Shaun P. Vahey : Citation Profile

University of Warwick

13

H index

16

i10 index

764

Citations

RESEARCH PRODUCTION:

28

Articles

47

Papers

2

Chapters

RESEARCH ACTIVITY:

   30 years (1995 - 2025). See details.
   Cites by year: 25
   Journals where Shaun P. Vahey has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 34 (4.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva129
   Updated: 2025-12-20    RAS profile: 2025-04-07    
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Relations with other researchers

Works with:

Coe, Patrick (4)

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)

Aastveit, Knut Are (20)

Thorsrud, Leif (20)

Casarin, Roberto (17)

Clark, Todd (15)

Kapetanios, George (15)

Mitchell, James (14)

Proietti, Tommaso (13)

Marcellino, Massimiliano (13)

Cites to:

Mitchell, James (54)

Pesaran, Mohammad (28)

Timmermann, Allan (26)

Garratt, Anthony (25)

Clark, Todd (25)

Koop, Gary (23)

Jore, Anne Sofie (21)

Croushore, Dean (19)

Ravazzolo, Francesco (19)

Diebold, Francis (19)

Wallis, Kenneth (19)

Main data

Where Shaun P. Vahey has published?

Journals with more than one article published# docs
Journal of Applied Econometrics4
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
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 (2025 and 2024)

YearTitle of citing document
2024Consistent Specification Test of the Quantile Autoregression. (2024). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2024Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2024). Berrisch, Jonathan ; Ziel, Florian. In: Papers. RePEc:arx:papers:2303.10019.

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2024Density forecast transformations. (2024). Odendahl, Florens ; Mogliani, Matteo. In: Papers. RePEc:arx:papers:2412.06092.

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2025Forecasting Thai inflation from univariate Bayesian regression perspective. (2025). Arwatchanakarn, Popkarn ; Taveeapiradeecharoen, Paponpat. In: Papers. RePEc:arx:papers:2505.05334.

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2025Macroeconomic Forecasting and Machine Learning. (2025). Giannone, Domenico ; Ghigliazza, Raffaele M ; Fan, Ting-Han ; Chi, Ta-Chung. In: Papers. RePEc:arx:papers:2510.11008.

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2024The Politics of the Paycheck Protection Program. (2024). Zhang, Eden ; Mishra, Prachi ; Lambert, Thomas ; Igan, Deniz. In: Working Papers. RePEc:ash:wpaper:133.

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2025A high-dimensional GDP-at-risk and Inflation-at-risk for the euro area. (2025). Santi, Matteo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1484_25.

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2024Analysts Inflation Expectations vs Univariate Models of Inflation Forecasting in the Russian Economy. (2024). Perevyshin, Yury. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:2:p:54-76.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2024ECB macroeconometric models for forecasting and policy analysis. (2024). Von-Pine, Eliott ; Santoro, Sergio ; Priftis, Romanos ; Paredes, Joan ; DARRACQ PARIES, Matthieu ; Banbura, Marta ; Ciccarelli, Matteo ; Angelini, Elena ; Babura, Marta ; Montes-Galdon, Carlos ; Brunotte, Stella ; Invernizzi, Marco ; Kornprobst, Antoine ; Zimic, Sreko ; Lalik, Magdalena ; Warne, Anders ; Gumiel, Jose Emilio ; Giammaria, Alessandro ; Cocchi, Sara ; Koutsoulis, Iason ; Rigato, Rodolfo Dinis ; Kase, Hanno ; Muller, Georg ; Bokan, Nikola ; Fagan, Gabriel. In: Occasional Paper Series. RePEc:ecb:ecbops:2024344.

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2024The role of comovement and time-varying dynamics in forecasting commodity prices. (2024). Venditti, Fabrizio ; Allayioti, Anastasia. In: Working Paper Series. RePEc:ecb:ecbwps:20242901.

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2025Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970.

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2025Reducing supply shock-led inflation in emerging markets. (2025). Goyal, Ashima ; Ray, Sritama. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:2278-2301.

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2024Does the labour market value field of study specific knowledge? An alignment score based approach. (2024). Manuel, Nick. In: Economics of Education Review. RePEc:eee:ecoedu:v:101:y:2024:i:c:s0272775724000554.

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2025Bootstrapping out-of-sample predictability tests with real-time data. (2025). Yao, Yongxu ; McCracken, Michael W ; Gonalves, Slvia. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002677.

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2025Estimation in copula models with two-piece skewed margins using the inference for margins method. (2025). Baillien, Jonas ; Gijbels, Irne ; Verhasselt, Anneleen. In: Econometrics and Statistics. RePEc:eee:ecosta:v:34:y:2025:i:c:p:91-108.

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2024Combining probabilistic forecasts of intermittent demand. (2024). Kang, Yanfei ; Wang, Shengjie ; Petropoulos, Fotios. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1038-1048.

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2024Forecasting crude oil returns in different degrees of ambiguity: Why machine learn better?. (2024). Du, Huancheng ; Meng, Yuhao ; Tian, Guangning ; Peng, Yuchao. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324005759.

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2024Multivariate probabilistic CRPS learning with an application to day-ahead electricity prices. (2024). Berrisch, Jonathan ; Ziel, Florian. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1568-1586.

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2024China’s GDP-at-Risk: Real-Time Monitoring, Risk Tracing, and Macroeconomic Policy Effects. (2024). Gao, Xiang ; Lv, Wenqiang ; Koedijk, Kees G ; Sui, Jianli. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001372.

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2024Growth-at-Risk is Investment-at-Risk. (2024). McCracken, Michael ; Amburgey, Aaron. In: Working Papers. RePEc:fip:fedlwp:96594.

