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Journal of Forecasting / John Wiley & Sons, Ltd.


0.6

Impact Factor

0.67

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
19910.1000 (%)0.04
19920.1000 (%)0.04
19930.11000 (%)0.06
19940.12000 (%)0.05
19950.2000 (%)0.07
19960.24000 (%)0.09
19970.280200 (%)0.1
19980.29000 (%)0.11
19990.330300 (%)0.14
20000.410100 (%)0.15
20010.413838130.3436300 (%)70.180.15
20020.320.430.323169220.3217638123812 (%)30.10.18
20030.420.450.422897430.4422769296929 (%)40.140.19
20040.220.50.3235132400.360059139731 (%)70.20.2
20050.810.530.71321641110.68275635113294 (%)80.250.21
20060.460.520.5133197940.48265673116484 (%)40.120.21
20070.480.460.61322291410.62215653115997 (%)10.030.18
20080.580.490.76412702080.775016538160121 (%)110.270.2
20091.360.491.13433133090.992397399173195 (%)50.120.19
20100.740.470.73403532790.793218462181133 (%)200.50.17
20111.10.540.97363893560.922128391189183 (%)100.280.21
20120.880.570.85394283400.791147667192163 (%)70.180.21
20130.80.641.17564845041.042047560199233 (%)340.610.23
20140.670.70.93435274910.93809564214200 (%)190.440.23
20150.730.790.93445714830.85389972214199 (%)90.20.25
20160.61.110.67346054450.7468752218146 (%)20.060.34
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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283
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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79
32007Forecasting 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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79
42001Impulse 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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76
52008Single-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
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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75
72008Scalar 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
82008Forecasting 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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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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69
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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59
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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53
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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52
162004Vector 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
172009Short-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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51
182001Evaluating 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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51
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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45
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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44
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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38
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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35
252002A 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
262007The 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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32
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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31
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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28
312010Do 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
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
332011Bootstrap 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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26
342001A 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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26
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
402005The 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
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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21
422006The 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
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
452003From 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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21
462007Comparing 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
472009A New-Keynesian DSGE model for forecasting the South African economy. (2009). Schaling, Eric ; Liu, Guangling ; GUPTA, RANGAN ; Guangling 'Dave' Liu, . In: Journal of Forecasting. RePEc:jof:jforec:v:28:y:2009:i:5:p:387-404.

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20
482001Creating 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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20
492005A Bayesian threshold nonlinearity test for financial time series. (2005). Chen, Cathy W. S. ; Mike K. P. So, ; Mike K. P. So, . In: Journal of Forecasting. RePEc:jof:jforec:v:24:y:2005:i:1:p:61-75.

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20
502007Forecasting 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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19

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


#YearTitleCited
1200472
2200858
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

37
4201126
5200923
6200518
7201016
8200715
9200113
10200612
11201011
12201011
13200911
14200811
15200610
16200810
1720029
182013The 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
1920119
2020108
212014Assessing 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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8
2220118
2320018
242012Forecast 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
252013Nowcasting 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
262013The 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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8
272013Forecasting 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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7
282012The 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
2920087
3020087
3120117
3220047
3320086
342014Hierarchical 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
3520046
3620116
3720116
3820086
3920046
4020096
412012Exploring 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
422012The 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
432014Forecasting 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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5
4420015
452015Estimating 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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5
4620015
4720065
4820055
4920105
5020055

Citing documents used to compute impact factor 52:


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 O ; 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). Plakandaras, Vasilios ; GUPTA, RANGAN ; Cunado, Juncal ; Wohar, Mark E. 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 ; Grun, Bettina ; Cuaresma, Jesus Crespo ; 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 ; Rohloff, Sebastian ; Pierdzioch, Christian . 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, Farooq . 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 ; Kelly, Bryan ; Lustig, Hanno . 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). Morais, Joanna ; Thomas-Agnan, Christine ; 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, Surendras ; 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. 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). Kolasa, Marcin ; Rubaszek, Michal . 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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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 ; Rohloff, Sebastian ; Pierdzioch, Christian . 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 ; Plasil, Miroslav ; Frait, Jan ; Malovana, Simona ; Kejak, Michal ; Mateju, Jakub ; Audzei, Volha ; Hlavac, Petr ; Seidler, Jakub . 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). Fritsche, Ulrich ; Dopke, Jorg ; Pierdzioch, Christian . 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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