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Journal of Business & Economic Statistics / Taylor & Francis Journals

1.29

Impact Factor

2.62

5-Years IF

27

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.1000 (%)0.05
19940.110100 (%)0.05
19950.2000 (%)0.07
19960.23000 (%)0.09
19970.27000 (%)0.09
19980.29000 (%)0.1
19990.32000 (%)0.13
20000.4000 (%)0.15
20010.40200 (%)0.15
20020.42000 (%)0.18
20030.44000 (%)0.19
20040.49000 (%)0.2
20050.53000 (%)0.21
20060.51000 (%)0.2
20070.45000 (%)0.18
20080.48000 (%)0.2
20090.473341.332200 (%)20.670.19
20100.330.450.331430.75103131 (%)0.16
20110.50.520.57882320.3912294242 (%)260.330.2
20120.90.550.93531351340.99822797182762 (%)420.790.2
20131.760.621.71441793051.76151312301352311 (%)591.340.22
20143.120.642.99582375842.4624997303179536 (%)260.450.21
20151.920.692.71482856802.39150102196234633 (%)270.560.22
20161.290.852.62223077692.533106137281737 (%)110.50.26
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:

#YearTitleCited
12011Robust Inference With Multiway Clustering. (2011). Miller, Douglas ; Cameron, A. ; Gelbach, Jonah B.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:2:p:238-249.

Full description at Econpapers || Download paper

399
22012Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models. (2012). Lewbel, Arthur . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:1:p:67-80.

Full description at Econpapers || Download paper

181
32011Bias-Corrected Matching Estimators for Average Treatment Effects. (2011). Imbens, Guido ; Abadie, Alberto. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:1:p:1-11.

Full description at Econpapers || Download paper

108
42013Social Networks and the Identification of Peer Effects. (2013). Imbens, Guido ; Goldsmith-Pinkham, Paul. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:253-264.

Full description at Econpapers || Download paper

99
52011Rank - 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents. (2011). Gabaix, Xavier ; Ibragimov, Rustam . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:1:p:24-39.

Full description at Econpapers || Download paper

97
62013Dynamic Conditional Correlation: On Properties and Estimation. (2013). Aielli, Gian Piero . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:282-299.

Full description at Econpapers || Download paper

86
72012Dynamic Equicorrelation. (2012). Kelly, Bryan ; Engle, Robert . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:2:p:212-228.

Full description at Econpapers || Download paper

80
82011Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility. (2011). Clark, Todd. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:3:p:327-341.

Full description at Econpapers || Download paper

74
92012Correcting Estimation Bias in Dynamic Term Structure Models. (2012). Wu, Jing Cynthia ; Rudebusch, Glenn ; Bauer, Michael. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:3:p:454-467.

Full description at Econpapers || Download paper

72
102012Generalized Shrinkage Methods for Forecasting Using Many Predictors. (2012). Watson, Mark ; Stock, James H.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:4:p:481-493.

Full description at Econpapers || Download paper

61
112013Real-Time Inflation Forecasting in a Changing World. (2013). Ravazzolo, Francesco ; Paap, Richard ; Groen, Jan ; Jan J. J. Groen, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:29-44.

Full description at Econpapers || Download paper

59
122011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations. (2011). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:4:p:552-563.

Full description at Econpapers || Download paper

57
132013Should Macroeconomic Forecasters Use Daily Financial Data and How?. (2013). Kourtellos, Andros ; Ghysels, Eric ; Andreou, Elena . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:2:p:240-251.

Full description at Econpapers || Download paper

55
142014Conditional Euro Area Sovereign Default Risk. (2014). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:2:p:271-284.

Full description at Econpapers || Download paper

47
152011A Test Against Spurious Long Memory. (2011). Qu, Zhongjun. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:3:p:423-438.

Full description at Econpapers || Download paper

47
162012Out-of-Sample Forecast Tests Robust to the Choice of Window Size. (2012). Inoue, Atsushi ; Rossi, Barbara . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:3:p:432-453.

Full description at Econpapers || Download paper

47
172012Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. (2012). Corsi, Fulvio. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:3:p:368-380.

Full description at Econpapers || Download paper

46
182011Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules. (2011). Ranjan, Roopesh ; Gneiting, Tilmann . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:3:p:411-422.

Full description at Econpapers || Download paper

40
19Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests. (2011). Urga, Giovanni ; DUMITRU, ANA-MARIA. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2011:i:2:p:242-255.

Full description at Econpapers || Download paper

39
202011Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate. (2011). Hubrich, Kirstin ; Hendry, David. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:2:p:216-227.

Full description at Econpapers || Download paper

38
212011Forecast Combination Across Estimation Windows. (2011). Pesaran, M ; Pick, Andreas. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:2:p:307-318.

Full description at Econpapers || Download paper

37
222011Volatility Jumps. (2011). Tauchen, George ; Todorov, Viktor . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:3:p:356-371.

Full description at Econpapers || Download paper

37
232012Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests. (2012). Dumitru, Ana-Maria ; Urga, Giovanni . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:2:p:242-255.

Full description at Econpapers || Download paper

36
242015Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests. (2015). Diebold, Francis. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:33:y:2015:i:1:p:1-1.

Full description at Econpapers || Download paper

30
252011A New Approach to Estimating Production Function Parameters: The Elusive Capital--Labor Substitution Elasticity. (2011). Fazzari, Steven ; Chirinko, Bob ; Meyer, Andrew P.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:4:p:587-594.

Full description at Econpapers || Download paper

28
262012Time Varying Dimension Models. (2012). Strachan, Rodney ; Leon-Gonzalez, Roberto ; Koop, Gary ; Joshua C. C. Chan, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:3:p:358-367.

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27
272012Forecast Rationality Tests Based on Multi-Horizon Bounds. (2012). Timmermann, Allan ; Patton, Andrew J.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:1:p:1-17.

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27
282013Markov-Switching MIDAS Models. (2013). Marcellino, Massimiliano ; Guérin, Pierre ; Gurin, Pierre . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:45-56.

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26
292013A Robust Test for Weak Instruments. (2013). Pflueger, Carolin ; José Luis Montiel Olea, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:358-369.

Full description at Econpapers || Download paper

25
302011Evaluating Value-at-Risk Models via Quantile Regression. (2011). Lima, Luiz ; LINTON, OLIVER ; Gaglianone, Wagner ; Smith, Daniel R.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:1:p:150-160.

Full description at Econpapers || Download paper

24
312013Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions. (2013). Racine, Jeffrey ; Li, Qi. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:57-65.

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23
322013Bayesian Analysis of Latent Threshold Dynamic Models. (2013). Nakajima, Jouchi ; West, Mike . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:2:p:151-164.

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22
332013A New Model of Trend Inflation. (2013). Potter, Simon ; Koop, Gary ; Chan, Joshua ; Joshua C. C. Chan, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:94-106.

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22
342014Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences. (2014). Potter, Simon ; Peach, Richard ; onorante, luca ; Alessi, Lucia ; Ghysels, Eric . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:4:p:483-500.

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21
352012The Factor--Spline--GARCH Model for High and Low Frequency Correlations. (2012). Rangel, Jos Gonzalo ; Engle, Robert F.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:1:p:109-124.

