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Journal of Forecasting / John Wiley & Sons, Ltd.


0.61

Impact Factor

0.7

5-Years IF

29

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
19930.11000 (%)0.06
19940.12000 (%)0.05
19950.2000 (%)0.07
19960.24000 (%)0.09
19970.280200 (%)0.09
19980.29000 (%)0.1
19990.320300 (%)0.13
20000.40100 (%)0.15
20010.43838130.3437200 (%)70.180.15
20020.320.420.323169220.3218038123812 (%)30.10.18
20030.420.440.422897430.4424069296929 (%)40.140.19
20040.220.490.3335132410.3161259139732 (%)70.20.2
20050.810.520.73321641140.7276635113297 (%)80.250.21
20060.460.520.5233197950.48267673116485 (%)40.120.2
20070.480.450.62322291420.62223653115998 (%)10.030.18
20080.60.480.78412702120.795236539160124 (%)110.270.2
20091.380.481.13433133110.9924373101173196 (%)50.120.19
20100.740.460.73403532790.793338462181133 (%)200.50.17
20111.10.520.97363893560.922218391189183 (%)100.280.2
20120.880.560.85394283420.81197667192163 (%)70.180.21
20130.810.631.18564845071.052157561199234 (%)340.610.22
20140.670.670.94435274940.94889564214201 (%)190.440.22
20150.730.740.93445714830.85469972214199 (%)90.20.23
20160.610.980.7346054620.7698753218153 (%)20.060.3
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
12004Combination forecasts of output growth in a seven-country data set. (2004). Watson, Mark ; Stock, James. In: Journal of Forecasting. RePEc:jof:jforec:v:23:y:2004:i:6:p:405-430.

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292
22013Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?. (2013). Kilian, Lutz ; Hicks, Bruce . In: Journal of Forecasting. RePEc:wly:jforec:v:32:y:2013:i:5:p:385-394.

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82
32008Forecasting with panel data. (2008). Baltagi, Badi. In: Journal of Forecasting. RePEc:jof:jforec:v:27:y:2008:i:2:p:153-173.

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81
42007Forecasting German GDP using alternative factor models based on large datasets. (2007). Schumacher, Christian. In: Journal of Forecasting. RePEc:jof:jforec:v:26:y:2007:i:4:p:271-302.

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81
52001Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order.. (2001). Kilian, Lutz. In: Journal of Forecasting. RePEc:jof:jforec:v:20:y:2001:i:3:p:161-79.

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80
62008Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model. (2008). McAleer, Michael ; da Veiga, Bernardo. In: Journal of Forecasting. RePEc:jof:jforec:v:27:y:2008:i:1:p:1-19.

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77
72008Single-index and portfolio models for forecasting value-at-risk thresholds. (2008). McAleer, Michael ; da Veiga, Bernardo. In: Journal of Forecasting. RePEc:jof:jforec:v:27:y:2008:i:3:p:217-235.

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76
82008Scalar BEKK and indirect DCC. (2008). McAleer, Michael ; Caporin, Massimiliano. In: Journal of Forecasting. RePEc:jof:jforec:v:27:y:2008:i:6:p:537-549.

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71
92008How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach. (2008). Ziegler, Christina ; Eickmeier, Sandra. In: Journal of Forecasting. RePEc:jof:jforec:v:27:y:2008:i:3:p:237-265.

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70
102005Forecasting recessions using the yield curve. (2005). Potter, Simon ; Chauvet, Marcelle. In: Journal of Forecasting. RePEc:jof:jforec:v:24:y:2005:i:2:p:77-103.

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62
112010Combining inflation density forecasts. (2010). Ravazzolo, Francesco ; Kascha, Christian. In: Journal of Forecasting. RePEc:jof:jforec:v:29:y:2010:i:1-2:p:231-250.

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61
122004Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation. (2004). Rajaguru, Gulasekaran ; Abeysinghe, Tilak. In: Journal of Forecasting. RePEc:jof:jforec:v:23:y:2004:i:6:p:431-447.

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57
132006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check. (2006). Saltoğlu, Burak ; Lee, Tae Hwy ; Bao, Yong. In: Journal of Forecasting. RePEc:jof:jforec:v:25:y:2006:i:2:p:101-128.

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57
142011Forecasting private consumption: survey‐based indicators vs. Google trends. (2011). Vosen, Simeon ; Schmidt, Torsten. In: Journal of Forecasting. RePEc:jof:jforec:v:30:y:2011:i:6:p:565-578.

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56
152008Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data. (2008). Diron, Marie. In: Journal of Forecasting. RePEc:jof:jforec:v:27:y:2008:i:5:p:371-390.

