45
H index
67
i10 index
8414
Citations
University of California-San Diego (UCSD) (34% share) | 45 H index 67 i10 index 8414 Citations RESEARCH PRODUCTION: 62 Articles 88 Papers 1 Chapters EDITOR: RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Allan Timmermann. | Is cited by: | Cites to: |
Year | Title of citing document | |
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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 | Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability. (2021). Xu, Yue. In: CREATES Research Papers. RePEc:aah:create:2022-03. Full description at Econpapers || Download paper | |
2022 | Reallocation of Mutual Fund Managers and Capital Raising Ability. (2022). Xu, Yue. In: CREATES Research Papers. RePEc:aah:create:2022-11. Full description at Econpapers || Download paper | |
2022 | Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003. Full description at Econpapers || Download paper | |
2022 | Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004. Full description at Econpapers || Download paper | |
2021 | The Expectations Gap: An Alternative Measure of Economic Slack. (2021). Schibuola, Alex ; Martinez, Andrew . In: Working Papers. RePEc:ajw:wpaper:11284. Full description at Econpapers || Download paper | |
2021 | Efekt fiskalny uszczelniania systemu podatkowego w Polsce: próba oszacowania w zakresie podatku CIT. (2021). Oykowski, Aleksander ; Konopczak, Karolina. In: Ekonomista. RePEc:aoq:ekonom:v:1:y:2021:p:25-55. Full description at Econpapers || Download paper | |
2021 | Common and Idiosyncratic Components of Latin American Business Cycles Connectedness. (2021). Campos, Luciano ; Andujar, Jesus Ruiz. In: Working Papers. RePEc:aoz:wpaper:91. Full description at Econpapers || Download paper | |
2023 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper | |
2021 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
2021 | Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637. Full description at Econpapers || Download paper | |
2021 | Time-varying neural network for stock return prediction. (2020). , Richard ; Azizi, Lamiae ; Chan, Jennifer ; Steven, . In: Papers. RePEc:arx:papers:2003.02515. Full description at Econpapers || Download paper | |
2021 | Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963. 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 | To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063. Full description at Econpapers || Download paper | |
2021 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂÂk, 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 | Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2020). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463. Full description at Econpapers || Download paper | |
2022 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2021 | Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077. Full description at Econpapers || Download paper | |
2021 | Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155. Full description at Econpapers || Download paper | |
2022 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649. 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 | Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan. In: Papers. RePEc:arx:papers:2101.04113. Full description at Econpapers || Download paper | |
2021 | The sooner the better: lives saved by the lockdown during the COVID-19 outbreak. The case of Italy. (2021). Ventura, Marco ; Cerqueti, Roy ; Coppier, Raffaella ; Girardi, Alessandro. In: Papers. RePEc:arx:papers:2101.11901. Full description at Econpapers || Download paper | |
2021 | Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?. (2021). Cornwall, Gary ; Sauley, Beau ; Chen, Jeff . In: Papers. RePEc:arx:papers:2103.01368. Full description at Econpapers || Download paper | |
2021 | Feature Learning for Stock Price Prediction Shows a Significant Role of Analyst Rating. (2021). Khushi, Matloob ; Singh, Jaideep. In: Papers. RePEc:arx:papers:2103.09106. Full description at Econpapers || Download paper | |
2021 | Financial Markets Prediction with Deep Learning. (2021). Wang, Degang ; Cao, YU ; Liu, Benyuan ; Sun, Tong. In: Papers. RePEc:arx:papers:2104.05413. Full description at Econpapers || Download paper | |
2021 | Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model. (2021). Werge, Nicklas. In: Papers. RePEc:arx:papers:2107.05535. Full description at Econpapers || Download paper | |
2021 | Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. 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 | |
2021 | Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866. Full description at Econpapers || Download paper | |
2021 | Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926. Full description at Econpapers || Download paper | |
2021 | Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026. Full description at Econpapers || Download paper | |
2022 | Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082. Full description at Econpapers || Download paper | |
2021 | Detection of Structural Regimes and Analyzing the Impact of Crude Oil Market on Canadian Stock Market: Markov Regime-Switching Approach. (2021). Ghaneei, Hana ; Mahmoudi, Mohammad Reza. In: Papers. RePEc:arx:papers:2109.01046. 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 | A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873. Full description at Econpapers || Download paper | |
2021 | Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761. Full description at Econpapers || Download paper | |
2021 | Financial-cycle ratios and multi-year predictions of GDP: Evidence from the United States. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2111.00822. Full description at Econpapers || Download paper | |
2022 | The DONUT Approach to EnsembleCombination Forecasting. (2022). Krange, Kjartan ; Ankile, Lars Lien. In: Papers. RePEc:arx:papers:2201.00426. Full description at Econpapers || Download paper | |
2022 | Asymptotic properties of Bayesian inference in linear regression with a structural break. (2022). Shimizu, Kenichi. In: Papers. RePEc:arx:papers:2201.07319. Full description at Econpapers || Download paper | |