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21
362013Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries. (2013). Vigfusson, Robert ; Kilian, Lutz. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:78-93.

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21
372013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence. (2013). Hautsch, Nikolaus ; Podolskij, Mark . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:2:p:165-183.

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20
382014Nowcasting GDP in Real Time: A Density Combination Approach. (2014). Thorsrud, Leif ; Aastveit, Knut Are ; Jore, Anne Sofie ; Gerdrup, Karsten R.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:1:p:48-68.

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20
392013On Identification of Bayesian DSGE Models. (2013). Smith, Ronald ; Pesaran, M ; Koop, Gary. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:300-314.

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20
402009A State Space Approach to Extracting the Signal From Uncertain Data. (2009). Labhard, Vincent ; Eklund, Jana ; Cunningham, Alastair ; Kapetanios, George ; Jeffery, Chris . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2009:i:2:p:173-180.

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20
412012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008. (2012). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:4:p:521-532.

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19
422012Real-Time Forecasts of the Real Price of Oil. (2012). . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:2:p:326-336.

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19
432014Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods. (2014). Fan, Jianqing ; Xiu, Dacheng ; Qi, Lei . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:2:p:178-191.

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19
442013Unconditional Quantile Treatment Effects Under Endogeneity. (2013). Melly, Blaise. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:346-357.

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19
452015Interest Rates and Money in the Measurement of Monetary Policy. (2015). Ireland, Peter ; Belongia, Michael. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:33:y:2015:i:2:p:255-269.

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18
462014Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates. (2014). Kristensen, Dennis ; Han, Heejoon. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:3:p:416-429.

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18
472011Employer-to-Employer Flows in the United States: Estimates Using Linked Employer-Employee Data. (2011). McEntarfer, Erika ; Haltiwanger, John ; Fallick, Bruce ; Bjelland, Melissa . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:4:p:493-505.

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18
482012VAR Estimation and Forecasting When Data Are Subject to Revision. (2012). Koenig, Evan F. ; Kishor, Kundan N.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:2:p:181-190.

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17
492015Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach. (2015). Kilian, Lutz ; Baumeister, Christiane. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:33:y:2015:i:3:p:338-351.

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16
502014Forecast Uncertainty- Ex Ante and Ex Post : U.S. Inflation and Output Growth. (2014). Clements, Michael. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:2:p:206-216.

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16

50 most relevant documents in this series (papers most cited in the last two years)

#YearTitleCited
12011Robust Inference With Multiway Clustering. (2011). Miller, Douglas ; Cameron, A. ; Gelbach, Jonah B.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:2:p:238-249.

Full description at Econpapers || Download paper

220
22012Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models. (2012). Lewbel, Arthur . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:1:p:67-80.

Full description at Econpapers || Download paper

132
32011Bias-Corrected Matching Estimators for Average Treatment Effects. (2011). Imbens, Guido ; Abadie, Alberto. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:1:p:1-11.

Full description at Econpapers || Download paper

80
42013Social Networks and the Identification of Peer Effects. (2013). Imbens, Guido ; Goldsmith-Pinkham, Paul. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:253-264.

Full description at Econpapers || Download paper

68
52011Rank - 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents. (2011). Gabaix, Xavier ; Ibragimov, Rustam . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:1:p:24-39.

Full description at Econpapers || Download paper

68
62013Dynamic Conditional Correlation: On Properties and Estimation. (2013). Aielli, Gian Piero . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:282-299.

Full description at Econpapers || Download paper

63
72012Dynamic Equicorrelation. (2012). Kelly, Bryan ; Engle, Robert . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:2:p:212-228.

Full description at Econpapers || Download paper

53
82011Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility. (2011). Clark, Todd. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:3:p:327-341.

Full description at Econpapers || Download paper

53
92012Generalized Shrinkage Methods for Forecasting Using Many Predictors. (2012). Watson, Mark ; Stock, James H.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:4:p:481-493.

Full description at Econpapers || Download paper

47
102014Conditional Euro Area Sovereign Default Risk. (2014). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:2:p:271-284.

Full description at Econpapers || Download paper

42
112011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations. (2011). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:4:p:552-563.

Full description at Econpapers || Download paper

39
122013Should Macroeconomic Forecasters Use Daily Financial Data and How?. (2013). Kourtellos, Andros ; Ghysels, Eric ; Andreou, Elena . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:2:p:240-251.

Full description at Econpapers || Download paper

35
132011A Test Against Spurious Long Memory. (2011). Qu, Zhongjun. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:3:p:423-438.

Full description at Econpapers || Download paper

34
142012Correcting Estimation Bias in Dynamic Term Structure Models. (2012). Wu, Jing Cynthia ; Rudebusch, Glenn ; Bauer, Michael. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:3:p:454-467.

Full description at Econpapers || Download paper

34
152011Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate. (2011). Hubrich, Kirstin ; Hendry, David. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:2:p:216-227.

Full description at Econpapers || Download paper

30
162015Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests. (2015). Diebold, Francis. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:33:y:2015:i:1:p:1-1.

Full description at Econpapers || Download paper

29
172012Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. (2012). Corsi, Fulvio. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:3:p:368-380.

Full description at Econpapers || Download paper

28
182013Real-Time Inflation Forecasting in a Changing World. (2013). Ravazzolo, Francesco ; Paap, Richard ; Groen, Jan ; Jan J. J. Groen, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:29-44.

Full description at Econpapers || Download paper

26
192011Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests. (2011). Urga, Giovanni ; DUMITRU, ANA-MARIA. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2011:i:2:p:242-255.

Full description at Econpapers || Download paper

25
202012Out-of-Sample Forecast Tests Robust to the Choice of Window Size. (2012). Inoue, Atsushi ; Rossi, Barbara . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:3:p:432-453.

Full description at Econpapers || Download paper

25
212011Volatility Jumps. (2011). Tauchen, George ; Todorov, Viktor . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:3:p:356-371.

Full description at Econpapers || Download paper

24
222011Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules. (2011). Ranjan, Roopesh ; Gneiting, Tilmann . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:3:p:411-422.

Full description at Econpapers || Download paper

23
232012Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests. (2012). Dumitru, Ana-Maria ; Urga, Giovanni . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:2:p:242-255.

Full description at Econpapers || Download paper

23
242011A New Approach to Estimating Production Function Parameters: The Elusive Capital--Labor Substitution Elasticity. (2011). Fazzari, Steven ; Chirinko, Bob ; Meyer, Andrew P.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:4:p:587-594.

Full description at Econpapers || Download paper

22
252011Evaluating Value-at-Risk Models via Quantile Regression. (2011). Lima, Luiz ; LINTON, OLIVER ; Gaglianone, Wagner ; Smith, Daniel R.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:1:p:150-160.

Full description at Econpapers || Download paper

22
262014Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences. (2014). Potter, Simon ; Peach, Richard ; onorante, luca ; Alessi, Lucia ; Ghysels, Eric . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:4:p:483-500.

Full description at Econpapers || Download paper

21
272013A Robust Test for Weak Instruments. (2013). Pflueger, Carolin ; José Luis Montiel Olea, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:358-369.