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54
162009Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise. (2009). Rua, António ; Rünstler, Gerhard ; Barhoumi, Karim ; Jakaitiene, Audrone ; Reijer, Ard ; Cristadoro, Riccardo ; Benk, Szilard ; Den Reijer, A. ; Jelonek, P. ; Ruth, K. ; Runstler, G. ; Van Nieuwenhuyze, C.. In: Journal of Forecasting. RePEc:jof:jforec:v:28:y:2009:i:7:p:595-611.

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53
172001Evaluating the Predictive Accuracy of Volatility Models.. (2001). Lopez, Jose. In: Journal of Forecasting. RePEc:jof:jforec:v:20:y:2001:i:2:p:87-109.

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52
182004Vector smooth transition regression models for US GDP and the composite index of leading indicators. (2004). Camacho, Maximo. In: Journal of Forecasting. RePEc:jof:jforec:v:23:y:2004:i:3:p:173-196.

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52
192003Volatility forecasting for risk management. (2003). Brooks, Chris ; Persand, Gita . In: Journal of Forecasting. RePEc:jof:jforec:v:22:y:2003:i:1:p:1-22.

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47
202010Dynamic probit models and financial variables in recession forecasting. (2010). Nyberg, Henri. In: Journal of Forecasting. RePEc:jof:jforec:v:29:y:2010:i:1-2:p:215-230.

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47
212006Autoregressive gamma processes. (2006). Jasiak, Joann ; gourieroux, christian. In: Journal of Forecasting. RePEc:jof:jforec:v:25:y:2006:i:2:p:129-152.

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42
222010Are disaggregate data useful for factor analysis in forecasting French GDP?. (2010). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier. In: Journal of Forecasting. RePEc:jof:jforec:v:29:y:2010:i:1-2:p:132-144.

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42
232001Forecasting with k-Factor Gegenbauer Processes: Theory and Applications.. (2001). GUEGAN, Dominique ; Ferrara, Laurent. In: Journal of Forecasting. RePEc:jof:jforec:v:20:y:2001:i:8:p:581-601.

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37
242003Selection of Value-at-Risk models. (2003). Thomas, Susan ; Shah, Ajay. In: Journal of Forecasting. RePEc:jof:jforec:v:22:y:2003:i:4:p:337-358.

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37
252007The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries. (2007). Golinelli, Roberto ; Parigi, Giuseppe . In: Journal of Forecasting. RePEc:jof:jforec:v:26:y:2007:i:2:p:77-94.

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34
262002A Threshold Stochastic Volatility Model.. (2002). Lam, K ; Li, W K ; So, Mike K P, . In: Journal of Forecasting. RePEc:jof:jforec:v:21:y:2002:i:7:p:473-500.

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34
272002The Performance of Non-linear Exchange Rate Models: A Forecasting Comparison.. (2002). Marrocu, Emanuela ; Boero, Gianna. In: Journal of Forecasting. RePEc:jof:jforec:v:21:y:2002:i:7:p:513-42.

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32
282004Can out-of-sample forecast comparisons help prevent overfitting?. (2004). Clark, Todd. In: Journal of Forecasting. RePEc:jof:jforec:v:23:y:2004:i:2:p:115-139.

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31
292004Forecasting football results and the efficiency of fixed-odds betting. (2004). Goddard, John ; ASIMAKOPOULOS, IOANNIS. In: Journal of Forecasting. RePEc:jof:jforec:v:23:y:2004:i:1:p:51-66.

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29
302007Forecasting the price of crude oil via convenience yield predictions. (2007). Knetsch, Thomas. In: Journal of Forecasting. RePEc:jof:jforec:v:26:y:2007:i:7:p:527-549.

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29
312011Bootstrap prediction bands for forecast paths from vector autoregressive models. (2011). Staszewska-Bystrova, Anna ; StaszewskaBystrova, Anna . In: Journal of Forecasting. RePEc:jof:jforec:v:30:y:2011:i:8:p:721-735.

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27
322006Building neural network models for time series: a statistical approach. (2006). Teräsvirta, Timo ; Medeiros, Marcelo ; Rech, Gianluigi . In: Journal of Forecasting. RePEc:jof:jforec:v:25:y:2006:i:1:p:49-75.

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27
332001A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate.. (2001). Brooks, Chris. In: Journal of Forecasting. RePEc:jof:jforec:v:20:y:2001:i:2:p:135-43.

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27
342010Do experts adjustments on model-based SKU-level forecasts improve forecast quality?. (2010). Franses, Philip Hans ; Legerstee, Rianne . In: Journal of Forecasting. RePEc:jof:jforec:v:29:y:2010:i:3:p:331-340.