2022 | Comparative Study of Machine Learning Models for Stock Price Prediction. (2022). Orsel, Ogulcan E ; Yamada, Sasha S. In: Papers. RePEc:arx:papers:2202.03156. Full description at Econpapers || Download paper | |
2022 | Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323. 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 | Cryptocurrency Return Prediction Using Investor Sentiment Extracted by BERT-Based Classifiers from News Articles, Reddit Posts and Tweets. (2022). Ider, Duygu. In: Papers. RePEc:arx:papers:2204.05781. 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 | Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398. Full description at Econpapers || Download paper | |
2022 | Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126. Full description at Econpapers || Download paper | |
2023 | 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 | LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling. (2022). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2207.04794. Full description at Econpapers || Download paper | |
2022 | Autoencoding Conditional GAN for Portfolio Allocation Diversification. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2207.05701. Full description at Econpapers || Download paper | |
2022 | Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318. Full description at Econpapers || Download paper | |
2022 | The Sample Complexity of Forecast Aggregation. (2022). Lin, Tao ; Chen, Yiling. In: Papers. RePEc:arx:papers:2207.13126. Full description at Econpapers || Download paper | |
2022 | A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972. Full description at Econpapers || Download paper | |
2022 | Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467. Full description at Econpapers || Download paper | |
2022 | A Hybrid Approach on Conditional GAN for Portfolio Analysis. (2022). Ding, Danny ; Lu, Jun. In: Papers. RePEc:arx:papers:2208.07159. Full description at Econpapers || Download paper | |
2022 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. 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 | Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042. Full description at Econpapers || Download paper | |
2022 | State-dependent Asset Allocation Using Neural Networks. (2022). Neghab, Davood Pirayesh ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.00871. Full description at Econpapers || Download paper | |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper | |
2023 | Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866. 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 | Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | A liquidity risk early warning indicator for Italian banks: a machine learning approach. (2021). Nobili, Stefano ; Drudi, Maria Ludovica. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1337_21. Full description at Econpapers || Download paper | |
2021 | Unraveling the Exogenous Forces Behind Analysts’ Macroeconomic Forecasts. (2021). Naranjo-Saldarriaga, Sara ; Moreno-Arias, Nicolas ; Forero-Alvarado, Santiago ; de Castro-Valderrama, Marcela. In: Borradores de Economia. RePEc:bdr:borrec:1184. 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 | |
2022 | Information Acquisition ahead of Monetary Policy Announcements. (2022). Ehrmann, Michael ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:897. Full description at Econpapers || Download paper | |
2021 | The Hard Problem of Prediction for Conflict Prevention. (2021). Rauh, Christopher ; Mueller, Hannes. In: Working Papers. RePEc:bge:wpaper:1244. 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 | Forecasting Inflation: The Use of Dynamic Factor Analysis and Nonlinear Combinations. (2022). Wang, Yongli ; Tavlas, George S ; Hall, Stephen G. In: Discussion Papers. RePEc:bir:birmec:22-12. Full description at Econpapers || Download paper | |
2022 | Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay. (2022). Alvarez, Santiago Etchegaray. In: Documentos de trabajo. RePEc:bku:doctra:2022004. Full description at Econpapers || Download paper | |
2021 | Thirty?year assessment of Asian Development Banks forecasts. (2021). Tsuchiya, Yoichi. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:35:y:2021:i:2:p:18-40. Full description at Econpapers || Download paper | |
2022 | Consumption?based carbon emissions, renewable energy consumption, financial development and economic growth in Chile. (2022). Kirikkaleli, Dervis ; Adebayo, Tomiwa Sunday ; Gungor, Hasan. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:31:y:2022:i:3:p:1123-1137. 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 | |
2022 | Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices. (2022). Brorsen, B ; Maples, Joshua G. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:70:y:2022:i:2:p:139-152. Full description at Econpapers || Download paper | |
2021 | Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed. (2021). Hurn, Stan ; Tian, Jing ; Xu, Lina. In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:319:p:525-547. 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 | |
2021 | How to build a factor portfolio: Does the allocation strategy matter?. (2021). Wendt, Viktoriasophie ; Drobetz, Wolfgang ; Dichtl, Hubert. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:20-58. Full description at Econpapers || Download paper | |
2021 | Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137. Full description at Econpapers || Download paper | |
2022 | Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867. Full description at Econpapers || Download paper | |
2022 | Shrinking return forecasts. (2022). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:641-661. Full description at Econpapers || Download paper | |
2021 | Regional inflation persistence in Turkey. (2021). Duran, Hasan Engin ; Dindarolu, Burak. In: Growth and Change. RePEc:bla:growch:v:52:y:2021:i:1:p:460-491. Full description at Econpapers || Download paper | |
2022 | Does the kitchen?sink model work forecasting the equity premium?. (2022). Yin, Anwen. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:223-247. Full description at Econpapers || Download paper | |