Full description at Econpapers || Download paper

20
282014Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods. (2014). Fan, Jianqing ; Xiu, Dacheng ; Qi, Lei . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:2:p:178-191.

Full description at Econpapers || Download paper

19
292014Nowcasting GDP in Real Time: A Density Combination Approach. (2014). Thorsrud, Leif ; Aastveit, Knut Are ; Jore, Anne Sofie ; Gerdrup, Karsten R.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:1:p:48-68.

Full description at Econpapers || Download paper

19
302013Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries. (2013). Vigfusson, Robert ; Kilian, Lutz. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:78-93.

Full description at Econpapers || Download paper

17
312011Forecast Combination Across Estimation Windows. (2011). Pesaran, M ; Pick, Andreas. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:2:p:307-318.

Full description at Econpapers || Download paper

16
322013Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions. (2013). Racine, Jeffrey ; Li, Qi. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:57-65.

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332014Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates. (2014). Kristensen, Dennis ; Han, Heejoon. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:3:p:416-429.

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16
342013A New Model of Trend Inflation. (2013). Potter, Simon ; Koop, Gary ; Chan, Joshua ; Joshua C. C. Chan, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:94-106.

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352013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence. (2013). Hautsch, Nikolaus ; Podolskij, Mark . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:2:p:165-183.

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362015Interest Rates and Money in the Measurement of Monetary Policy. (2015). Ireland, Peter ; Belongia, Michael. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:33:y:2015:i:2:p:255-269.

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372014Forecast Uncertainty- Ex Ante and Ex Post : U.S. Inflation and Output Growth. (2014). Clements, Michael. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:2:p:206-216.

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382015Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach. (2015). Kilian, Lutz ; Baumeister, Christiane. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:33:y:2015:i:3:p:338-351.

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15
392011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets. (2011). Chen, Cathy W. S. ; Cathy W. S. Chen, ; Gerlach, Richard H. ; Nancy Y. C. Chan, ; Cathy W. S. Chen, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:4:p:481-492.

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402013Bayesian Analysis of Latent Threshold Dynamic Models. (2013). Nakajima, Jouchi ; West, Mike . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:2:p:151-164.

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13
412011Employer-to-Employer Flows in the United States: Estimates Using Linked Employer-Employee Data. (2011). McEntarfer, Erika ; Haltiwanger, John ; Fallick, Bruce ; Bjelland, Melissa . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:29:y:2011:i:4:p:493-505.

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12
422012The Factor--Spline--GARCH Model for High and Low Frequency Correlations. (2012). Rangel, Jos Gonzalo ; Engle, Robert F.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:1:p:109-124.

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12
432012VAR Estimation and Forecasting When Data Are Subject to Revision. (2012). Koenig, Evan F. ; Kishor, Kundan N.. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:2:p:181-190.

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11
442013Unconditional Quantile Treatment Effects Under Endogeneity. (2013). Melly, Blaise. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:346-357.

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452013Markov-Switching MIDAS Models. (2013). Marcellino, Massimiliano ; Guérin, Pierre ; Gurin, Pierre . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:1:p:45-56.

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11
462013On Identification of Bayesian DSGE Models. (2013). Smith, Ronald ; Pesaran, M ; Koop, Gary. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:31:y:2013:i:3:p:300-314.

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472015Real-Time Forecasting With a Mixed-Frequency VAR. (2015). Schorfheide, Frank ; Song, Dongho . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:33:y:2015:i:3:p:366-380.

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482012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008. (2012). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:4:p:521-532.

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492010Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models. (2010). Lewbel, Arthur. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2010:i:1:p:67-80.

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502012Time Varying Dimension Models. (2012). Strachan, Rodney ; Leon-Gonzalez, Roberto ; Koop, Gary ; Joshua C. C. Chan, . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:30:y:2012:i:3:p:358-367.

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Citing documents used to compute impact factor 137:

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2016Decomposing Joint Distributions via Reweighting Functions: An Application to Intergenerational Economic Mobility. (2016). Rosburg, Alicia ; Richey, Jeremiah. In: MPRA Paper. RePEc:pra:mprapa:74744.

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2016Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

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2016Tracking the Slowdown in Long-Run GDP Growth. (2016). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Discussion Papers. RePEc:cfm:wpaper:1604.

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

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

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2016Aggregate versus disaggregate information in dynamic factor models. (2016). Perez Quiros, Gabriel ; Camacho, Maximo ; Alvarez, Rocio ; Perez-Quiros, Gabriel . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:680-694.

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2016Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Basturk, Nalan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160099.

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2016Nowcasting the Czech Trade Balance. (2016). Bruha, Jan ; Kucharcukova, Oxana Babecka . In: Working Papers. RePEc:cnb:wpaper:2016/11.

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2016Particle efficient importance sampling. (2016). Scharth, Marcel ; Kohn, Robert . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:133-147.

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2016Spillover dynamics for systemic risk measurement using spatial financial time series models. (2016). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:211-223.

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2016Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models. (2016). Lucas, Andre ; Koopman, Siem Jan ; André Lucas, ; Hoogerheide, Lennart ; István Barra, . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140118.

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2016Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio . In: Working Paper Series. RePEc:ecb:ecbwps:20161901.

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2016A note on the Mean Absolute Scaled Error. (2016). Franses, Philip Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:20-22.

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2016Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-571.

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2016Forecasting Unemployment with Google Searches. (2016). Tuhkuri, Joonas. In: ETLA Working Papers. RePEc:rif:wpaper:35.

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2016Research Needs and Challenges in the FEW System: Coupling Economic Models with Agronomic, Hydrologic, and Bioenergy Models for Sustainable Food, Energy, and Water Systems. (2016). Kling, Catherine ; Keiser, David A ; Calhoun, Gray ; Arritt, Raymond W. In: Center for Agricultural and Rural Development (CARD) Publications. RePEc:ias:cpaper:16-wp563.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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2016Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties. (2016). Hartigan, Luke . In: Discussion Papers. RePEc:swe:wpaper:2016-06.

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2016Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility. (2016). Schorfheide, Frank ; Diebold, Francis ; Shin, Minchul . In: NBER Working Papers. RePEc:nbr:nberwo:22615.

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2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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2016What is the Globalisation of Inflation? . (2016). Bratsiotis, George ; Becker, Ralf ; Altansukha, Gantungalag ; Osborn, Denise R. In: Centre for Growth and Business Cycle Research Discussion Paper Series. RePEc:man:cgbcrp:224.

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2016Linking Tukey’s legacy to financial risk measurement. (2016). Vijverberg, Wim ; Tapinar, Suleyman . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:595-615.

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2016Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim . In: MPRA Paper. RePEc:pra:mprapa:75770.

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

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2016A computationally efficient method for vector autoregression with mixed frequency data. (2016). Qian, Hang. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:433-437.

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2016Forecasting US GNP Growth: The Role of Uncertainty. (2016). Wohar, Mark ; GUPTA, RANGAN ; Bekiros, Stelios ; Segnon, Mawuli . In: Working Papers. RePEc:pre:wpaper:201667.

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2016The Beveridge–Nelson decomposition of mixed-frequency series. (2016). Murasawa, Yasutomo. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1061-5.

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2016Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows. (2016). Rossi, Eduardo ; Missale, Alessandro ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Departmental Working Papers. RePEc:mil:wpdepa:2016-11.