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27
352004Finding good predictors for inflation: a Bayesian model averaging approach. (2004). Karlsson, Sune ; Jacobson, Tor. In: Journal of Forecasting. RePEc:jof:jforec:v:23:y:2004:i:7:p:479-496.

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25
362009Forecasting US inflation by Bayesian model averaging. (2009). Wright, Jonathan. In: Journal of Forecasting. RePEc:jof:jforec:v:28:y:2009:i:2:p:131-144.

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24
372005Nowcasting quarterly GDP growth in a monthly coincident indicator model. (2005). Nunes, Luis. In: Journal of Forecasting. RePEc:jof:jforec:v:24:y:2005:i:8:p:575-592.

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24
382001Testing in Unobserved Components Models.. (2001). Harvey, Andrew. In: Journal of Forecasting. RePEc:jof:jforec:v:20:y:2001:i:1:p:1-19.

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23
392005Prediction intervals for exponential smoothing using two new classes of state space models. (2005). Snyder, Ralph ; Ord, Keith ; Hyndman, Rob ; Koehler, Anne B.. In: Journal of Forecasting. RePEc:jof:jforec:v:24:y:2005:i:1:p:17-37.

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23
402003From forecasting to foresight processes-new participative foresight activities in Germany. (2003). Cuhls, Kerstin . In: Journal of Forecasting. RePEc:jof:jforec:v:22:y:2003:i:2-3:p:93-111.

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23
412001Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection.. (2001). Swanson, Norman ; Zeng, Tian . In: Journal of Forecasting. RePEc:jof:jforec:v:20:y:2001:i:6:p:425-40.

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22
422005The multi-chain Markov switching model. (2005). Otranto, Edoardo. In: Journal of Forecasting. RePEc:jof:jforec:v:24:y:2005:i:7:p:523-537.

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22
432011Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK. (2011). Labhard, Vincent ; Caggiano, Giovanni ; Kapetanios, George . In: Journal of Forecasting. RePEc:jof:jforec:v:30:y:2011:i:8:p:736-752.

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21
442002An Outlier Robust GARCH Model and Forecasting Volatility of Exchange Rate Returns.. (2002). Park, Beum Jo. In: Journal of Forecasting. RePEc:jof:jforec:v:21:y:2002:i:5:p:381-93.

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21
452002Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency.. (2002). Wilson, Patrick ; Okunev, John ; Zurbruegg, Ralf . In: Journal of Forecasting. RePEc:jof:jforec:v:21:y:2002:i:3:p:181-92.

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21
462001Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment.. (2001). Hall, Stephen ; Liu, Hong. In: Journal of Forecasting. RePEc:jof:jforec:v:20:y:2001:i:6:p:441-49.

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21
472006The evolution of sales forecasting management: a 20-year longitudinal study of forecasting practices. (2006). Davis, Donna F. ; MCCARTHY, TERESA M. ; Golicic, Susan L. ; Mentzer, John T.. In: Journal of Forecasting. RePEc:jof:jforec:v:25:y:2006:i:5:p:303-324.

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21
482007Forecasting inflation using economic indicators: the case of France. (2007). DE BANDT, OLIVIER ; Flageollet, A. ; Michaux, E. ; Bruneau, C.. In: Journal of Forecasting. RePEc:jof:jforec:v:26:y:2007:i:1:p:1-22.

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20
492007Comparing density forecast models Previous versions of this paper have been circulated with the title, A Test for Density Forecast Comparison with Applications to Risk Management since October 2003; s. (2007). Saltoğlu, Burak ; Lee, Tae Hwy ; Bao, Yong ; Burak Saltoğlu, . In: Journal of Forecasting. RePEc:jof:jforec:v:26:y:2007:i:3:p:203-225.

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20
502003On SETAR non-linearity and forecasting. (2003). van Dijk, Dick ; Smith, Jeremy ; Franses, Philip Hans ; Clements, Michael. In: Journal of Forecasting. RePEc:jof:jforec:v:22:y:2003:i:5:p:359-375.

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20

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


#YearTitleCited
1200479
2200868
32013Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?. (2013). Kilian, Lutz ; Hicks, Bruce . In: Journal of Forecasting. RePEc:wly:jforec:v:32:y:2013:i:5:p:385-394.

Full description at Econpapers || Download paper

40
4201128
5200925
6201019
7200518
8200716
9200115
10201015
11201013
12200612
13200812
14200911
15200811
16200210
17200610
182013The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach. (2013). Asgharian, Hossein ; Hou, Aijun ; Javed, Farrukh . In: Journal of Forecasting. RePEc:wly:jforec:v:32:y:2013:i:7:p:600-612.

