Shaun P. Vahey : Citation Profile

Are you Shaun P. Vahey?

University of Warwick

13

H index

15

i10 index

728

Citations

RESEARCH PRODUCTION:

27

Articles

51

Papers

2

Chapters

RESEARCH ACTIVITY:

   28 years (1995 - 2023). See details.
   Cites by year: 26
   Journals where Shaun P. Vahey has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 36 (4.71 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva129
   Updated: 2023-08-19    RAS profile: 2023-08-05    
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Relations with other researchers

Works with:

Coe, Patrick (3)

Chernis, Tony (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Shaun P. Vahey.

Is cited by:

Ravazzolo, Francesco (43)

Rossi, Barbara (28)

van Dijk, Herman (25)

Mitchell, James (20)

Thorsrud, Leif (19)

Kapetanios, George (16)

Casarin, Roberto (16)

Clark, Todd (14)

Aastveit, Knut Are (14)

Proietti, Tommaso (13)

Marczak, Martyna (12)

Cites to:

Mitchell, James (60)

Pesaran, Mohammad (27)

Timmermann, Allan (26)

Garratt, Anthony (25)

Clark, Todd (25)

Koop, Gary (23)

Jore, Anne Sofie (23)

Watson, Mark (20)

Diebold, Francis (20)

van Norden, Simon (19)

Wallis, Kenneth (19)

Main data

Where Shaun P. Vahey has published?

Journals with more than one article published# docs
Journal of Applied Econometrics3
Economic Journal3
Journal of Applied Econometrics2
The North American Journal of Economics and Finance2
International Journal of Forecasting2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
EMF Research Papers / Economic Modelling and Forecasting Group4
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta3
Computing in Economics and Finance 2005 / Society for Computational Economics2

Recent works citing Shaun P. Vahey (2023 and 2022)

YearTitle of citing document
2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2023Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649.

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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2023A tale of two tails: 130 years of growth-at-risk. (2023). Huber, Florian ; Hasler, Elias ; Gachter, Martin. In: Papers. RePEc:arx:papers:2302.08920.

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2023Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2023). Ziel, Florian ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2303.10019.

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2022Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12.

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2021FORECASTING RUSSIAN CPI WITH DATA VINTAGES AND MACHINE LEARNING TECHNIQUES. (2021). Mamedli, Mariam ; Shibitov, Denis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps70.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021Convergence in Sovereign Debt Defaults: Quantifying the Roles of Institutions. (2021). Inekwe, John ; Bhattacharya, Mita. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:792-811.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Cross, Jamie L ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Paper. RePEc:bno:worpap:2021_3.

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2022Aggregate density forecast of models using disaggregate data - A copula approach. (2022). Ingebrigtsen, Tobias ; Fastbo, Tuva Marie ; Paulsen, Kenneth Saterhagen . In: Working Paper. RePEc:bno:worpap:2022_5.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Djik, Herman K ; Cross, Jamie ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0099.

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2022A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction. (2022). Wilfling, Bernd ; Monschang, Verena. In: CQE Working Papers. RePEc:cqe:wpaper:9722.

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2021Combining Bayesian VARs with survey density forecasts: does it pay off?. (2021). Ravazzolo, Francesco ; Paredes, Joan ; Brenna, Federica ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212543.

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2022Assessing uncertainty of output gap estimates: Evidence from Visegrad countries. (2022). Nmec, Daniel ; Chalmoviansk, Jakub. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s026499932200236x.

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2023Nowcasting the output gap. (2023). Wong, Benjamin ; Morley, James ; Berger, Tino. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:18-34.

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2022Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis. (2022). Pincheira, Pablo ; Hardy, Nicolas ; Jarsun, Nabil ; Bentancor, Andrea ; Pincheira-Brown, Pablo. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s014098832100637x.

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2021Does judgment improve macroeconomic density forecasts?. (2021). Mitchell, James ; Garratt, Anthony ; Galvo, Ana Beatriz. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1247-1260.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2023Does the Phillips curve help to forecast euro area inflation?. (2023). Bobeica, Elena ; Babura, Marta. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:364-390.

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2021Forecasting crude oil real prices with averaging time-varying VAR models. (2021). Drachal, Krzysztof. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002555.