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2016Equity Premium Prediction: The Role of Economic and Statistical Constraints. (2016). Tsiakas, Ilias ; Li, Jiahan . In: Working Paper Series. RePEc:rim:rimwps:16-25.

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2016Disentangling policy effects into causal channels. (2016). Huber, Martin. In: IZA World of Labor. RePEc:iza:izawol:journl:y:2016:n:259.

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2016Personality, ability, marriage and the gender wage gap: Evidence from Germany. (2016). Collischon, Matthias . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:082016.

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2016n-consistent density estimation in semiparametric regression models. (2016). Li, Shuo ; Tu, Yundong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:104:y:2016:i:c:p:91-109.

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2016Model averaging in semiparametric estimation of treatment effects. (2016). Kitagawa, Toru ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:271-289.

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2016Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure. (2016). Yin, Shou-Yung ; Liu, Chu-An ; Lin, Chang-Ching . In: IEAS Working Paper : academic research. RePEc:sin:wpaper:16-a016.

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2016Kernel estimation of hazard functions when observations have dependent and common covariates. (2016). Wolter, James Lewis . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:1-16.

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2016Jump and variance risk premia in the S&P 500. (2016). Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:69:y:2016:i:c:p:72-83.

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2016Predicting the oil prices: Do technical indicators help?. (2016). Yang, Qingyuan ; Yin, Libo. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:338-350.

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2016Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach. (2016). Naser, Hanan. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:75-87.

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2016Commodity Price Forecasts, Futures Prices and Pricing Models. (2016). Ortega, Hector ; Millard, Cristobal ; Cortazar, Gonzalo ; Schwartz, Eduardo S. In: NBER Working Papers. RePEc:nbr:nberwo:22991.

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2016The effect of degree attainment on arrests: Evidence from a randomized social experiment. (2016). Parisian, Daniel ; Flores-Lagunes, Alfonso ; Amin, Vikesh . In: Economics of Education Review. RePEc:eee:ecoedu:v:54:y:2016:i:c:p:259-273.

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2016Bounds on Treatment Effects in Regression Discontinuity Designs under Manipulation of the Running Variable, with an Application to Unemployment Insurance in Brazil. (2016). Rokkanen, Miikka ; Rothe, Christoph ; Gerard, Franois . In: NBER Working Papers. RePEc:nbr:nberwo:22892.

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2016Bounds on Treatment Effects in Regression Discontinuity Designs under Manipulation of the Running Variable, with an Application to Unemployment Insurance in Brazil. (2016). Rothe, Christoph ; Rokkanen, Miikka ; Gerard, Francois . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11668.

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2016Ambiguity and the Tradeoff Theory of Capital Structure. (2016). Yermack, David ; Izhakian, Yehuda ; Zender, Jaime F. In: NBER Working Papers. RePEc:nbr:nberwo:22870.

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2016Circumventing the Zero Lower Bound with Monetary Policy Rules Based on Money. (2016). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:911.

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2016Targeting Constant Money Growth at the Zero Lower Bound. (2016). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:913.

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2016Money, Velocity, and the Stock Market. (2016). Serletis, Apostolos ; Pinno, Karl . In: Working Papers. RePEc:clg:wpaper:2016-33.

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2016An SVAR Approach to Evaluation of Monetary Policy in India: Solution to the Exchange Rate Puzzles in an Open Economy. (2016). Ghosh, Taniya ; Barnett, William ; Bhadury, Soumya Suvra . In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:5:d:10.1007_s11079-016-9403-2.

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2016Money and Output: Friedman and Schwartz Revisited. (2016). Ireland, Peter ; Belongia, Michael. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:48:y:2016:i:6:p:1223-1266.

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2016A Classical View of the Business Cycle. (2016). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:921.

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2016The Demand for Divisia Money: Theory and Evidence. (2016). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:937.

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2016A quantile-boosting approach to forecasting gold returns. (2016). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:38-55.

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2016Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach. (2016). Wohar, Mark ; Pierdzioch, Christian ; GUPTA, RANGAN ; Majumdar, Anandamayee . In: Working Papers. RePEc:pre:wpaper:201626.

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2016Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso. (2016). Xu, Ning ; Fisher, Timothy ; Hong, Jian . In: MPRA Paper. RePEc:pra:mprapa:71670.

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2016Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso. (2016). Xu, Ning ; Fisher, Timothy ; Hong, Jian . In: Papers. RePEc:arx:papers:1606.00142.

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2016Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01.

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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415.

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2016Credit and liquidity in interbank rates: A quadratic approach. (2016). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Dubecq, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:29-46.

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2016Unconventional monetary policies: a re-appraisal. (2016). BORIO, Claudio ; Zabai, Anna . In: BIS Working Papers. RePEc:bis:biswps:570.

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2016The response of euro area sovereign spreads to the ECB unconventional monetary policies. (2016). Dewachter, Hans ; Wijnandts, Jean-Charles ; Iania, Leonardo . In: Working Paper Research. RePEc:nbb:reswpp:201610-309.

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2016Deflation Risk and Implications for Life Insurers. (2016). Begin, Jean-Franois . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:46-:d:84409.

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2016Shrinkage estimation of dynamic panel data models with interactive fixed effects. (2016). Su, Liangjun ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:148-175.

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2016Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso. (2016). Su, Liangjun ; Qian, Junhui . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:86-109.

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2016Robust determination for the number of common factors in the approximate factor models. (2016). Wu, Jian Hong . In: Economics Letters. RePEc:eee:ecolet:v:144:y:2016:i:c:p:102-106.

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2016Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models. (2016). Kock, Anders Bredahl . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:71-85.

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2016Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank. (2016). Laséen, Stefan ; Soderstrom, Ulf ; Lundvall, Henrik ; Laseen, Stefan ; Iversen, Jens . In: Working Paper Series. RePEc:hhs:rbnkwp:0318.

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2016Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank. (2016). Laséen, Stefan ; Soderstrom, Ulf ; Lundvall, Henrik ; Iversen, Jens . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11203.

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2016Extracting the Information Shocks from the Bank of England Inflation Density Forecasts. (2016). Díaz, Carlos ; Vela, Carlos Diaz . In: Discussion Papers in Economics. RePEc:lec:leecon:16/13.

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

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2016Nowcasting using news topics Big Data versus big bank. (2016). Thorsrud, Leif. In: Working Papers. RePEc:bny:wpaper:0046.

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2016Forecast Disagreement and the Inflation Outlook: New International Evidence. (2016). Siklos, Pierre. In: IMES Discussion Paper Series. RePEc:ime:imedps:16-e-03.

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

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2016Cholesky Realized Stochastic Volatility Model. (2016). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1019.

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2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024.

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2016Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations . (2016). Yamauchi, Yuta ; Omori, Yasuhiro . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1029.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016Correlation changes between the risk-free rate and sovereign yields of euro area countries. (2016). De Santis, Roberto ; Stein, Michael ; Desantis, Roberto . In: Working Paper Series. RePEc:ecb:ecbwps:20161979.

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2016Consistent tests for poverty dominance relations. (2016). Hsu, Yu-Chin ; Barrett, Garry ; Donald, Stephen G. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:360-373.

