44
H index
66
i10 index
6629
Citations
University of California-San Diego (UCSD) (34% share) | 44 H index 66 i10 index 6629 Citations RESEARCH PRODUCTION: 62 Articles 103 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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2020 | Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09. Full description at Econpapers || Download paper | |
2020 | Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19. Full description at Econpapers || Download paper | |
2020 | On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03. Full description at Econpapers || Download paper | |
2020 | Beating the naive: Combining LASSO with naive intraday electricity price forecasts. (2020). Weron, Rafał ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2001. Full description at Econpapers || Download paper | |
2020 | PCA forecast averaging - predicting day-ahead and intraday electricity prices. (2020). Uniejewski, Bartosz ; Serafin, Tomasz ; Maciejowska, Katarzyna. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2002. Full description at Econpapers || Download paper | |
2020 | On the bail-out dividend problem for spectrally negative Markov additive models. (2019). Yu, Xiang ; Jos'e-Luis P'erez, ; Noba, Kei. In: Papers. RePEc:arx:papers:1901.03021. Full description at Econpapers || Download paper | |
2020 | Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571. Full description at Econpapers || Download paper | |
2020 | Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598. Full description at Econpapers || Download paper | |
2020 | Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492. 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 | |
2020 | Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504. Full description at Econpapers || Download paper | |
2020 | Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686. Full description at Econpapers || Download paper | |
2020 | The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835. Full description at Econpapers || Download paper | |
2020 | False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269. Full description at Econpapers || Download paper | |
2020 | Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Ravazzolo, Francesco ; Iacopini, Matteo ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.11265. Full description at Econpapers || Download paper | |
2020 | Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | 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 | |
2020 | How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341. Full description at Econpapers || Download paper | |
2020 | Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592. Full description at Econpapers || Download paper | |
2020 | lCARE -- localizing Conditional AutoRegressive Expectiles. (2020). Hardle, Wolfgang Karl ; Mihoci, Andrija ; Xu, Xiu. In: Papers. RePEc:arx:papers:2009.13215. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | 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 | |
2020 | Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435. Full description at Econpapers || Download paper | |
2020 | Optimal control of multiple Markov switching stochastic system with application to portfolio decision. (2020). Shi, Jianmin. In: Papers. RePEc:arx:papers:2010.16102. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Robust Forecasting. (2020). Moon, Hyungsik Roger ; Christensen, Timothy ; Schorfheide, Frank. In: Papers. RePEc:arx:papers:2011.03153. Full description at Econpapers || Download paper | |
2020 | Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741. Full description at Econpapers || Download paper | |
2020 | Bull and Bear Markets During the COVID-19 Pandemic. (2020). Maheu, John ; McCurdy, Thomas H ; Song, Yong. In: Papers. RePEc:arx:papers:2012.01623. Full description at Econpapers || Download paper | |
2020 | Trader-Company Method: A Metaheuristic for Interpretable Stock Price Prediction. (2020). Minami, Kentaro ; Ito, Katsuya ; Nakagawa, Kei ; Imajo, Kentaro. In: Papers. RePEc:arx:papers:2012.10215. Full description at Econpapers || Download paper | |
2021 | 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 | |
2020 | Forecasting GDP growth from outer space. (2020). Galimberti, Jaqueson. In: Working Papers. RePEc:aut:wpaper:202002. Full description at Econpapers || Download paper | |
2020 | Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20140. Full description at Econpapers || Download paper | |
2020 | Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143. Full description at Econpapers || Download paper | |
2020 | The New Benchmark for Forecasts of the Real Price of Crude Oil. (2020). Snudden, Stephen ; Ellwanger, Reinhard ; Benmoussa, Amor Aniss. In: Staff Working Papers. RePEc:bca:bocawp:20-39. Full description at Econpapers || Download paper | |
2020 | Commodity Prices and Global Economic Activity: a derived-demand approach. (2020). Gaglianone, Wagner ; Duarte, Angelo Montalverne ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira. In: Working Papers Series. RePEc:bcb:wpaper:539. Full description at Econpapers || Download paper | |
2020 | Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1270_20. Full description at Econpapers || Download paper | |
2020 | From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142. Full description at Econpapers || Download paper | |
2020 | Optimal Policy Perturbations. (2020). Mesters, Geert ; Barnichon, Regis. In: Working Papers. RePEc:bge:wpaper:1171. Full description at Econpapers || Download paper | |
2020 | Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver. (2020). Bianchi, Robert J ; MacDonald, Kirsten L ; Drew, Michael E. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3851-3873. Full description at Econpapers || Download paper | |
2020 | Beyond the efficient markets hypothesis: Towards a new paradigm. (2020). Fender, John . In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:333-351. Full description at Econpapers || Download paper | |
2020 | Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries. (2020). Ong, Kian ; Lee, Kevin ; Shields, Kalvinder K. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:294-313. Full description at Econpapers || Download paper | |
2020 | Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146. Full description at Econpapers || Download paper | |
2020 | How Skilled Are Security Analysts?. (2020). Crotty, Kevin ; Crane, Alan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1629-1675. Full description at Econpapers || Download paper | |
2020 | Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713. Full description at Econpapers || Download paper | |
2020 | False (and Missed) Discoveries in Financial Economics. (2020). Harvey, Campbell R ; Liu, Yan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2503-2553. Full description at Econpapers || Download paper | |
2020 | A similarityâ€Âbased approach for macroeconomic forecasting. (2020). Marcellino, Massimiliano ; Kapetanios, G ; Dendramis, Y. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:801-827. Full description at Econpapers || Download paper | |