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2022Real-time fiscal policy responses in the OECD from 1997 to 2018: Procyclical but sustainable?. (2022). Creel, Jerome ; Aldama, Pierre. In: European Journal of Political Economy. RePEc:eee:poleco:v:73:y:2022:i:c:s0176268021001117.

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2021Post-processing in solar forecasting: Ten overarching thinking tools. (2021). van der Meer, Dennis ; Yang, Dazhi. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:140:y:2021:i:c:s1364032121000307.

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2022Exchange rate forecasting with real-time data: Evidence from Western offshoots. (2022). Matsuki, Takashi ; Chang, Ming-Jen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001598.

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2022Macroeconomic Forecasting in a Multi-country Context. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea ; Bai, Yu. In: Working Papers. RePEc:fip:fedcwq:93660.

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2021Time-varying Uncertainty of the Federal Reserve’s Output Gap Estimate. (2020). Berge, Travis J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-12.

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2022Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges. (2022). Schularick, Moritz ; Favara, Giovanni ; Boyarchenko, Nina. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-06.

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2022On the Real-Time Predictive Content of Financial Conditions Indices for Growth. (2022). McCracken, Michael ; Amburgey, Aaron. In: Working Papers. RePEc:fip:fedlwp:93642.

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2022Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges. (2022). Schularick, Moritz ; Favara, Giovanni ; Boyarchenko, Nina. In: Staff Reports. RePEc:fip:fednsr:93712.

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2021A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities. (2021). Ur, Mobeen ; Chen, James Ming. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6099-:d:642541.

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2022Exploring correlations between aggregate demand and supply shocks in India. (2022). Ray, Sritama ; Goyal, Ashima. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2022-004.

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2021Global and Local Components of Output Gaps. (2021). Mhlebach, Nina ; Eckert, Florian. In: KOF Working papers. RePEc:kof:wpskof:21-497.

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2022Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts. (2022). Zhang, Yunyi ; Petrella, Ivan ; Garratt, Anthony. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:541.

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2022Inflation Targeting Skepticism: Myth or Reality? A Way Forward for Pakistan (Article). (2022). Masood, Saher ; Hayat, Zafar. In: The Pakistan Development Review. RePEc:pid:journl:v:61:y:2022:i:1:p:1-27.

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2021University graduates’ job-education mismatches in the Spanish labour market. (2021). Pérez Navarro, Marco. In: MPRA Paper. RePEc:pra:mprapa:109881.

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2021Wage Effects of Overeducation: Evidence from Poland. (2021). Broniatowska, Paulina. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:13:y:2021:i:1:p:25-53.

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2021A Study on the Dynamic Behaviour of Headline Versus Core Inflation: Evidence from India. (2021). Sahu, Priyanka. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:6:p:1574-1593.

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2021The effect of training on workers’ perceived job match quality. (2021). Zhang, YI ; Soest, Arthur ; Salm, Martin. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01833-3.

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2023Are German National Accounts informationally efficient?. (2023). Dohrn, Roland. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:19:y:2023:i:1:d:10.1007_s41549-022-00080-y.

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2021Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables. (2021). Nonejad, Nima. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:8:p:1387-1411.

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2021A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance. (2021). Grassi, Stefano ; Casarin, Roberto ; van Dijk, Herman K ; Ravazzolo, Francesco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210016.

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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). van Dijk, Herman K ; Cross, Jamie ; Aastveit, Knut Are. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210053.

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2021Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1711.

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2022Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting. (2022). Wei, Guiwu ; Li, Xiafei ; Bai, Lan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3694-3712.

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2021Focused Bayesian prediction. (2021). Loaiza Maya, Rubén ; Loaizamaya, Ruben ; Frazier, David T ; Martin, Gael M. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:517-543.

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2022Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions. (2022). Miranda-Agrippino, Silvia ; Mirandaagrippino, Silvia ; Galvo, Ana Beatriz ; Anesti, Nikoleta. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:1:p:42-62.

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2022Commodity prices and inflation risk. (2022). Petrella, Ivan ; Garratt, Anthony. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:2:p:392-414.

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2022Macroeconomic forecasting in a multi?country context. (2022). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea ; Bai, YU. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:6:p:1230-1255.