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2016Income-Related Health Transfers Principles and Orderings of Joint Distributions of Income and Health. (2016). Yazbeck, Myra ; Makdissi, Paul ; Khaled, Mohamad. In: Discussion Papers Series. RePEc:qld:uq2004:574.

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2016Bayesian Assessment of Lorenz and Stochastic Dominance Using a Mixture of Gamma Densities. (2016). Lander, David ; Chotikapanich, Duangkamon ; Griffiths, William E ; Gunawan, David . In: Department of Economics - Working Papers Series. RePEc:mlb:wpaper:2023.

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2016Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen . In: MPRA Paper. RePEc:pra:mprapa:68931.

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2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model. (2016). Huang, Zhuo ; Wang, Tianyi ; Liu, Hao . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:812-821.

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2016The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility. (2016). Byun, Sung Je ; Je, Sung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:162-180.

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2016Semi-parametric estimation and forecasting for exogenous log-GARCH models. (2016). Chen, Ming ; Song, Qiongxia . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:25:y:2016:i:1:d:10.1007_s11749-015-0442-6.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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2016Equation by equation estimation of the semi-diagonal BEKK model with covariates. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75582.

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2016Non-parameteric news impact curve: a variational approach. (2016). Goulet, Clement ; Garcin, Matthieu . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15086r.

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2016Kevin J. Fox Interview of W. Erwin Diewert. (2016). Fox, Kevin ; Diewert, Walter. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:erwin_diewert-2016-6.

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2016Age, Time, Vintage, and Price Indexes: Measuring the Depreciation Pattern of Houses. (2016). Syed, Iqbal ; de Haan, Jan . In: Discussion Papers. RePEc:swe:wpaper:2016-01.

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2016A newly identified source of potential CPI bias: Weekly versus monthly unit value price indexes. (2016). Fox, Kevin ; Diewert, Walter ; de Haan, Jan . In: Economics Letters. RePEc:eee:ecolet:v:141:y:2016:i:c:p:169-172.

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2016How to Better Measure Hedonic Residential Property Price Indexes. (2016). Silver, Mick. In: IMF Working Papers. RePEc:imf:imfwpa:16/213.

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2016The FEWS Index: Fixed Effects with a Window Splice. (2016). Frances, Krsinich . In: Journal of Official Statistics. RePEc:vrs:offsta:v:32:y:2016:i:2:p:375-404:n:9.

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2016Individual and time effects in nonlinear panel models with large N, T. (2016). Weidner, Martin ; Fernandez-Val, Ivan. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:291-312.

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

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2016Combining forecasts from successive data vintages: An application to U.S. growth. (2016). Hecq, Alain ; Götz, Thomas ; Urbain, Jean-Pierre ; Gotz, Thomas B. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:61-74.

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2016Order Invariant Evaluation of Multivariate Density Forecasts. (2016). Dovern, Jonas ; Manner, Hans . In: Working Papers. RePEc:awi:wpaper:0608.

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2016Identification and real-time forecasting of Norwegian business cycles. (2016). Ravazzolo, Francesco ; Aastveit, Knut Are ; Jore, Anne Sofie . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:283-292.

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2016Assessing the economic value of probabilistic forecasts in the presence of an inflation target. (2016). Wakerly, Elizabeth ; Vahey, Shaun ; Thamotheram, Craig ; McDonald, Christopher . In: CAMA Working Papers. RePEc:een:camaaa:2016-40.

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2016Assessing the economic value of probabilistic forecasts in the presence of an inflation target. (2016). Wakerly, Elizabeth ; Vahey, Shaun ; McDonald, Chris ; Thamotheram, Craig . In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2016/10.

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2016Robust Evaluation of Multivariate Density Forecasts. (2016). Dovern, Jonas ; Manner, Hans . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145547.

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2016Forecasting Czech GDP Using Mixed-Frequency Data Models. (2016). Rusnák, Marek ; Havrlant, David ; Franta, Michal . In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:12:y:2016:i:2:d:10.1007_s41549-016-0008-z.

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2016How accurate are professional forecasts in Asia? Evidence from ten countries. (2016). Deschamps, Bruno ; Costantini, Mauro ; Chen, Qiwei . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:154-167.

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2016Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters. (2016). Glas, Alexander ; Hartmann, Matthias . In: Working Papers. RePEc:awi:wpaper:0612.

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2016Long-run restrictions and survey forecasts of output, consumption and investment. (2016). Clements, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:614-628.

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2016ECB footprints on inflation forecast uncertainty. (2016). Makarova, Svetlana . In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-5.

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2016Are Macroeconomic Density Forecasts Informative?. (2016). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2016-02.

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2016Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency. (2016). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2016-08.

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2016Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters. (2016). Glas, Alexander ; Hartmann, Matthias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:215-228.

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

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2016Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters. (2016). Hartmann, Matthias ; Glas, Alexander . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145888.

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2016Mixture of functional linear models and its application to CO2-GDP functional data. (2016). Wu, Xing ; Huang, Mian ; Wang, Shaoli ; Yao, Weixin . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:97:y:2016:i:c:p:1-15.

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2016Robust resource adequacy planning in the face of coal retirements. (2016). Sowell, Fallaw ; Apt, Jay ; Lueken, Roger . In: Energy Policy. RePEc:eee:enepol:v:88:y:2016:i:c:p:371-388.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1504.03733.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico. In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

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2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme. (2016). Schwaab, Bernd ; Eser, Fabian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:147-167.

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2016From bond yield to macroeconomic instability: The effect of negative interest rates. (2016). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: Working Papers. RePEc:jau:wpaper:2016/06.

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2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. (2016). Lucas, Andre ; Zhang, Xin. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:293-302.

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2016Semiparametric score driven volatility models. (2016). Lucas, Andre ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion. (2016). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta . In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:133-147.

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2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. (2016). Siegmann, Arjen ; Lucas, Andre ; Lange, Rutger-Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160064.

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2016Bank Business Models at Zero Interest Rates. (2016). Schwaab, Bernd ; Lucas, Andre ; Schaumburg, Julia. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160066.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016Spillover dynamics for systemic risk measurement using spatial financial time series models. (2016). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:211-223.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2016Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series. (2016). YAYA, OLAOLUWA ; Olubusoye, Olusanya. In: OPEC Energy Review. RePEc:bla:opecrv:v:40:y:2016:i:3:p:235-262.

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2016ZD-GARCH model: a new way to study heteroscedasticity. (2016). Zhu, Ke ; Li, Dong ; Ling, Shiqing . In: MPRA Paper. RePEc:pra:mprapa:68621.

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2016Nonstationary GARCH with t-distributed innovations. (2016). Pedersen, Rasmus ; Rahbek, Anders . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:19-21.

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2016Linking Tukey’s legacy to financial risk measurement. (2016). Vijverberg, Wim ; Tapinar, Suleyman . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:595-615.

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2016Statistical inference for nonparametric GARCH models. (2016). Meister, Alexander ; Kreiss, Jens-Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:10:p:3009-3040.

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2016Asymptotics for parametric GARCH-in-Mean models. (2016). Conrad, Christian ; Mammen, Enno . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:319-329.

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2016Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim . In: MPRA Paper. RePEc:pra:mprapa:75770.

