In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-36.

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

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2016In-sample Inference and Forecasting in Misspecified Factor Models. (2016). Rossi, Barbara ; Carrasco, Marine . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11388.

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2016Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts. (2016). Sekhposyan, Tatevik ; Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11391.

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2016The Role of Auctions and Negotiation in Housing Prices. (2016). Genesove, David ; Hansen, James . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11392.

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2016Have Standard VARs Remained Stable Since the Crisis?. (2016). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea ; Aastveit, Knut Are. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11558.

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2016Equity Premium Prediction: Are Economic and Technical Indicators Unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1552.

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2016Forecasting U.S. Recessions and Economic Activity. (2016). Stevanovic, Dalibor ; Kotchoni, Rachidi . In: EconomiX Working Papers. RePEc:drm:wpaper:2016-40.

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2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/228908.

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2016The implications of monetary expansion in China for the US dollar. (2016). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:46:y:2016:i:c:p:71-84.

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2016Revisiting useful approaches to data-rich macroeconomic forecasting. (2016). Groen, Jan ; Kapetanios, George . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:221-239.

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2016Predicting the yield curve using forecast combinations. (2016). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:79-98.

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2017Transformed contribution ratio test for the number of factors in static approximate factor models. (2017). Xia, Qiang ; Wu, Jianhong ; Liang, Rubing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:235-241.

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2016The macroeconomic effects of uncertainty shocks: The role of the financial channel. (2016). Zhang, Fang ; Popp, Aaron. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:69:y:2016:i:c:p:319-349.

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2016Nowcasting Czech GDP in real time. (2016). Rusnák, Marek ; Rusnak, Marek . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:26-39.

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2016The New Keynesian Phillips Curve in multiple quantiles and the asymmetry of monetary policy. (2016). Lee, Dong Jin ; Yoon, Jai Hyung . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:102-114.

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2017Measuring the output gap in Switzerland with linear opinion pools. (2017). Buncic, Daniel ; Muller, Oliver . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:153-171.

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2017The new MIBA model: Real-time nowcasting of French GDP using the Banque de Frances monthly business survey. (2017). Mogliani, Matteo ; Darné, Olivier ; Pluyaud, Bertrand ; Darne, Olivier . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:26-39.

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2017An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2017). Niu, Linlin ; Chen, Ying ; Xu, Xiu . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:201-213.

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2016What does money and credit tell us about real activity in the United States?. (2016). Seitz, Franz ; Albuquerque, Bruno ; Baumann, Ursel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:328-347.

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2017Confidence intervals in regressions with estimated factors and idiosyncratic components. (2017). Fosten, Jack. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:71-74.

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2016Real-time nowcasting of nominal GDP with structural breaks. (2016). Leiva-Leon, Danilo ; Barnett, William ; Chauvet, Marcelle . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:312-324.

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2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data. (2016). Zhang, Zhaoyong ; Koopman, Siem Jan ; Blasques, Francisco ; Mallee, M. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:405-417.

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2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

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2017Rolling 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.

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2016Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates. (2016). Villamizar-Villegas, mauricio ; Melo-Velandia, Luis ; Loaiza, Rubén. In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:3:p:387-397.

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2017Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds. (2017). Sermpinis, Georgios ; Hassanniakalager, Arman ; Stasinakis, Charalampos . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:540-558.

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2018Short-run electricity load forecasting with combinations of stationary wavelet transforms. (2018). Bessec, Marie ; Fouquau, Julien . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:1:p:149-164.

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2016Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa. In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2017The role of oil prices in the forecasts of South African interest rates: A Bayesian approach. (2017). Kotze, Kevin ; GUPTA, RANGAN. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:270-278.

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2017Forecasting oil and stock returns with a Qual VAR using over 150years off data. (2017). Wohar, Mark ; GUPTA, RANGAN. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:181-186.

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2017Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models. (2017). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:337-348.

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2017Can investor attention predict oil prices?. (2017). Han, Liyan ; Yin, Libo ; Lv, Qiuna. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:547-558.

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2016An optimized grey model for annual power load forecasting. (2016). Guo, Sen ; Zhao, Huiru . In: Energy. RePEc:eee:energy:v:107:y:2016:i:c:p:272-286.

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2016Realized hedge ratio: Predictability and hedging performance. (2016). Skintzi, Vasiliki ; Refenes, Apostolos-Paul N ; Markopoulou, Chrysi E. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:121-133.