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2024Bootstrapping out-of-sample predictability tests with real-time data. (2024). McCracken, Michael ; Yao, Yongxu ; Goncalves, Silvia. In: Working Papers. RePEc:fip:fedlwp:97409.

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2025A Set of New Tools to Measure the Effective Value of Probabilistic Forecasts of Continuous Variables. (2025). Lauret, Philippe ; David, Mathieu ; le Gal, Josselin. In: Forecasting. RePEc:gam:jforec:v:7:y:2025:i:2:p:30-:d:1682859.

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2025Measuring Interdependence of Inflation Uncertainty. (2025). Lee, Seohyun. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10635-z.

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2025A Reappraisal of Real-time Forecasts of the Real Price of Oil. (2025). Eric, Reinhard Ellwanger. In: LCERPA Working Papers. RePEc:wlu:lcerpa:jc0158.

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2024Density forecast combinations: The real‐time dimension. (2024). McAdam, Peter ; Warne, Anders. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1153-1172.

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2025Regime‐Switching Density Forecasts Using Economists Scenarios. (2025). Moramarco, Graziano. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:833-845.

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2024Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions. (2024). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:56:y:2024:i:5:p:1099-1127.

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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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This paper has nother version. Agregated cites: 1		paper
2007The McKenna Rule and UK World War I Finance.(2007) In: Reserve Bank of New Zealand Discussion Paper Series.
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This paper has nother version. Agregated cites: 1		paper
2012UK World War I and interwar data for business cycle and growth analysis In: Cliometrica, Journal of Historical Economics and Econometric History.
[Full Text][Citation analysis]		article2
2011UK World War I and Interwar Data for Business Cycle and Growth Analysis.(2011) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2009U.K. World War I and interwar data for business cycle and growth analysis.(2009) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 2		paper
2011UK World War I and interwar data for business cycle and growth analysis.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2005UK Real-Time Macro Data Characteristics In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper33
2006UK Real-Time Macro Data Characteristics.(2006) In: Economic Journal.
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This paper has nother version. Agregated cites: 33		article
2005UK Real-time Macro Data Characteristics.(2005) In: Computing in Economics and Finance 2005.
[Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2006Forecasting Substantial Data Revisions in the Presence of Model Uncertainty In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper20
2008Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.(2008) In: Economic Journal.
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This paper has nother version. Agregated cites: 20		article
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.
[Full Text][Citation analysis]		paper54
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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This paper has nother version. Agregated cites: 54		article
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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This paper has nother version. Agregated cites: 54		paper
2009Measuring Output Gap Uncertainty In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper11
2010Measuring Output Gap Uncertainty.(2010) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 11		paper
2009Measuring output gap uncertainty.(2009) In: Reserve Bank of New Zealand Discussion Paper Series.
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This paper has nother version. Agregated cites: 11		paper
2009Real-time Inflation Forecast Densities from Ensemble Phillips Curves In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper22
2011Real-time inflation forecast densities from ensemble Phillips curves.(2011) In: The North American Journal of Economics and Finance.
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This paper has nother version. Agregated cites: 22		article
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.
[Full Text][Citation analysis]		article9
2008RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence.(2008) In: Working Paper.
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This paper has nother version. Agregated cites: 9		paper
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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This paper has nother version. Agregated cites: 9		paper
2005The Cost Effectiveness of the UKs Sovereign Debt Portfolio In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article2
2008Combining forecast densities from VARs with uncertain instabilities In: Working Paper.
[Full Text][Citation analysis]		paper149
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.
[Full Text][Citation analysis]		paper36
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.
[Full Text][Citation analysis]		paper46
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.
[Full Text][Citation analysis]		paper185
1995Measuring Core Inflation.(1995) In: CEP Discussion Papers.
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This paper has nother version. Agregated cites: 185		paper
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.
[Full Text][Citation analysis]		paper1
2000The Transparency and Accountability of UK Debt Management: A Proposal In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2002A Real Time Tax Smoothing Based Fiscal Policy Rule In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper11
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.
[Citation analysis]		paper0
1995Measuring Core Inflation (Now published in Economic Journal, vol. 105, No. 432 (September 1995), pp.1130-1144.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
2008Real-time probability forecasts of UK macroeconomic events In: National Institute Economic Review.
[Full Text][Citation analysis]		article2
2008Real-Time Probability Forecasts of Uk Macroeconomic Events.(2008) In: National Institute Economic Review.
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This paper has nother version. Agregated cites: 2		article
2001Keep it real!: A real-time UK macro data set In: Economics Bulletin.
[Full Text][Citation analysis]		article29
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.
[Full Text][Citation analysis]		article2
2000The great Canadian training robbery: evidence on the returns to educational mismatch In: Economics of Education Review.
[Full Text][Citation analysis]		article30
2011Nowcasting and model combination In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
2014Measuring output gap nowcast uncertainty In: International Journal of Forecasting.
[Full Text][Citation analysis]		article22
2011Measuring Output Gap Nowcast Uncertainty.(2011) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 22		paper
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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This paper has nother version. Agregated cites: 8		paper
2011Probabilistic interest rate setting with a shadow board: A description of the pilot project In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
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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2018Real-Time Forecast Combinations for the Oil Price In: CAMA Working Papers.
[Full Text][Citation analysis]		paper26
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.
[Full Text][Citation analysis]		paper1
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.
[Citation analysis]		paper0
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.
[Full Text][Citation analysis]		article31
2025Reassessing the Predictive Power of the Yield Spread for Recessions in the United States In: Journal of Applied Econometrics.
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