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2023On the real?time predictive content of financial condition indices for growth. (2023). McCracken, Michael ; Amburgey, Aaron J. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:2:p:137-163.

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2022Bootstrap VAR forecasts: The effect of model uncertainties. (2022). Fresoli, Diego . In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:279-293.

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2022Time?varying trend models for forecasting inflation in Australia. (2022). Cross, Jamie L ; Zhang, BO ; Guo, NA. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:316-330.

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Works by Shaun P. Vahey:

YearTitleTypeCited
2007The McKenna Rule and UK World War I Finance In: American Economic Review.
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2007The McKenna rule and U.K. World War I finance.(2007) In: FRB Atlanta Working Paper.
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2007The McKenna Rule and UK World War I Finance.(2007) In: Reserve Bank of New Zealand Discussion Paper Series.
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2012UK World War I and interwar data for business cycle and growth analysis In: Cliometrica, Journal of Historical Economics and Econometric History.
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2011UK World War I and Interwar Data for Business Cycle and Growth Analysis.(2011) In: CAMA Working Papers.
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2009U.K. World War I and interwar data for business cycle and growth analysis.(2009) In: FRB Atlanta Working Paper.
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2011UK World War I and interwar data for business cycle and growth analysis.(2011) In: Working Papers.
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2005UK Real-Time Macro Data Characteristics In: Birkbeck Working Papers in Economics and Finance.
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2006UK Real-Time Macro Data Characteristics.(2006) In: Economic Journal.
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2005UK Real-time Macro Data Characteristics.(2005) In: Computing in Economics and Finance 2005.
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2006Forecasting Substantial Data Revisions in the Presence of Model Uncertainty In: Birkbeck Working Papers in Economics and Finance.
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2008Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.(2008) In: Economic Journal.
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2006Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.(2006) In: Reserve Bank of New Zealand Discussion Paper Series.
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2008Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.(2008) In: Economic Journal.
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2007Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty In: Birkbeck Working Papers in Economics and Finance.
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2009Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty.(2009) In: Journal of Business & Economic Statistics.
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2008Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty.(2008) In: Reserve Bank of New Zealand Discussion Paper Series.
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2009Measuring Output Gap Uncertainty In: Birkbeck Working Papers in Economics and Finance.
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2010Measuring Output Gap Uncertainty.(2010) In: CEPR Discussion Papers.
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2009Measuring output gap uncertainty.(2009) In: Reserve Bank of New Zealand Discussion Paper Series.
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2009Real-time Inflation Forecast Densities from Ensemble Phillips Curves In: Birkbeck Working Papers in Economics and Finance.
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2011Real-time inflation forecast densities from ensemble Phillips curves.(2011) In: The North American Journal of Economics and Finance.
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2010Real-time Inflation Forecast Densities from Ensemble Phillips Curves.(2010) In: CAMA Working Papers.
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2013Moving towards probability forecasting In: BIS Papers chapters.
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2010RBCs AND DSGEs: THE COMPUTATIONAL APPROACH TO BUSINESS CYCLE THEORY AND EVIDENCE In: Journal of Economic Surveys.
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2008RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence.(2008) In: Working Paper.
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2007RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence.(2007) In: Reserve Bank of New Zealand Discussion Paper Series.
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2005The Cost Effectiveness of the UKs Sovereign Debt Portfolio In: Oxford Bulletin of Economics and Statistics.
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2008Combining forecast densities from VARs with uncertain instabilities In: Working Paper.
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2010Combining forecast densities from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics.
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2008Combining Forecast Densities from VARs with Uncertain Instabilities.(2008) In: Reserve Bank of New Zealand Discussion Paper Series.
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2009Macro modelling with many models In: Working Paper.
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2009Combining VAR and DSGE forecast densities In: Working Paper.
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2011Combining VAR and DSGE forecast densities.(2011) In: Journal of Economic Dynamics and Control.
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2010Forecast densities for economic aggregates from disaggregate ensembles In: Working Paper.
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2014Forecast densities for economic aggregates from disaggregate ensembles.(2014) In: Studies in Nonlinear Dynamics & Econometrics.
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2010Forecast Densities for Economic Aggregates from Disaggregate Ensembles.(2010) In: CAMA Working Papers.