2020 | Realâ€ÂTime Fiscal Forecasting Using Mixedâ€ÂFrequency Data. (2020). Paredes, Joan ; Asimakopoulos, Stylianos ; Warmedinger, Thomas. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:369-390. Full description at Econpapers || Download paper | |
2020 | An autoregressive model based on the generalized hyperbolic distribution. (2020). Karttunen, Henri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:787-816. Full description at Econpapers || Download paper | |
2020 | Ongoing Debate Between Foreign Aid and Economic Growth in Nigeria: A Wavelet Analysis. (2020). Kalmaz, Demet Beton ; Adebayo, Tomiwa Sunday. In: Social Science Quarterly. RePEc:bla:socsci:v:101:y:2020:i:5:p:2032-2051. Full description at Econpapers || Download paper | |
2020 | Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Working Papers. RePEc:bny:wpaper:0089. Full description at Econpapers || Download paper | |
2020 | News media vs. FRED-MD for macroeconomic forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: Working Papers. RePEc:bny:wpaper:0091. Full description at Econpapers || Download paper | |
2020 | The Hard Problem of Prediction for Conflict Prevention. (2020). Mueller, Hannes ; Rauh, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2015. Full description at Econpapers || Download paper | |
2021 | The Hard Problem of Prediction for Conflict Prevention. (2021). Mueller, Hannes ; Rauh, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2103. Full description at Econpapers || Download paper | |
2020 | Systematic Liquidity Risk Premia. (2020). Hong, Sanghyun ; Boyle, Glenn. In: Working Papers in Economics. RePEc:cbt:econwp:20/15. Full description at Econpapers || Download paper | |
2020 | On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672. Full description at Econpapers || Download paper | |
2020 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂk, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677. Full description at Econpapers || Download paper | |
2020 | Categorical Forecasts and Non-Categorical Loss Functions. (2020). Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Boumans, Dorine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8266. Full description at Econpapers || Download paper | |
2020 | Are Characteristics Covariances or Characteristics?. (2020). Fieberg, Christian ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8377. Full description at Econpapers || Download paper | |
2020 | Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle. (2020). Milani, Fabio ; Chatterjee, Pratiti. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8608. Full description at Econpapers || Download paper | |
2020 | News Media vs. FRED-MD for Macroeconomic Forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8639. Full description at Econpapers || Download paper | |
2020 | Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2020). Sheng, Xuguang ; Peng, Huaming ; Lahiri, Kajal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8810. Full description at Econpapers || Download paper | |
2021 | Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828. Full description at Econpapers || Download paper | |
2020 | Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis. (2020). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-32. Full description at Econpapers || Download paper | |
2020 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42. Full description at Econpapers || Download paper | |
2020 | Terms of trade shocks and taxation in developing countries. (2020). Hernandez, Gonzalo ; Prieto, Maria Alejandra . In: Revista Cuadernos de EconomÃÂa. RePEc:col:000093:018260. Full description at Econpapers || Download paper | |
2020 | From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267. Full description at Econpapers || Download paper | |
2020 | Nowcasting German GDP. (2020). Strohsal, Till ; Reichlin, Lucrezia ; Hasenzagl, Thomas ; Senftleben-Konig, Charlotte Charlotte ; Andreini, Paolo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14323. Full description at Econpapers || Download paper | |
2020 | Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472. Full description at Econpapers || Download paper | |
2020 | Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648. Full description at Econpapers || Download paper | |
2020 | Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coellis Stochastic Frontier Model (1995). (2020). Baccin, Maria M ; Tusi, Joo S ; Baggio, Daniel Knebel ; Schneider, Iso N. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-01109. Full description at Econpapers || Download paper | |
2020 | Ranking tail risk across international stock markets. (2020). Lai, Wan-Ni ; Groslambert, Bertrand. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00120. Full description at Econpapers || Download paper | |
2020 | Forecasting the Covid-19 recession and recovery: lessons from the financial crisis. (2020). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20202468. Full description at Econpapers || Download paper | |
2020 | Does the Phillips curve help to forecast euro area inflation?. (2020). BOBEICA, Elena ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20202471. Full description at Econpapers || Download paper | |
2021 | Homeownership and portfolio choice over the generations. (2021). Paz-Pardo, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20212522. Full description at Econpapers || Download paper | |
2020 | Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models. (2020). Phillips, Michael G ; Bommer, William H ; Rana, Shailesh. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-12. Full description at Econpapers || Download paper | |
2020 | Are Carbon Leader Indexes Related with Carbon Prices under Different Regimes?. (2020). Okay, Gulu ; Koy, Ayben. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-16. Full description at Econpapers || Download paper | |
2020 | A novel hybrid model for forecasting crude oil price based on time series decomposition. (2020). Abdollahi, Hooman. In: Applied Energy. RePEc:eee:appene:v:267:y:2020:i:c:s030626192030547x. Full description at Econpapers || Download paper | |
2021 | Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567. Full description at Econpapers || Download paper | |
2020 | Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541. Full description at Econpapers || Download paper | |
2020 | Dynamical analysis of a financial market with fundamentalists, chartists, and imitators. (2020). Campisi, Giovanni ; Brianzoni, Serena. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303807. Full description at Econpapers || Download paper | |
2020 | Uncertainty avoidance and mutual funds. (2020). Ramos, Sofia ; Miguel, Antonio F ; Medhat, Mamdouh ; Keswani, Aneel. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301929. Full description at Econpapers || Download paper | |
2020 | The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x. Full description at Econpapers || Download paper | |
2020 | Time-Varying Consumer Disagreement and Future Inflation. (2020). Tsiaplias, Sarantis. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300713. Full description at Econpapers || Download paper | |
2020 | Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287. Full description at Econpapers || Download paper | |