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2016Determinants of asymmetric return comovements of gold and other financial assets. (2016). Mandal, Anandadeep ; Poshakwale, Sunil S. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:229-242.

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2017Persistence and cycles in the us federal funds rate. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:1-8.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae H ; Charles, Amelie ; Darne, Olivier . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2016Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis. (2016). GUPTA, RANGAN ; Bekiros, Stelios ; Majumdar, Anandamayee . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:291-296.

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2017Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?. (2017). Wagner, Niklas ; Hofstetter, Benedikt ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:144-150.

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2016Cross-sectional return dispersion and the equity premium. (2016). Maio, Paulo . In: Journal of Financial Markets. RePEc:eee:finmar:v:29:y:2016:i:c:p:87-109.

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2017Equity premium prediction: The role of economic and statistical constraints. (2017). Tsiakas, Ilias ; Li, Jiahan . In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:56-75.

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2016Intraday volatility interaction between the crude oil and equity markets. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:1-13.

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2016Multistep forecasting in the presence of location shifts. (2016). Chevillon, Guillaume. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:121-137.

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2016Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey. (2016). Çakmaklı, Cem ; Altug, Sumru ; Akmakli, Cem . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:138-153.

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2016Outlier detection in structural time series models: The indicator saturation approach. (2016). Proietti, Tommaso ; Marczak, Martyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:180-202.

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2016Can currency-based risk factors help forecast exchange rates?. (2016). Valente, Giorgio ; Ahmed, Shamim ; Liu, Xiaoquan . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:75-97.

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2016A comparison of MIDAS and bridge equations. (2016). Schumacher, Christian. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:257-270.

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2016Revisiting the relative forecast performances of Fed staff and private forecasters: A dynamic approach. (2016). Jung, Alexander ; Giesen, Sebastian ; El-Shagi, Makram. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:313-323.

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2016Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts. (2016). Jansen, W. Jos ; de Winter, Jasper ; Jin, Xiaowen . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:411-436.

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2016Finite sample weighting of recursive forecast errors. (2016). Stanescu, Silvia ; Burke, Simon P ; Brooks, Chris . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:458-474.

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2016On the predictability of model-free implied correlation. (2016). Skintzi, Vasiliki ; Refenes, Apostolos ; Markopoulou, Chryssa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:527-547.

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2016Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis. (2016). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:571-583.

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2016Equity premium prediction: Are economic and technical indicators unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1193-1207.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Forecasting GDP with global components: This time is different. (2017). Thorsrud, Leif ; Ravazzolo, Francesco ; Bjørnland, Hilde. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:153-173.

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2017A mixed frequency approach to the forecasting of private consumption with ATM/POS data. (2017). Rodrigues, Paulo ; Duarte, Cláudia ; Rua, Antonio . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:61-75.

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2017Improving the power of the Diebold–Mariano–West test for least squares predictions. (2017). Mayer, Walter J ; Dang, Xin ; Liu, Feng . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:618-626.

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2017VARX-L: Structured regularization for large vector autoregressions with exogenous variables. (2017). Nicholson, William B ; Bien, Jacob ; Matteson, David S. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:627-651.

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2017Forecast evaluation tests and negative long-run variance estimates in small samples. (2017). Leybourne, Stephen J ; Whitehouse, Emily J ; Harvey, David I. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:833-847.

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2016The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36.

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2016Disagreement versus uncertainty: Evidence from distribution forecasts. (2016). Nolte, Ingmar ; Kruger, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s172-s186.

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2017Do oil futures prices predict stock returns?. (2017). I-Hsuan Ethan Chiang, ; Hughen, Keener W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:129-141.

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2017Out-of-sample equity premium predictability and sample split–invariant inference. (2017). Karapandza, Rasa ; Kolev, Gueorgui I. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:188-201.

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2016Short interest and aggregate stock returns. (2016). Zhou, Guofu ; Ringgenberg, Matthew ; Rapach, David E. In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:46-65.

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2016Ethanol and field crops: Is there a price connection?. (2016). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: Food Policy. RePEc:eee:jfpoli:v:63:y:2016:i:c:p:53-61.

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2016Taylor rule deviations and out-of-sample exchange rate predictability. (2016). Molodtsova, Tanya ; Papell, David H ; Ince, Onur . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:69:y:2016:i:c:p:22-44.