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9
192013Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis. (2013). Hassani, Hossein ; Zhigljavsky, Anatoly ; Heravi, Saeed . In: Journal of Forecasting. RePEc:wly:jforec:v:32:y:2013:i:5:p:395-408.

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9
2020119
2120019
2220089
2320119
242014Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany. (2014). Wohlrabe, Klaus ; Buchen, Teresa . In: Journal of Forecasting. RePEc:wly:jforec:v:33:y:2014:i:4:p:231-242.

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9
252013The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting. (2013). Louzis, Dimitrios ; Refenes, Apostolos P. ; XanthopoulosSisinis, Spyros . In: Journal of Forecasting. RePEc:wly:jforec:v:32:y:2013:i:6:p:561-576.

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9
2620119
272012Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis. (2012). Feldkircher, Martin. In: Journal of Forecasting. RePEc:wly:jforec:v:31:y:2012:i:4:p:361-376.

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8
2820118
292013Nowcasting with Google Trends in an Emerging Market. (2013). Labbé, Felipe ; Carrière-Swallow, Yan ; CarriereSwallow, Yan . In: Journal of Forecasting. RePEc:wly:jforec:v:32:y:2013:i:4:p:289-298.

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8
3020108
3120087
322012The Role of Financial Variables in predicting economic activity. (2012). Lombardi, Marco ; Fornari, Fabio ; Espinoza, Raphael. In: Journal of Forecasting. RePEc:wly:jforec:v:31:y:2012:i:1:p:15-46.

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7
3320037
3420047
3520047
362013Forecasting Private Consumption by Consumer Surveys. (2013). Kholodilin, Konstantin ; Dreger, Christian. In: Journal of Forecasting. RePEc:wly:jforec:v:32:y:2013:i:1:p:10-18.

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6
3720106
3820046
3920086
4020116
412014Hierarchical Shrinkage in Time‐Varying Parameter Models. (2014). Koop, Gary ; Korobilis, Dimitris ; Miguel A. G. Belmonte, . In: Journal of Forecasting. RePEc:wly:jforec:v:33:y:2014:i:1:p:80-94.

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6
4220086
4320056
4420086
452014Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union. (2014). Marcellino, Massimiliano ; Rychalovska, Yuliya . In: Journal of Forecasting. RePEc:wly:jforec:v:33:y:2014:i:5:p:315-338.

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6
462015Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models. (2015). Luciani, Matteo ; Veredas, David . In: Journal of Forecasting. RePEc:wly:jforec:v:34:y:2015:i:3:p:163-176.

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6
4720036
4820096
492012Exploring Survey‐Based Inflation Forecasts. (2012). Pérez de Gracia, Fernando ; Moreno, Antonio ; Gil-Alana, Luis ; GilAlana, Luis . In: Journal of Forecasting. RePEc:wly:jforec:v:31:y:2012:i:6:p:524-539.

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5
502012The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks. (2012). Gallagher, Liam ; Garvey, John F.. In: Journal of Forecasting. RePEc:wly:jforec:v:31:y:2012:i:7:p:639-660.

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5

Citing documents used to compute impact factor 53:


YearTitle
2016Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach. (2016). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:785.

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2016Evaluating a Leading Indicator: An Application: the Term Spread. (2016). Stekler, Herman ; Ye, Tianyu . In: Working Papers. RePEc:gwc:wpaper:2016-004.

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2016Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data. (2016). Wohar, Mark ; Plakandaras, Vasilios ; GUPTA, RANGAN ; Cunado, Juncal . In: Working Papers. RePEc:pre:wpaper:201685.

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2016A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models. (2016). Calabrese, Raffaella ; Andreeva, Galina ; Osmetti, Silvia Angela . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:506-516.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016Informing management on the future structure of hospital care: an extrapolation of trends in demand and costs in lung diseases. (2016). Leidl, Reiner ; Vogl, Matthias . In: The European Journal of Health Economics. RePEc:spr:eujhec:v:17:y:2016:i:4:d:10.1007_s10198-015-0699-4.

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2016The impact of uncertainty on professional exchange rate forecasts. (2016). Czudaj, Robert ; Beckmann, Joscha. In: Ruhr Economic Papers. RePEc:zbw:rwirep:637.

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2016The Term Premium as a Leading Macroeconomic Indicator. (2016). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis. In: Working Papers. RePEc:pre:wpaper:201613.

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2016Unveiling covariate inclusion structures in economic growth regressions using latent class analysis. (2016). Moser, Mathias ; Humer, Stefan ; Crespo Cuaresma, Jesus ; Grun, Bettina ; Hofmarcher, Paul . In: European Economic Review. RePEc:eee:eecrev:v:81:y:2016:i:c:p:189-202.