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1995Measuring Core Inflation In: Bank of England working papers.
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1995Measuring Core Inflation.(1995) In: CEP Discussion Papers.
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1995Measuring Core Inflation?.(1995) In: Economic Journal.
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2000The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach In: Cambridge Working Papers in Economics.
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2000The Transparency and Accountability of UK Debt Management: A Proposal In: Cambridge Working Papers in Economics.
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2002A Real Time Tax Smoothing Based Fiscal Policy Rule In: Cambridge Working Papers in Economics.
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2003A Real Time Tax Smoothing Based Fiscal Policy Rule.(2003) In: Royal Economic Society Annual Conference 2003.
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2003A Real Time Tax Smoothing Based Fiscal Policy Rule.(2003) In: Computing in Economics and Finance 2003.
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2003Scope for Cost Minimization in Public Debt Management: the Case of the UK In: Cambridge Working Papers in Economics.
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1996Compensating Differentials: Some Canadian Self-Report Evidence. In: Cambridge Working Papers in Economics.
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1995Measuring Core Inflation (Now published in Economic Journal, vol. 105, No. 432 (September 1995), pp.1130-1144.) In: STICERD - Econometrics Paper Series.
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2008Real-Time Probability Forecasts of Uk Macroeconomic Events.(2008) In: National Institute Economic Review.
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2001Keep it real!: A real-time UK macro data set In: Economics Bulletin.
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2002Keep It Real!: A Real-time UK Macro Data Set.(2002) In: Royal Economic Society Annual Conference 2002.
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2002Keep it real!: a real-time UK macro data set.(2002) In: Economics Letters.
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2004Signalling ability to pay and rent sharing dynamics In: Journal of Economic Dynamics and Control.
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2000The great Canadian training robbery: evidence on the returns to educational mismatch In: Economics of Education Review.
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2011Nowcasting and model combination In: The North American Journal of Economics and Finance.
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2014Measuring output gap nowcast uncertainty In: International Journal of Forecasting.
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2011Measuring Output Gap Nowcast Uncertainty.(2011) In: CAMA Working Papers.
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2013Measuring Output Gap Nowcast Uncertainty.(2013) In: EMF Research Papers.
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2023Empirically-transformed linear opinion pools In: International Journal of Forecasting.
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2019Empirically-transformed linear opinion pools.(2019) In: CAMA Working Papers.
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2011Probabilistic interest rate setting with a shadow board: A description of the pilot project In: CAMA Working Papers.
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2016Assessing the economic value of probabilistic forecasts in the presence of an inflation target In: CAMA Working Papers.
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2016Assessing the economic value of probabilistic forecasts in the presence of an inflation target.(2016) In: Reserve Bank of New Zealand Discussion Paper Series.
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2015Assessing the Economic Value of Probabilistic Forecasts in the Presence of an Inflation Target.(2015) In: EMF Research Papers.
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2018Real-time forecast combinations for the oil price In: CAMA Working Papers.
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2018Real-time Forecast Combinations for the Oil Price.(2018) In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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2019Real?time forecast combinations for the oil price.(2019) In: Journal of Applied Econometrics.
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2019Improved methods for combining point forecasts for an asymmetrically distributed variable In: CAMA Working Papers.
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2020Financial conditions and the risks to economic growth in the United States since 1875 In: CAMA Working Papers.
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2022Reassessing the dependence between economic growth and financial conditions since 1973 In: CAMA Working Papers.
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2023Reassessing the dependence between economic growth and financial conditions since 1973.(2023) In: Journal of Applied Econometrics.
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2006Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes? In: FRB Atlanta Working Paper.
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2010Introduction: Model uncertainty and macroeconomics In: Journal of Applied Econometrics.
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2010Introduction: ‘Model uncertainty and macroeconomics’.(2010) In: Journal of Applied Econometrics.
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2010Measuring Core Inflation in Australia with Disaggregate Ensembles In: RBA Annual Conference Volume (Discontinued).
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2005Over the Top: U.K. World War I Finance and Its Aftermath In: Computing in Economics and Finance 2005.
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2016Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence In: Journal of Business & Economic Statistics.
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2014Probablistic Prediction of the US Great Recession with Historical Expert In: EMF Research Papers.
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2014Probability Forecasting for Inflation Warnings from the Federal Reserve In: EMF Research Papers.
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