2021 | Initialization of Hidden Markov and Semi?Markov Models: A Critical Evaluation of Several Strategies. (2021). Punzo, Antonio ; Maruotti, Antonello. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:3:p:447-480. Full description at Econpapers || Download paper | |
2021 | AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614. Full description at Econpapers || Download paper | |
2021 | The Perception of Dependence, Investment Decisions, and Stock Prices. (2021). Weber, Martin ; Ungeheuer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:797-844. Full description at Econpapers || Download paper | |
2021 | The Limits of p?Hacking: Some Thought Experiments. (2021). Chen, Andrew Y. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2447-2480. Full description at Econpapers || Download paper | |
2022 | Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966. Full description at Econpapers || Download paper | |
2022 | Fully Closed: Individual Responses to Realized Gains and Losses. (2022). Pagel, Michaela ; Meyer, Steffen. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1529-1585. Full description at Econpapers || Download paper | |
2022 | Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966. Full description at Econpapers || Download paper | |
2022 | Mutual fund performance and changes in factor exposure. (2022). Matallinsaez, Juan Carlos ; Juan Carlos Matallin Saez, ; de Mingolopez, Diego Victor ; Conlon, Thomas ; Bessler, Wolfgang. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:17-52. Full description at Econpapers || Download paper | |
2021 | Quantile?frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics. (2021). Li, Tahsin. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:2:p:270-290. Full description at Econpapers || Download paper | |
2022 | Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722. Full description at Econpapers || Download paper | |
2021 | Nowcasting South African gross domestic product using a suite of statistical models. (2021). Steenkamp, Daan ; Botha, Byron ; van Jaarsveld, Rossouw ; Reid, Geordie ; Olds, Tim. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:526-554. Full description at Econpapers || Download paper | |
2022 | Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high?frequency data†. (2022). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:2:p:169-185. Full description at Econpapers || Download paper | |
2021 | Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Cross, Jamie L ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Paper. RePEc:bno:worpap:2021_3. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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Handbook of Economic Forecasting | |
Handbook of Economic Forecasting |
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2008 | The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
2008 | Forecast Combination With Entry and Exit of Experts In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 312 |
2006 | Forecast Combination with Entry and Exit of Experts.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 312 | paper | |
2009 | Forecast Combination With Entry and Exit of Experts.(2009) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 312 | article | |
2008 | Disagreement and Biases in Inflation Expectations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 154 |
2006 | Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 154 | paper | |
2009 | Disagreement and Biases in Inflation Expectations.(2009) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 154 | article | |
2006 | Disagreement and Biases in Inflation Expectations.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has another version. Agregated cites: 154 | paper | |
2010 | Forecast Combinations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 383 |
2010 | Forecast Combinations.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 383 | paper | |
2005 | Forecast Combinations.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 383 | paper | |
2006 | Forecast Combinations.(2006) In: Handbook of Economic Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 383 | chapter | |
2008 | Economic Forecasting In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 244 |
2007 | Economic Forecasting.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 244 | paper | |
2001 | Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 7 |
2005 | Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 23 |
2003 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2003) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2005 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2005) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2004 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2004 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2007 | Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 101 |
2009 | Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 162 |
2006 | Testing Dependence Among Serially Correlated Multi-category Variables.(2006) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
2006 | Testing Dependence among Serially Correlated Multi-category Variables.(2006) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
2006 | Testing Dependence among Serially Correlated Multi-Category Variables.(2006) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
1992 | A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 412 |
1990 | A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: Cambridge Working Papers in Economics. [Citation analysis] This paper has another version. Agregated cites: 412 | paper | |
1990 | A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE..(1990) In: California Los Angeles - Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 412 | paper | |
2001 | Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 45 |
2001 | Structural Breaks, Incomplete Information and Stock Prices.(2001) In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
2004 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 115 |
2003 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2003) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 115 | paper | |