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2016Globalization and inflation: A threshold investigation. (2016). Civelli, Andrea ; Ahmad, Saad . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:48:y:2016:i:c:p:283-304.

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2016Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-415.

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2016Chinese stock market volatility and the role of U.S. economic variables. (2016). Jiang, Fuwei ; Xu, Weidong ; Li, Hongyi ; Chen, Jian . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:70-83.

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2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

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2017Yield spread and the income distribution. (2017). Berisha, Edmond . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:363-377.

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2016A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts. (2016). West, Kenneth ; Pincheira, Pablo. In: Research in Economics. RePEc:eee:reecon:v:70:y:2016:i:2:p:304-319.

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2017Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. (2017). GUPTA, RANGAN ; Segnon, Mawuli ; Lux, Thomas . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:69:y:2017:i:c:p:692-704.

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2016Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors. (2016). Wohar, Mark ; Sousa, Ricardo ; Vivian, Andrew . In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:122-143.

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2016Can commodity returns forecast Canadian sector stock returns?. (2016). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew . In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:172-188.

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2017Overnight returns of stock indexes: Evidence from ETFs and futures. (2017). Liu, Qingfu ; Tse, Yiuman . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:440-451.

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2017Macroeconomic factors and equity premium predictability. (2017). Buncic, Daniel ; Tischhauser, Martin . In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:621-644.

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2017Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?. (2017). Ftiti, Zied ; Hadhri, Sinda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:39-60.

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2016The implications of liquidity expansion in China for the US dollar. (2016). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: CAMA Working Papers. RePEc:een:camaaa:2016-05.

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2016Forecasting GDP with global components. This time is different. (2016). Thorsrud, Leif ; Ravazzolo, Francesco ; Bjørnland, Hilde. In: CAMA Working Papers. RePEc:een:camaaa:2016-26.

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More than 100 citations found, this list is not complete...

Works by Michael McCracken:


YearTitleTypeCited
2001NEW MSE TESTS FOR EVALUATING FORECASTING PERFORMANCE: EMPIRICS AND BOOTSTRAP In: 2001 Annual meeting, August 5-8, Chicago, IL.
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2001Inference about predictive ability In: Working papers.
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paper10
1997Regression-Based Tests of Predictive Ability. In: Working papers.
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paper120
1998Regression-Based Tests of Predictive Ability..(1998) In: International Economic Review.
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This paper has another version. Agregated cites: 120
article
1998Regression-Based Tests of Predictive Ability.(1998) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 120
paper
2009Tests of Equal Predictive Ability With Real-Time Data In: Journal of Business & Economic Statistics.
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article54
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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This paper has another version. Agregated cites: 54
paper
2009Combining Forecasts from Nested Models In: Oxford Bulletin of Economics and Statistics.
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article15
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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This paper has another version. Agregated cites: 15
paper
2008Combining forecasts from nested models.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 15
paper
2000Tests of Equal Forecast Accuracy and Encompassing for Nested Models In: Econometric Society World Congress 2000 Contributed Papers.
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paper462
2001Tests of equal forecast accuracy and encompassing for nested models.(2001) In: Journal of Econometrics.
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article
1999Tests of equal forecast accuracy and encompassing for nested models.(1999) In: Research Working Paper.
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paper
1999Tests of Equal Forecast Accuracy and Encompassing for Nested Models.(1999) In: Computing in Economics and Finance 1999.
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This paper has another version. Agregated cites: 462
paper
2013Advances in Forecast Evaluation In: Handbook of Economic Forecasting.
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2011Advances in forecast evaluation.(2011) In: Working Paper.
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2011Advances in forecast evaluation.(2011) In: Working Papers.
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paper
2005The power of tests of predictive ability in the presence of structural breaks In: Journal of Econometrics.
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article46
2007Asymptotics for out of sample tests of Granger causality In: Journal of Econometrics.
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article254
2012In-sample tests of predictive ability: A new approach In: Journal of Econometrics.
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article11
2009In-sample tests of predictive ability: a new approach.(2009) In: Research Working Paper.
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This paper has another version. Agregated cites: 11
paper
2009In-sample tests of predictive ability: a new approach.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 11
paper
2015Nested forecast model comparisons: A new approach to testing equal accuracy In: Journal of Econometrics.
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article28
2009Nested forecast model comparisons: a new approach to testing equal accuracy.(2009) In: Research Working Paper.
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paper
2009Nested forecast model comparisons: a new approach to testing equal accuracy.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 28
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2017Tests of equal accuracy for nested models with estimated factors In: Journal of Econometrics.
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article4
2016Tests of Equal Accuracy for Nested Models with Estimated Factors.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2000Robust out-of-sample inference In: Journal of Econometrics.
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article95
2004Parameter estimation and tests of equal forecast accuracy between non-nested models In: International Journal of Forecasting.
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article12
2011Tests of equal forecast accuracy for overlapping models In: Working Paper.
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paper4
2011Tests of equal forecast accuracy for overlapping models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2014TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS.(2014) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 4
article
2014Evaluating Conditional Forecasts from Vector Autoregressions In: Working Paper.
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paper6
2014Evaluating Conditional Forecasts from Vector Autoregressions.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2007Forecasting with small macroeconomic VARs in the presence of instabilities In: Finance and Economics Discussion Series.
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paper15
2007Averaging forecasts from VARs with uncertain instabilities In: Finance and Economics Discussion Series.
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paper86
2006Averaging forecasts from VARs with uncertain instabilities.(2006) In: Research Working Paper.
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paper
2008Averaging forecasts from VARs with uncertain instabilities.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 86
paper
2010Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 86
article
2001Evaluating long-horizon forecasts In: Research Working Paper.
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paper25
2002Forecast-based model selection in the presence of structural breaks In: Research Working Paper.
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paper9
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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paper67
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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This paper has another version. Agregated cites: 67
article
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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This paper has another version. Agregated cites: 67
paper
2004Improving forecast accuracy by combining recursive and rolling forecasts In: Research Working Paper.
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paper50
2008Improving forecast accuracy by combining recursive and rolling forecasts.(2008) In: Working Papers.
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paper
2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS.(2009) In: International Economic Review.
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This paper has another version. Agregated cites: 50
article
2006Forecasting of small macroeconomic VARs in the presence of instabilities In: Research Working Paper.
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paper3
2009Uncertainty about when the Fed will raise interest rates In: Economic Synopses.
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article0
2010Using stock market liquidity to forecast recessions In: Economic Synopses.
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article0
2010Using FOMC forecasts to forecast the economy In: Economic Synopses.
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article7
2011Should food be excluded from core CPI? In: Economic Synopses.
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article0
2011Initial claims and employment growth: are we at the threshold? In: Economic Synopses.
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article2
2011Housings role in a recovery In: Economic Synopses.
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article1
2012Following the Fed with a news tracker In: Economic Synopses.
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2009How accurate are forecasts in a recession? In: National Economic Trends.
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article0
2016Tracking the U.S. Economy with Nowcasts In: The Regional Economist.
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article0
2010Disagreement at the FOMC: the dissenting votes are just part of the story In: The Regional Economist.
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article9
2014Factor-based prediction of industry-wide bank stress In: Review.
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article2
2011Real-time forecast averaging with ALFRED In: Review.
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article2
2010Real-time forecast averaging with ALFRED.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 2
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2009Forecast disagreement among FOMC members In: Working Papers.
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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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paper4
2012Consistent testing for structural change at the ends of the sample In: Working Papers.
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paper1
2012Comment on Taylor rule exchange rate forecasting during the financial crisis In: Working Papers.
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paper0
2012Comment on Taylor Rule Exchange Rate Forecasting during the Financial Crisis.(2012) In: NBER Chapters.
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chapter
2016Asymptotic Inference for Performance Fees and the Predictability of Asset Returns In: Working Papers.
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paper3
2012Multi-step ahead forecasting of vector time series In: Working Papers.
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paper1
2017Multistep ahead forecasting of vector time series.(2017) In: Econometric Reviews.
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This paper has another version. Agregated cites: 1
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2013Evaluating the accuracy of forecasts from vector autoregressions In: Working Papers.
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paper4
2015FRED-MD: A Monthly Database for Macroeconomic Research In: Working Papers.
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paper16
2015Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR In: Working Papers.
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paper4
2005Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your ps and qs! In: Journal of Money, Credit and Banking.
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article23
2006Pairwise tests of equal forecast accuracy (in Russian) In: Quantile.
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2005Evaluating Direct Multistep Forecasts In: Econometric Reviews.
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article109
2011Reality Checks and Comparisons of Nested Predictive Models In: Journal of Business & Economic Statistics.
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article1
2013Comment In: NBER International Seminar on Macroeconomics.
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