2020 | Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out. (2020). Wagner, Niklas ; Perras, Patrizia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301779. Full description at Econpapers || Download paper | |
2020 | Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925. Full description at Econpapers || Download paper | |
2020 | When are credit gap estimates reliable?. (2020). Ponomarenko, Alexey ; Rozhkova, Anna ; Deryugina, Elena. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:221-238. Full description at Econpapers || Download paper | |
2020 | Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65. Full description at Econpapers || Download paper | |
2020 | On the cross-sectional relation between exchange rates and future fundamentals. (2020). Fatnassi, Ibrahim ; Hammami, Yacine ; Kharrat, Sabrine. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:484-501. Full description at Econpapers || Download paper | |
2020 | The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80. Full description at Econpapers || Download paper | |
2021 | BitCoin: A new basket for eggs?. (2021). Tao, Ran ; Su, Chi-Wei ; Qin, Meng. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:896-907. Full description at Econpapers || Download paper | |
2020 | Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock market. (2020). Chong, Lee-Lee ; Tey, Eng-Xin ; Lai, Ming-Ming ; Tan, Siow-Hooi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302250. Full description at Econpapers || Download paper | |
2020 | Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316. Full description at Econpapers || Download paper | |
2020 | Structural breaks in the correlations between Asian and US stock markets. (2020). Chou, Pei-I, ; Lee, Chia-Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830250x. 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 |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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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 | 233 |
2006 | Forecast Combination with Entry and Exit of Experts.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 233 | 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: 233 | article | |
2008 | Disagreement and Biases in Inflation Expectations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 132 |
2006 | Disagreement and Biases in Inflation Expectations.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | 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: 132 | 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: 132 | paper | |
2010 | Forecast Combinations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 318 |
2010 | Forecast Combinations.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 318 | paper | |
2005 | Forecast Combinations.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 318 | paper | |
2006 | Forecast Combinations.(2006) In: Handbook of Economic Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 318 | chapter | |
2008 | Economic Forecasting In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 186 |
2007 | Economic Forecasting.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 186 | paper | |
2001 | Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 6 |
2005 | Relative Performance Evaluation Contracts and Asset Market Equilibrium In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 19 |
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: 19 | 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: 19 | article | |
2004 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2004 | Relative Performance Evaluation Contracts and Asset Market Equilibrium.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2007 | Testing Forecast Optimality Under Unknown Loss In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 87 |
2009 | Testing Dependence Among Serially Correlated Multicategory Variables In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 123 |
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: 123 | 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: 123 | 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: 123 | paper | |
1992 | A Simple Nonparametric Test of Predictive Performance. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 339 |
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: 339 | 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: 339 | paper | |
2001 | Structural Breaks, Incomplete Information, and Stock Prices. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 43 |
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: 43 | paper | |
1998 | Structural Breaks, Incomplete Information and Stock Prices.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | 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 | 86 |
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: 86 | 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: 86 | paper | |
2011 | Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 23 |
1995 | Predictability of Stock Returns: Robustness and Economic Significance. In: Journal of Finance. [Full Text][Citation analysis] | article | 362 |
2006 | Can Mutual Fund “Stars†Really Pick Stocks? New Evidence from a Bootstrap Analysis In: Journal of Finance. [Full Text][Citation analysis] | article | 208 |
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: 208 | 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 | 85 |
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: 85 | 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: 85 | article | |
2003 | Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 140 |
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: 140 | 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: 140 | 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: 140 | article | |
2004 | ‘Real Time Econometrics’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 26 |
2004 | Real Time Econometrics.(2004) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2004 | Real Time Econometrics.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2005 | REAL-TIME ECONOMETRICS.(2005) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
2004 | Real Time Econometrics.(2004) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2004 | ‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 184 |
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: 184 | 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: 184 | 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: 184 | paper | |
2006 | Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 43 |
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: 43 | 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: 43 | paper | |
2006 | Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2007 | Learning, Structural Instability, and Present Value Calculations.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | 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: 43 | 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 | 37 |
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: 37 | 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 | 110 |
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: 110 | article | |
1999 | A Recursive Modelling Approach to Predicting UK Stock Returns.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