2000 | Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 115 | paper | |
2011 | Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 36 |
1995 | Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance. [Full Text][Citation analysis] | article | 444 |
2006 | Can Mutual Fund “Stars†Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance. [Full Text][Citation analysis] | article | 248 |
2005 | Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis.(2005) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 248 | paper | |
2003 | Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School. [Full Text][Citation analysis] | article | 12 |
2008 | Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2003 | How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 92 |
2003 | How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?.(2003) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | paper | |
2004 | How costly is it to ignore breaks when forecasting the direction of a time series?.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | article | |
2003 | Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 179 |
2003 | Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks.(2003) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 179 | paper | |
2004 | Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 179 | paper | |
2005 | Small sample properties of forecasts from autoregressive models under structural breaks.(2005) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 179 | article | |
2004 | ‘Real Time Econometrics’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 28 |
2004 | Real Time Econometrics.(2004) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2004 | Real Time Econometrics.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2005 | REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2004 | Real Time Econometrics.(2004) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2004 | ‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 218 |
2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 218 | paper | |
2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 218 | paper | |
2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 218 | paper | |
2006 | Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 44 |
2006 | Learning, Structural Instability and Present Value Calculations.(2006) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
2006 | Learning, structural instability and present value calculations.(2006) In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
2006 | Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
2007 | Learning, Structural Instability, and Present Value Calculations.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | article | |
2006 | Learning, structural instability and present value calculations.(2006) In: Discussion Paper Series 1: Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
2009 | Variable Selection and Inference for Multi-period Forecasting Problems In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2009 | Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2009 | Variable Selection and Inference for Multi-period Forecasting Problems.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1990 | THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 1 |
1990 | THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS..(1990) In: California Los Angeles - Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1992 | Forecasting Stock Returns. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 4 |
1992 | A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 40 |
1994 | A generalization of the non-parametric Henriksson-Merton test of market timing.(1994) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
1995 | The Use of Recursive Model Selection Strategies in Forecasting Stock Returns. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 0 |
1996 | A Recursive Modelling Approach to Predicting UK Stock Returns In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 121 |
2000 | A Recursive Modelling Approach to Predicting UK Stock Returns..(2000) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 121 | article | |
2002 | Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 96 |
2004 | Optimal forecast combinations under general loss functions and forecast error distributions.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 96 | article | |
1998 | The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 37 |
1999 | The hazards of mutual fund underperformance: A Cox regression analysis.(1999) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
1998 | Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
2002 | How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
1999 | Model Instability and Choice of Observation Window In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
1997 | Performance Measurement using Multiple Asset Class Portfolio Data In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
1998 | Data-Snooping, Technical Trading Rule Performance and the Bootstrap In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 286 |
2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 52 |
2003 | Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
2001 | Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
2003 | Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2002 | International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
2005 | International Asset Allocation with Time-Varying Investment Opportunities.(2005) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
2002 | Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 130 |
2004 | Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 130 | article | |
2003 | Estimating Loss Function Parameters In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2003 | Properties of Optimal Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
2004 | Properties of Optimal Forecasts.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2004 | Country and Industry Dynamics in Stock Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2004 | Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 65 |