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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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2016Joint Prediction Bands for Macroeconomic Risk Management. (2016). Maih, Junior ; Binning, Andrew ; Akram, Qaisar. In: Working Papers. RePEc:bny:wpaper:0045.

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2016Joint prediction bands for macroeconomic risk management. (2016). Maih, Junior ; Binning, Andrew ; Akram, Qaisar. In: Working Paper. RePEc:bno:worpap:2016_07.

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2016The joint dynamics of sovereign ratings and government bond yields. (2016). von Schweinitz, Gregor ; El-Shagi, Makram. In: Discussion Papers. RePEc:zbw:bubdps:132016.

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2016Much ado about nothing: Sovereign ratings and government bond yields in the OECD. (2016). El-Shagi, Makram. In: IWH Discussion Papers. RePEc:zbw:iwhdps:222016.

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2016Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105.

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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

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2016An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments. (2016). Chatrath, Arjun ; Wang, Tianyang ; Ramchander, Sanjay ; Miao, Hong . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:213-223.

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2016The common factor in idiosyncratic volatility: Quantitative asset pricing implications. (2016). Van Nieuwerburgh, Stijn ; Herskovic, Bernard ; Lustig, Hanno ; Kelly, Bryan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:2:p:249-283.

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2016Semi-parametric accelerated hazard relational models with applications to mortality projections. (2016). Denuit, Michel ; Cadena, Meitner . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:1-16.

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2016Forecasting Population and Demographic Composition of Kuwait Until 2030. (2016). Gulseven, Osman . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-20.

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2016A tour of regression models for explaining shares. (2016). THOMAS-AGNAN, Christine ; Morais, Joanna ; Simioni, Michel . In: TSE Working Papers. RePEc:tse:wpaper:31265.

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2016Anchoring of inflation expectations in the euro area: recent evidence based on survey data. (2016). Łyziak, Tomasz ; Paloviita, Maritta . In: Working Paper Series. RePEc:ecb:ecbwps:20161945.

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2016Models for optimising the theta method and their relationship to state space models. (2016). Fiorucci, Jose A ; Louzada, Francisco ; Pellegrini, Tiago R ; Petropoulos, Fotios ; Koehler, Anne B. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1151-1161.

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

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2016Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index. (2016). Jothimani, Dhanya ; Yadav, Surendra S ; Shankar, Ravi . In: Papers. RePEc:arx:papers:1605.07278.

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2016Wavelet-based methods for high-frequency lead-lag analysis. (2016). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232.

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

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

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2016Predicting Finnish economic activity using firm-level data. (2016). Fornaro, Paolo. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:10-19.

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2016Short term prediction of extreme returns based on the recurrence interval analysis. (2016). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhou, Wei-Xing ; Stanley, Eugene H ; Xie, Chi ; Podobnik, Boris ; Canabarro, Askery . In: Papers. RePEc:arx:papers:1610.08230.

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2016How informative are aggregated inflation expectations? Evidence from the ECB Survey of Professional Forecasters. (2016). Oinonen, Sami ; Paloviita, Maritta . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_015.

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2016Do ‘big losses’ in judgmental adjustments to statistical forecasts affect experts’ behaviour?. (2016). Goodwin, Paul ; Petropoulos, Fotios ; Fildes, Robert . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:3:p:842-852.

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2016Forecasting exchange rates under parameter and model uncertainty. (2016). Beckmann, Joscha ; Schussler, Rainer . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:267-288.

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2016Forecasting the Polish Inflation Using Bayesian VAR Models with Seasonality. (2016). Szafrański, Grzegorz ; Stelmasiak, Damian ; Szafraski, Grzegorz . In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:8:y:2016:i:1:p:21-42.

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2016A note on the identification and transmission of energy demand and supply shocks. (2016). Michelle, Gilmartin . In: MPRA Paper. RePEc:pra:mprapa:76186.

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2016The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach. (2016). Wohar, Mark ; GUPTA, RANGAN ; Majumdar, Anandamayee . In: Working Papers. RePEc:pre:wpaper:201612.

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2016Modelling and trading the English stock market with novelty optimization techniques. (2016). Karathanasopoulos, Andreas . In: Economics and Business Letters. RePEc:ove:journl:aid:11075.

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2016Day of the week effect in paper submission/acceptance/rejection to/in/by peer review journals. (2016). ausloos, marcel ; Dekanski, Aleksandar ; Nedic, Olgica . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:197-203.