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 | 85 |
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: 85 | 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 | 34 |
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: 34 | article | |
1998 | The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
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 |
1998 | The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
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 | 6 |
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 | 266 |
1998 | Data-Snooping, Technical Trading, Rule Performance and the Bootstrap.(1998) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 266 | paper | |
2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 45 |
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: 45 | article | |
2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
2001 | Forecast Evaluation with Shared Data Sets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 20 |
2003 | Forecast evaluation with shared data sets.(2003) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
2002 | International Asset Allocation with Time-Varying Investment Opportunities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
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: 16 | article | |
2002 | Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 104 |
2004 | Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 104 | article | |
2003 | Estimating Loss Function Parameters In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2003 | Properties of Optimal Forecasts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
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: 10 | 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 | 60 |
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: 60 | article | |
2004 | Optimal Forecast Combination Under Regime Switching In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 43 |
2005 | OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *.(2005) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | article | |
2007 | Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 54 |
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: 54 | 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: 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 | 37 |
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: 37 | article | |
2010 | Decentralized Investment Management: Evidence from the Pension Fund Industry In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 27 |
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: 27 | 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 | 100 |
2011 | Regime Changes and Financial Markets.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
2010 | Variable Selection, Estimation and Inference for Multi-period Forecasting Problems In: DNB Working Papers. [Full Text][Citation analysis] | paper | 46 |
2011 | Variable selection, estimation and inference for multi-period forecasting problems.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | article | |
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 | 11 |
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 | 9 |
2005 | Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal. [Full Text][Citation analysis] | article | 109 |
2004 | Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 14 |
2004 | Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 142 |
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: 142 | 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 | 7 |
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 | 13 |
2007 | Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 163 |
2007 | Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 28 |
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 | 86 |
2000 | Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities.(2000) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | paper | |
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: 86 | paper | |
2001 | Dangers of data mining: The case of calendar effects in stock returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 78 |
2006 | Persistence in forecasting performance and conditional combination strategies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 121 |
2007 | Selection of estimation window in the presence of breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 220 |
2007 | Properties of optimal forecasts under asymmetric loss and nonlinearity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 73 |
2011 | Annals issue on forecasting--Guest editors introduction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2011 | Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 68 |
2000 | Moments of Markov switching models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 132 |
1999 | Moments of Markov Switching Models.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
2006 | Instability of return prediction models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 154 |
2002 | Market timing and return prediction under model instability In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 114 |
2002 | Market Timing and Return Prediction under Model Instability.(2002) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 114 | paper | |
1995 | On the optimality of adaptive expectations: Muth revisited In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
2008 | Elusive return predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 74 |
2008 | Reply to the discussion of Elusive Return Predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 56 |
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 | 67 |
2010 | Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 112 |
2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation In: Economics Working Papers. [Full Text][Citation analysis] | paper | 56 |
1999 | Firm Size and Cyclical Variations in Stock Returns In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 222 |
2002 | (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
2002 | (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Performance Measurement and Evaluation In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
1995 | Cointegration Tests of Present Value Models with a Time-Varying Discount Factor. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 24 |
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 | 130 |
2005 | Completion time structures of stock price movements In: Annals of Finance. [Full Text][Citation analysis] | article | 8 |
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: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 39 |
2008 | International asset allocation under regime switching, skew, and kurtosis preferences In: Review of Financial Studies. [Full Text][Citation analysis] | article | 156 |
2007 | An Evaluation of the World Economic Outlook Forecasts In: IMF Staff Papers. [Full Text][Citation analysis] | article | 60 |
1999 | Asset Allocation Dynamics and Pension Fund Performance. In: The Journal of Business. [Full Text][Citation analysis] | article | 80 |
2009 | The performance of European equity mutual funds In: CFR Working Papers. [Citation analysis] | paper | 0 |
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