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2016Multivariate moments expansion density: Application of the dynamic equicorrelation model. (2016). Perote, Javier ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s216-s232.

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2016The benefits of improved covariance estimation. (2016). Turtle, H J ; Wang, Kainan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:233-246.

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Recent citations received in 2016
YearCiting document
2016Estimating Treatment Effects using Multiple Surrogates: The Role of the Surrogate Score and the Surrogate Index. (2016). Athey, Susan ; Kang, Hyunseung ; Imbens, Guido ; Chetty, Raj . In: Papers. RePEc:arx:papers:1603.09326.

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2016The State of Applied Econometrics - Causality and Policy Evaluation. (2016). Athey, Susan ; Imbens, Guido . In: Papers. RePEc:arx:papers:1607.00699.

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2016How Successful Was the New Deal? The Microeconomic Impact of New Deal Spending and Lending Policies in the 1930s. (2016). Fishback, Price. In: CAGE Online Working Paper Series. RePEc:cge:wacage:274.

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2016Political Foundations of the Lender of Last Resort: A Global Historical Narrative. (2016). Laeven, Luc ; Flandreau, Marc ; Calomiris, Charles . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11448.

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2016Doing More When Youre Running LATE: Applying Marginal Treatment Effect Methods to Examine Treatment Effect Heterogeneity in Experiments for the Young and Privately Insured?. (2016). Kowalski, Amanda. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2045.

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2016Doing more when youre running LATE: Applying marginal treatment effect methods to examine treatment effect heterogeneity in experiments. (2016). Kowalski, Amanda. In: Artefactual Field Experiments. RePEc:feb:artefa:00560.

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2016Nonparametric instrumental variable estimation under monotonicity. (2016). Wilhelm, Daniel ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:48/16.

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2016How Successful Was the New Deal? The Microeconomic Impact of New Deal Spending and Lending Policies in the 1930s. (2016). Fishback, Price. In: NBER Working Papers. RePEc:nbr:nberwo:21925.

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2016Doing More When Youre Running LATE: Applying Marginal Treatment Effect Methods to Examine Treatment Effect Heterogeneity in Experiments. (2016). Kowalski, Amanda. In: NBER Working Papers. RePEc:nbr:nberwo:22363.

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2016Balancing, Regression, Difference-In-Differences and Synthetic Control Methods: A Synthesis. (2016). Imbens, Guido ; Doudchenko, Nikolay . In: NBER Working Papers. RePEc:nbr:nberwo:22791.

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2016Progressive Universalism? The Impact of Targeted Coverage on Healthcare Access and Expenditures in Peru. (2016). O'Donnell, Owen ; Neelsen, Sven ; Odonnell, Owen . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160019.

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Recent citations received in 2015
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2015Tractable Term-Structure Models and the Zero Lower Bound. (2015). Feunou, Bruno ; Lundblad, Christian ; Le, Anh ; Fontaine, Jean-Sebastien . In: Staff Working Papers. RePEc:bca:bocawp:15-46.

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2015Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?. (2015). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio . In: Boston College Working Papers in Economics. RePEc:boc:bocoec:881.

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2015Dynamics of Global Business Cycles Interdependence. (2015). Leiva-Leon, Danilo ; Ductor, Lorenzo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:763.

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2015Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?. (2015). Serletis, Apostolos ; Istiak, Khandokar . In: Working Papers. RePEc:clg:wpaper:2015-17.

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2015Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy. (2015). D'Agostino, Antonello ; Cimadomo, Jacopo. In: Working Paper Series. RePEc:ecb:ecbwps:20151856.

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2015Forecasting copper prices with dynamic averaging and selection models. (2015). Buncic, Daniel ; Moretto, Carlo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:33:y:2015:i:c:p:1-38.

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2015Aggregate volatility expectations and threshold CAPM. (2015). ARISOY, Yakup. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:34:y:2015:i:c:p:231-253.

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2015Does money matter in the euro area? Evidence from a new Divisia index. (2015). Darvas, Zsolt. In: Economics Letters. RePEc:eee:ecolet:v:133:y:2015:i:c:p:123-126.

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2015Corruption and management practices: Firm level evidence. (2015). Goujard, Antoine ; Athanasouli, Daphne . In: Journal of Comparative Economics. RePEc:eee:jcecon:v:43:y:2015:i:4:p:1014-1034.

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2015Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor . In: Journal of Financial Economics. RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134.

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2015US monetary policy and sectoral commodity prices. (2015). Sousa, Ricardo ; Nguyen, Duc Khuong ; Hammoudeh, Shawkat . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:57:y:2015:i:c:p:61-85.

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2015The impact of commercial sweeping on the demand for monetary assets during the Great Recession. (2015). Jones, Barry ; Fleissig, Adrian R. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:45:y:2015:i:c:p:412-422.

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2015A real-time quantile-regression approach to forecasting gold returns under asymmetric loss. (2015). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian . In: Resources Policy. RePEc:eee:jrpoli:v:45:y:2015:i:c:p:299-306.

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2015Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?. (2015). Bulut, Levent. In: European Journal of Economic and Political Studies. RePEc:fat:fejeps:ejeps0130.

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2015The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure. (2015). Rubio-Ramirez, Juan F ; Caldara, Dario ; Arias, Jonas E.. In: International Finance Discussion Papers. RePEc:fip:fedgif:1131.

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2015Impact of No-arbitrage on Interest Rate Dynamics. (2015). Takamizawa, Hideyuki . In: Working Paper Series. RePEc:hit:hcfrwp:g-1-5.

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2015Money and Output: Friedman and Schwartz Revisited. (2015). Ireland, Peter ; Belongia, Michael. In: NBER Working Papers. RePEc:nbr:nberwo:21796.

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2015Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates. (2015). Wolter, James . In: Economics Series Working Papers. RePEc:oxf:wpaper:761.

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2015Modelling the Australian Dollar. (2015). Hambur, Jonathan ; Wright, Michelle ; Smith, Penelope ; Potter, Christopher ; Cockerell, Lynne . In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2015-12.

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2015The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure. (2015). Rubio-Ramirez, Juan F ; Caldara, Dario ; Arias, Jonas . In: 2015 Meeting Papers. RePEc:red:sed015:359.

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2015Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy. (2015). D'Agostino, Antonello . In: Working Papers. RePEc:stm:wpaper:7.

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2015The Dynamic Skellam Model with Applications. (2015). Lucas, Andre ; Koopman, Siem Jan ; André Lucas, ; Lit, Rutger . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140032.

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2015Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. (2015). Lucas, Andre ; Koopman, Siem Jan ; Lit, Rutger . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150076.

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2015Testing for Granger Causality in Large Mixed-Frequency VARs. (2015). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas. In: Research Memorandum. RePEc:unm:umagsb:2015036.

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2015Global Equity Market Volatility Spillovers: A Broader Role for the United States. (2015). Buncic, Daniel ; Gisler, Katja I. M., . In: Economics Working Paper Series. RePEc:usg:econwp:2015:08.

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2015Macroeconomic Factors and Equity Premium Predictability. (2015). Buncic, Daniel ; Tischhauser, Martin . In: Economics Working Paper Series. RePEc:usg:econwp:2015:22.