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2016Investor mood, herding and the Ramadan effect. (2016). Gavriilidis, Konstantinos ; Tsalavoutas, Ioannis ; Kallinterakis, Vasileios . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:132:y:2016:i:s:p:23-38.

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2016Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching. (2016). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas . In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:559-571.

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2016Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy. (2016). de Menezes, Fernando . In: Working Papers Series. RePEc:bcb:wpaper:424.

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2016Does foreign sector help forecast domestic variables in DSGE models?. (2016). Rubaszek, Michał ; Kolasa, Marcin. In: Working Papers. RePEc:sgh:kaewps:2016022.

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2016Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.. (2016). Peel, David ; Promponas, Pantelis . In: Working Papers. RePEc:lan:wpaper:144439514.

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2016Does foreign sector help forecast domestic variables in DSGE models?. (2016). Rubaszek, Michał ; Kolasa, Marcin. In: EcoMod2016. RePEc:ekd:009007:9393.

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2016A quasi real-time leading indicator for the EU industrial production. (2016). Donadelli, Michael ; Riedel, Max ; Paradiso, Antonio . In: SAFE Working Paper Series. RePEc:zbw:safewp:118r.

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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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2016Boosting und die Prognose der deutschen Industrieproduktion: Was verrät uns der Blick in die Details?. (2016). Wohlrabe, Klaus ; Lehmann, Robert. In: Ifo Schnelldienst. RePEc:ces:ifosdt:v:69:y:2016:i:03:p:30-33.

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2016Informing management on the future structure of hospital care: an extrapolation of trends in demand and costs in lung diseases. (2016). Leidl, Reiner ; Vogl, Matthias . In: The European Journal of Health Economics. RePEc:spr:eujhec:v:17:y:2016:i:4:d:10.1007_s10198-015-0699-4.

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2016A comparison of AdaBoost algorithms for time series forecast combination. (2016). Barrow, Devon K ; Crone, Sven F. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1103-1119.

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2016Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices. (2016). Sermpinis, Georgios ; Psaradellis, Ioannis . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1268-1283.

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2016Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case. (2016). Bello, Antonio ; Muoz, Antonio ; Reneses, Javier . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:3:p:193-:d:65782.

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2016Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case. (2016). Bello, Antonio ; Muoz, Antonio ; Reneses, Javier . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:3:p:193:d:65782.

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2016Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging. (2016). Weron, Rafał ; Nowotarski, Jakub ; Maciejowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:957-965.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Financial Cycles and Macroprudential and Monetary Policies. (2016). Hlaváček, Michal ; Seidler, Jakub ; Plasil, Miroslav ; Frait, Jan ; Malovana, Simona ; Kejak, Michal ; Mateju, Jakub ; Audzei, Volha ; Hlavac, Petr . In: Occasional Publications - Edited Volumes. RePEc:cnb:ocpubv:rb14/2.

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2016Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. (2016). Alonso-Garcia, J ; Devolder, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:224-236.

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Recent citations received in 2015

YearCiting document
2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting. (2015). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/200436.

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2015Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance. (2015). McAleer, Michael ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:251-262.

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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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2015Predicting Recessions With Boosted Regression Trees. (2015). Pierdzioch, Christian ; Fritsche, Ulrich ; Dopke, Jorg . In: Working Papers. RePEc:gwc:wpaper:2015-004.

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2015Disagreement à la Taylor: Evidence from Survey Microdata. (2015). Lamla, Michael ; Dräger, Lena ; Drager, Lena . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201503.

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2015Predicting Recessions in Germany With Boosted Regression Trees. (2015). Pierdzioch, Christian ; Fritsche, Ulrich ; Dopke, Jorg . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201505.

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2015Disagreement à la Taylor: Evidence from Survey Microdata. (2015). Lamla, Michael ; Dräger, Lena ; Drager, Lena . In: KOF Working papers. RePEc:kof:wpskof:15-380.

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2015FloGARCH : Realizing long memory and asymmetries in returns volatility. (2015). Vander Elst, Harry. In: Working Paper Research. RePEc:nbb:reswpp:201504-280.

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2015Surfing through the GFC: systemic risk in Australia. (2015). Luciani, Matteo ; Dungey, Mardi ; Veredas, David ; Matei, Marius . In: Working Papers. RePEc:tas:wpaper:22658.

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Recent citations received in 2014

YearCiting document
2014Analysis of aggregated inflation expectations based on the ECB SPF survey. (2014). Oinonen, Sami ; Paloviita, Maritta . In: Research Discussion Papers. RePEc:bof:bofrdp:2014_029.