2006 | Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | article | |
2004 | Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 56 |
2005 | OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *.(2005) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | article | |
2007 | Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 58 |
2009 | Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | article | |
2007 | Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2009 | Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Understanding Analysts Earnings Expectations: Biases, Nonlinearities and Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | Understanding Analysts Earnings Expectations: Biases, Nonlinearities, and Predictability.(2010) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2010 | Common Factors in Latin America’s Business Cycles In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 42 |
2011 | Common factors in Latin Americas business cycles.(2011) In: Journal of Development Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | article | |
2010 | Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 37 |
2010 | Decentralized investment management: evidence from the pension fund industry.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2011 | Forecast Rationality Tests Based on Multi-Horizon Bounds In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | Regime Changes and Financial Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 165 |
2011 | Regime Changes and Financial Markets.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 165 | paper | |
2010 | Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? In: Working Paper Series. [Full Text][Citation analysis] | paper | 21 |
2003 | Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 0 |
1994 | Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market. In: Economic Journal. [Full Text][Citation analysis] | article | 14 |
2005 | Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal. [Full Text][Citation analysis] | article | 126 |
2004 | Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 13 |
2004 | Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 175 |
2008 | Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?.(2008) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 175 | article | |
2000 | Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Data mining with local model specification uncertainty: a discussion of Hoover and Perez In: Econometrics Journal. [Citation analysis] | article | 10 |
1994 | Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 16 |
2007 | Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 190 |
2007 | Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 32 |
1994 | Optimal properties of exponentially weighted forecasts in the presence of different information sources In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
1994 | Why do dividend yields forecast stock returns? In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
2001 | Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities In: Journal of Econometrics. [Full Text][Citation analysis] | article | 97 |
2001 | Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities..(2001) In: Quebec a Montreal - Recherche en gestion. [Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2001 | Dangers of data mining: The case of calendar effects in stock returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 91 |
2006 | Persistence in forecasting performance and conditional combination strategies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 157 |
2007 | Selection of estimation window in the presence of breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 270 |
2007 | Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 84 |
2011 | Annals issue on forecasting--Guest editors introduction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2011 | Variable selection, estimation and inference for multi-period forecasting problems In: Journal of Econometrics. [Full Text][Citation analysis] | article | 65 |
2011 | Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 83 |
2000 | Moments of Markov switching models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 150 |
2006 | Instability of return prediction models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 189 |
2002 | Market timing and return prediction under model instability In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 135 |
1995 | On the optimality of adaptive expectations: Muth revisited In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
2008 | Elusive return predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 90 |
2008 | Reply to the discussion of Elusive Return Predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 69 |
2010 | Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 94 |
2010 | Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 175 |
2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: Economics Working Papers. [Full Text][Citation analysis] | paper | 71 |
1995 | Cointegration Tests of Present Value Models with a Time-Varying Discount Factor. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 34 |
2006 | An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 150 |
2005 | Completion time structures of stock price movements In: Annals of Finance. [Full Text][Citation analysis] | article | 9 |
2005 | The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005. [Citation analysis] | paper | 0 |
2008 | Size and Value Anomalies under Regime Shifts In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 44 |
2008 | International asset allocation under regime switching, skew, and kurtosis preferences In: Review of Financial Studies. [Full Text][Citation analysis] | article | 193 |
2007 | An Evaluation of the World Economic Outlook Forecasts In: IMF Staff Papers. [Full Text][Citation analysis] | article | 69 |
1999 | Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business. [Full Text][Citation analysis] | article | 96 |
2009 | The performance of European equity mutual funds In: CFR Working Papers. [Citation analysis] | paper | 0 |
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