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2015Comparing predictive accuracy in small samples. (2015). Iacone, Fabrizio ; Coroneo, Laura. In: Discussion Papers. RePEc:yor:yorken:15/15.

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Recent citations received in 2014
YearCiting document
2014Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso. (2014). Kock, Anders ; Caner, Mehmet. In: CREATES Research Papers. RePEc:aah:create:2014-36.

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2014Inference in High-dimensional Dynamic Panel Data Models. (2014). Kock, Anders ; Tang, Haihan . In: CREATES Research Papers. RePEc:aah:create:2014-58.

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2014USING IMPUTATION TECHNIQUES TO EVALUATE STOPPING RULES IN ADAPTIVE SURVEY DESIGN. (2014). Reiter, Jerry ; Paiva, Thais . In: Working Papers. RePEc:cen:wpaper:14-40.

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2014Immmigration and Internal Mobility in Canada. (2014). Coulombe, Serge ; Beine, Michel . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4823.

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2014Financial indicators signalling correlation changes in sovereign bond markets. (2014). Stein, Michael ; De Santis, Roberto A.. In: Working Paper Series. RePEc:ecb:ecbwps:20141746.

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2014GARCH with omitted persistent covariate. (2014). Han, Heejoon ; Park, Joon Y.. In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:2:p:248-254.

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2014A bootstrap test for jumps in financial economics. (2014). Shin, Dong Wan ; Hwang, Eunju . In: Economics Letters. RePEc:eee:ecolet:v:125:y:2014:i:1:p:74-78.

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2014Long memory dynamics for multivariate dependence under heavy tails. (2014). Lucas, Andre ; Koopman, Siem Jan ; Janus, Pawel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:187-206.

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2014Recessions, Inequality, and Democratization. (2014). Maarek, Paul ; Dorsch, Michael. In: THEMA Working Papers. RePEc:ema:worpap:2014-19.

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2014Can spanned term structure factors drive stochastic yield volatility?. (2014). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Christensen, Jens H. E., . In: Working Paper Series. RePEc:fip:fedfwp:2014-03.

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2014Swiss unconventional monetary policy: lessons for the transmission of quantitative easing. (2014). Krogstrup, Signe ; Christensen, Jens ; Christensen, Jens H. E., . In: Working Paper Series. RePEc:fip:fedfwp:2014-18.

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2014What Drives Bank Funding Spreads?. (2014). Lewis, Kurt ; King, Thomas. In: Working Paper Series. RePEc:fip:fedhwp:wp-2014-23.

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2014On the role of recognition in consumer choice: A model comparison. (2014). Hilbig, Benjamin E.. In: Judgment and Decision Making. RePEc:jdm:journl:v:9:y:2014:i:1:p:51-57.

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2014Panel Data Analysis with Heterogeneous Dynamics. (2014). Okui, Ryo ; Yanagi, Takahide . In: KIER Working Papers. RePEc:kyo:wpaper:906.

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2014Wirtschaftliche Partnerschaftsabkommen (EPAs) der EU mit Afrika: Dominanz der EU Exportinteressen statt Partnerschaft auf Augenhöhe. (2014). Kohnert, Dirk. In: MPRA Paper. RePEc:pra:mprapa:56457.

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2014Horse trading? EU-African Economic Partnership Agreements (EPAs). (2014). Kohnert, Dirk. In: MPRA Paper. RePEc:pra:mprapa:57070.

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2014Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise. (2014). Zhang, BO ; Fang, Yue ; Zhao, Xujie ; Yu, Chao . In: MPRA Paper. RePEc:pra:mprapa:63293.

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2014The Distribution of Household Spending in Australia. (2014). Finlay, Richard ; Beech, Amy ; Dollman, Rosetta ; la Cava, Gianni . In: RBA Bulletin. RePEc:rba:rbabul:mar2014-02.

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2014Measuring Macroeconomic Uncertainty: US Inflation and Output Growth. (2014). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-04.

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2014Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics. (2014). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130063.

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2014Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. (2014). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140025.

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2014Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties. (2014). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; and André Lucas, . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140074.

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2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models. (2014). Schaumburg, Julia ; Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140107.

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2014Combined Density Nowcasting in an Uncertain Economic Environment. (2014). van Dijk, Herman ; Ravazzolo, Francesco ; Aastveit, Knut Are. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140152.

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2014A Nonparametric Test of Exogenous Participation in First-Price Auctions. (2014). Liu, Nianqing ; Luo, Yao . In: Working Papers. RePEc:tor:tecipa:tecipa-519.

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2014Spillover dynamics for systemic risk measurement using spatial financial time series models. (2014). Schaumburg, Julia ; Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco. In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100632.

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Recent citations received in 2013
YearCiting document
2013A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory. (2013). Nonejad, Nima . In: CREATES Research Papers. RePEc:aah:create:2013-24.

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2013Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling. (2013). Ng, Serena ; Wright, Jonathan H.. In: Journal of Economic Literature. RePEc:aea:jeclit:v:51:y:2013:i:4:p:1120-54.

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2013Long- versus medium-run identification in fractionally integrated VAR models. (2013). Weigand, Roland ; Weber, Enzo ; Tschernig, Rolf. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:29162.

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2013Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances. (2013). Luger, Richard ; Gungor, Sermin. In: Staff Working Papers. RePEc:bca:bocawp:13-16.

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2013Regime Switches in the Risk-Return Trade-Off. (2013). Marcellino, Massimiliano ; Guérin, Pierre ; Ghysels, Eric . In: Staff Working Papers. RePEc:bca:bocawp:13-51.

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2013Forecasting growth during the Great Recession: is financial volatility the missing ingredient?. (2013). Marsilli, Clément ; Ferrara, Laurent ; Ortega, J-P., . In: Working papers. RePEc:bfr:banfra:454.

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2013On the correlation between commodity and equity returns: implications for portfolio allocation. (2013). Lombardi, Marco. In: BIS Working Papers. RePEc:bis:biswps:420.

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2013Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section. (2013). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele. In: Working Paper. RePEc:bno:worpap:2013_19.

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2013Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach. (2013). Nakajima, Jouchi ; Kimura, Takeshi. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:13-e-7.

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2013Social Networks and Peer Effects at Work. (2013). Villeval, Marie Claire ; Lacroix, Guy ; Fortin, Bernard ; Beugnot, Julie. In: CIRANO Working Papers. RePEc:cir:cirwor:2013s-27.

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2013De Finetti Meets Ellsberg. (2013). Epstein, Larry ; Seo, Kyoungwon . In: CIRANO Working Papers. RePEc:cir:cirwor:2013s-35.

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2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility. (2013). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9312.

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2013Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?. (2013). Rossi, Barbara ; Kisacikoglu, Burcin ; Gürkaynak, Refet ; Gurkaynak, Refet S.. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9576.

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2013Regime Switches in the Risk-Return Trade-off. (2013). Marcellino, Massimiliano ; Guérin, Pierre ; Ghysels, Eric . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9698.

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2013The Allocation of Time in Sleep: a Social Network Model with Sampled Data. (2013). Patacchini, Eleonora ; Liu, Xiaodong ; Rainone, Edoardo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9752.