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2014Higher order beliefs and the dynamics of exchange rates. (2014). Raggi, Davide ; Pignataro, Giuseppe ; Pancotto, Francesca. In: Working Papers. RePEc:bol:bodewp:wp957.

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2014Forecasting Exchange Rates under Model and Parameter Uncertainty. (2014). Beckmann, Joscha ; Schussler, Rainer . In: CQE Working Papers. RePEc:cqe:wpaper:3214.

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2014Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles. (2014). Kholodilin, Konstantin ; Herwartz, Helmut . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1405.

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2014Data-based priors for vector autoregressions with drifting coefficients. (2014). Korobilis, Dimitris. In: SIRE Discussion Papers. RePEc:edn:sirdps:567.

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2014Relevance of actors in bridging positions for product-related information diffusion. (2014). Spann, Martin ; Pescher, Christian . In: Journal of Business Research. RePEc:eee:jbrese:v:67:y:2014:i:8:p:1630-1637.

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2014Fast Computation of the Deviance Information Criterion for Latent Variable Models. (2014). Grant, Angelia ; Chan, Joshua ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2014-09.

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2014Stochastic Model Specification Search for Time-Varying Parameter VARs. (2014). Strachan, Rodney ; Eisenstat, Eric ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2014-23.

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2014Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach. (2014). Laurini, Márcio ; Neto, Armenio Westin . In: International Econometric Review (IER). RePEc:erh:journl:v:6:y:2014:i:2:p:77-99.

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2014Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach. (2014). Neto, Armenio Westin . In: International Econometric Review (IER). RePEc:erh:journl:v:6:y:2014:i:2:p:78-100.

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2014Data-based priors for vector autoregressions with drifting coefficients. (2014). Korobilis, Dimitris. In: Working Papers. RePEc:gla:glaewp:2014_04.

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2014Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?. (2014). Zeng, Jing . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1420.

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2014Data-based priors for vector autoregressions with drifting coefficients. (2014). Korobilis, Dimitris. In: MPRA Paper. RePEc:pra:mprapa:53772.

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2014An empirical examination of stock market integration in EMU. (2014). Matei, Florin . In: MPRA Paper. RePEc:pra:mprapa:60717.

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2014Stochastic Model Specification Search for Time-Varying Parameter VARs. (2014). Strachan, Rodney ; Eisenstat, Eric ; Joshua C. C. Chan, . In: Working Paper Series. RePEc:rim:rimwps:44_14.

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2014On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests. (2014). Miller, J. ; Ghysels, Eric . In: Working Papers. RePEc:umc:wpaper:1403.

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2014Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series. (2014). Miller, J.. In: Working Papers. RePEc:umc:wpaper:1412.

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2014Combining distributions of real-time forecasts: An application to U.S. growth. (2014). Urbain, Jean-Pierre ; Hecq, Alain ; Götz, Thomas ; Gotz T. B., ; Urbain J. R. Y. J., ; Hecq A. W., . In: Research Memorandum. RePEc:unm:umagsb:2014027.

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2014Testing for Granger causality in large mixed-frequency VARs. (2014). Hecq, Alain ; Götz, Thomas ; Gotz T. B., ; Hecq A. W., . In: Research Memorandum. RePEc:unm:umagsb:2014028.

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Recent citations received in 2013

YearCiting document
2013Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression. (2013). van Dijk, Dick ; Groenen, Patrick ; Exterkate, Peter ; Heij, Christiaan ; Patrick J. F. Groenen, . In: CREATES Research Papers. RePEc:aah:create:2013-16.

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2013The Role of Speculation in Oil Markets: What Have We Learned So Far?. (2013). Mahadeva, Lavan ; Kilian, Lutz ; Bassam Fattouh, Lutz Kilian,, . In: The Energy Journal. RePEc:aen:journl:ej34-3-01.

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2013Can Google Trends search queries contribute to risk diversification?. (2013). Krištoufek, Ladislav. In: Papers. RePEc:arx:papers:1310.1444.

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2013Do Oil Price Increases Cause Higher Food Prices?. (2013). Kilian, Lutz ; Baumeister, Christiane. In: Staff Working Papers. RePEc:bca:bocawp:13-52.

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2013Modelling public debt strategies. (2013). Manna, Michele ; Dottori, Davide ; Bernardini, Emmanuela ; Bufano, Mauro . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_199_13.

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2013Forecasting Latin-American yield curves: An artificial neural network approach. (2013). vela, Daniel . In: Borradores de Economia. RePEc:bdr:borrec:761.

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2013A Simple Out-of-Sample Test for the Martingale Difference Hypothesis. (2013). Pincheira, Pablo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:698.

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2013Forecasting Latin-American yield curves: An artificial neural network approach. (2013). vela, Daniel . In: BORRADORES DE ECONOMIA. RePEc:col:000094:010502.

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2013Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories. (2013). Kilian, Lutz ; Lee, Thomas K. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9297.

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2013Do Oil Price Increases Cause Higher Food Prices?. (2013). Kilian, Lutz ; Baumeister, Christiane. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9689.

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2013Kalman filter estimation for a regression model with locally stationary errors. (2013). Rodriguez, Alejandro ; Ferreira, Guillermo ; Lagos, Bernardo . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:62:y:2013:i:c:p:52-69.

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2013Liquidity and crude oil prices: Chinas influence over 1996–2011. (2013). Vespignani, Joaquin ; Ratti, Ronald. In: Economic Modelling. RePEc:eee:ecmode:v:33:y:2013:i:c:p:517-525.

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2013Has the Basel Accord improved risk management during the global financial crisis?. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:26:y:2013:i:c:p:250-265.

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2013Co-fluctuation patterns of per capita carbon dioxide emissions: The role of energy markets. (2013). Wood, Joel ; McKitrick, Ross. In: Energy Economics. RePEc:eee:eneeco:v:39:y:2013:i:c:p:1-12.

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2013Crude oil prices and liquidity, the BRIC and G3 countries. (2013). Vespignani, Joaquin ; Ratti, Ronald. In: Energy Economics. RePEc:eee:eneeco:v:39:y:2013:i:c:p:28-38.

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2013The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence. (2013). Pauwels, Laurent ; Chan, Felix ; Wongsosaputro, Johnathan . In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:93:y:2013:i:c:p:175-189.

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2013GFC-robust risk management under the Basel Accord using extreme value methodologies. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo . In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:94:y:2013:i:c:p:223-237.

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2013GFC-robust risk management strategies under the Basel Accord. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:27:y:2013:i:c:p:97-111.

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2013Futures trading and the excess comovement of commodity prices. (2013). Sevi, Benoit . In: Working Papers. RePEc:ipg:wpaper:19.

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2013Futures trading and the excess comovement of commodity prices. (2013). Sevi, Benoit . In: Working Papers. RePEc:ipg:wpaper:2013-019.

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2013Futures trading and the excess comovement of commodity prices. (2013). Sévi, Benoît ; Sevi, Benoit . In: Working Papers. RePEc:ipg:wpaper:2013-19.

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2013Not all international monetary shocks are alike for the Japanese economy. (2013). Vespignani, Joaquin ; Ratti, Ronald. In: MPRA Paper. RePEc:pra:mprapa:48709.

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2013International monetary transmission to the Euro area: Evidence from the U.S., Japan and China. (2013). Vespignani, Joaquin ; Ratti, Ronald. In: MPRA Paper. RePEc:pra:mprapa:49153.

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2013Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach. (2013). Vespignani, Joaquin ; Ratti, Ronald. In: MPRA Paper. RePEc:pra:mprapa:49324.

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2013International monetary transmission to the Euro area: Evidence from the U.S., Japan and China. (2013). Vespignani, Joaquin ; Ratti, Ronald. In: MPRA Paper. RePEc:pra:mprapa:49707.

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2013.

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2013Statistical analysis of autoregressive fractionally integrated moving average models in R. (2013). Contreras-Reyes, Javier ; Palma, Wilfredo . In: Computational Statistics. RePEc:spr:compst:v:28:y:2013:i:5:p:2309-2331.

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2013Chinese Monetary Expansion and the US Economy. (2013). Vespignani, Joaquin ; Ratti, Ronald. In: Working Papers. RePEc:tas:wpaper:16874.

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2013Prediction Bias Correction for Dynamic Term Structure Models. (2013). Raviv, Eran . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130041.

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2013Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals. (2013). Ranaldo, Angelo ; Caporin, Massimiliano ; Velo, Gabriel G.. In: Working Papers on Finance. RePEc:usg:sfwpfi:2013:18.

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2013The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336.

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2013Do oil price increases cause higher food prices?. (2013). Kilian, Lutz ; Baumeister, Christiane. In: CFS Working Paper Series. RePEc:zbw:cfswop:201310.

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2013Transportation Data as a Tool for Nowcasting Economic Activity РThe German Road Pricing System as an Example. (2013). D̦hrn, Roland ; Dohrn, Roland . In: Ruhr Economic Papers. RePEc:zbw:rwirep:395.

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2013The determinants of stagflation in a panel of countries. (2013). Gründler, Klaus ; Grundler, Klaus ; Berthold, Norbert . In: Discussion Paper Series. RePEc:zbw:wuewwb:117r.

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