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2013On the Stationarity of Dynamic Conditional Correlation Models. (2013). Malongo, Hassan ; Fermanian, Jean-David . In: Working Papers. RePEc:crs:wpaper:2013-26.

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2013The effect of Teach for America on the distribution of student achievement in primary school: Evidence from a randomized experiment. (2013). Ozbeklik, Serkan ; Antecol, Heather ; Eren, Ozkan . In: Economics of Education Review. RePEc:eee:ecoedu:v:37:y:2013:i:c:p:113-125.

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2013Now-Casting and the Real-Time Data Flow. (2013). Babura, Marta ; Reichlin, Lucrezia ; Modugno, Michele ; Giannone, Domenico . In: Handbook of Economic Forecasting. RePEc:eee:ecofch:2-195.

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2013Efficient estimation of partially linear varying coefficient models. (2013). Ouyang, Min ; Long, Wei ; Shang, Ying . In: Economics Letters. RePEc:eee:ecolet:v:121:y:2013:i:1:p:79-81.

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2013Moving average stochastic volatility models with application to inflation forecast. (2013). Chan, Joshua ; Chan, Joshua C. C., . In: Journal of Econometrics. RePEc:eee:econom:v:176:y:2013:i:2:p:162-172.

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2013Time-varying combinations of predictive densities using nonlinear filtering. (2013). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica. In: Journal of Econometrics. RePEc:eee:econom:v:177:y:2013:i:2:p:213-232.

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2013Complete subset regressions. (2013). Elliott, Graham ; Timmermann, Allan ; Gargano, Antonio . In: Journal of Econometrics. RePEc:eee:econom:v:177:y:2013:i:2:p:357-373.

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2013Optimal choice of a reserve price under uncertainty. (2013). Kim, Dong-Hyuk . In: International Journal of Industrial Organization. RePEc:eee:indorg:v:31:y:2013:i:5:p:587-602.

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2013Changes in predictive ability with mixed frequency data. (2013). Galvão, Ana ; Galvo, Ana Beatriz . In: International Journal of Forecasting. RePEc:eee:intfor:v:29:y:2013:i:3:p:395-410.

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2013Dynamic relationship between precious metals. (2013). Sensoy, Ahmet ; Şensoy, Ahmet. In: Resources Policy. RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511.

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2013The effect of noncognitive ability on the earnings of young men: A distributional analysis with measurement error correction. (2013). Ozbeklik, Serkan ; Eren, Ozkan . In: Labour Economics. RePEc:eee:labeco:v:24:y:2013:i:c:p:293-304.

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2013Alternative econometric implementations of multi-factor models of the U.S. financial markets. (2013). Ravazzolo, Francesco ; Guidolin, Massimo ; Tortora, Andrea Donato . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:53:y:2013:i:2:p:87-111.

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2013Risk and return in the Tehran stock exchange. (2013). Jahan-Parvar, Mohammad ; Mohammadi, Hassan . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:53:y:2013:i:3:p:238-256.

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2013A review of recent theoretical and empirical analyses of asymmetric information in road safety and automobile insurance. (2013). Pinquet, Jean ; Michaud, Pierre-Carl ; Dionne, Georges. In: Research in Transportation Economics. RePEc:eee:retrec:v:43:y:2013:i:1:p:85-97.

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2013Greece in recession: economic predictions, mispredictions and policy implications. (2013). Prodromidis, Prodromos ; Petralias, Athanassios ; Petros, Sotirios . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:52626.

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2013Modeling the impact of forecast-based regime switches on macroeconomic time series. (2013). Paap, Richard ; Bel, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:40884.

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2013Social Networks and Peer Effects at Works. (2013). Villeval, Marie Claire ; Lacroix, Guy ; Fortin, Bernard ; Beugnot, Julie. In: Working Papers. RePEc:gat:wpaper:1323.

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2013Greece in Recession: Economic predictions, mispredictions and policy implications. (2013). Prodromidis, Prodromos ; Petralias, Athanassios ; Petros, Sotirios . In: GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe. RePEc:hel:greese:75.

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2013Social Networks and Peer Effects at Work. (2013). Villeval, Marie Claire ; Lacroix, Guy ; Fortin, Bernard ; Beugnot, Julie. In: IZA Discussion Papers. RePEc:iza:izadps:dp7521.

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2013Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes. (2013). Barsoum, Fady ; Stankiewicz, Sandra . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1310.

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2013Social Networks and Peer Effects at Work. (2013). Villeval, Marie Claire ; Lacroix, Guy ; Fortin, Bernard ; Beugnot, Julie. In: Cahiers de recherche. RePEc:lvl:lacicr:1320.

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2013The Allocation of Time in Sleep: A Social Network Model with Sampled Data. (2013). Patacchini, Eleonora ; Liu, Xiaodong ; Rainone, Edoardo . In: Center for Policy Research Working Papers. RePEc:max:cprwps:162.

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2013Mixed Data Kernel Copulas. (2013). Racine, Jeffrey. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2013-12.

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2013“They do know what they are doing... at least most of them.” Asymmetric Information in the (private) Disability Insurance. (2013). . In: MEA discussion paper series. RePEc:mea:meawpa:12260.

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2013“They do know what they are doing... at least most of them.†Asymmetric Information in the (private) Disability Insurance. (2013). Spindler, Martin. In: MEA discussion paper series. RePEc:mea:meawpa:201209.

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2013Non- and Semi-Parametric Panel Data Models: A Selective Review. (2013). Li, Degui ; GAO, Jiti ; Chen, Jia. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2013-18.

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2013In the Shadow of a Giant: Medicares Influence on Private Physician Payments. (2013). Gottlieb, Joshua ; Clemens, Jeffrey. In: NBER Working Papers. RePEc:nbr:nberwo:19503.

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2013Estimation of a sparse group of sparse vectors. (2013). Abramovich, Felix ; Grinshtein, Vadim . In: Biometrika. RePEc:oup:biomet:v:100:y:2013:i:2:p:355-370.

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2013Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks. (2013). Chen, Shiu-Sheng. In: MPRA Paper. RePEc:pra:mprapa:49240.

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2013Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises. (2013). Jimenez-Martin, Juan ; Caporin, Massimiliano ; Gonzalez-Serrano, Lydia . In: MPRA Paper. RePEc:pra:mprapa:50940.

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2013A bootstrapped spectral test for adequacy in weak ARMA models. (2013). Zhu, Ke ; Li, Wai-Keung . In: MPRA Paper. RePEc:pra:mprapa:51224.

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2013Markov-Switching Quantile Autoregression. (2013). Liu, Xiaochun. In: MPRA Paper. RePEc:pra:mprapa:55800.

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2013Mixed Data Kernel Copulas. (2013). Racine, Jeffrey. In: Working Paper Series. RePEc:rim:rimwps:46_13.

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2013Structural Evolution of the Postwar U.S. Economy. (2013). Morley, James ; Liu, Yuelin. In: Discussion Papers. RePEc:swe:wpaper:2013-15a.

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2013Forecasting yield spreads under crisis-induced multiple breakpoints. (2013). Guidolin, Massimo ; Grazzini, Caterina Forti. In: Applied Economics Letters. RePEc:taf:apeclt:v:20:y:2013:i:18:p:1656-1664.

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