Most cited documents in this series:

Year	Title	Cited
2004	Combination forecasts of output growth in a seven-country data set RePEc:jof:jforec:v:23:y:2004:i:6:p:405-430 [Citation Analysis]	44
2001	Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order. RePEc:jof:jforec:v:20:y:2001:i:3:p:161-79 [Citation Analysis]	28
2007	Forecasting German GDP using alternative factor models based on large datasets RePEc:jof:jforec:v:26:y:2007:i:4:p:271-302 [Citation Analysis]	23
2008	Single-index and portfolio models for forecasting value-at-risk thresholds RePEc:jof:jforec:v:27:y:2008:i:3:p:217-235 [Citation Analysis]	22
2005	Forecasting recessions using the yield curve RePEc:jof:jforec:v:24:y:2005:i:2:p:77-103 [Citation Analysis]	21
2008	Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model RePEc:jof:jforec:v:27:y:2008:i:1:p:1-19 [Citation Analysis]	21
2008	How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach RePEc:jof:jforec:v:27:y:2008:i:3:p:237-265 [Citation Analysis]	20
2004	Finding good predictors for inflation: a Bayesian model averaging approach RePEc:jof:jforec:v:23:y:2004:i:7:p:479-496 [Citation Analysis]	17
2004	Vector smooth transition regression models for US GDP and the composite index of leading indicators RePEc:jof:jforec:v:23:y:2004:i:3:p:173-196 [Citation Analysis]	16
2004	Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation RePEc:jof:jforec:v:23:y:2004:i:6:p:431-447 [Citation Analysis]	16
2002	An Outlier Robust GARCH Model and Forecasting Volatility of Exchange Rate Returns. RePEc:jof:jforec:v:21:y:2002:i:5:p:381-93 [Citation Analysis]	16
2003	Volatility forecasting for risk management RePEc:jof:jforec:v:22:y:2003:i:1:p:1-22 [Citation Analysis]	16
2001	Forecasting with k-Factor Gegenbauer Processes: Theory and Applications. RePEc:jof:jforec:v:20:y:2001:i:8:p:581-601 [Citation Analysis]	16
2001	Evaluating the Predictive Accuracy of Volatility Models. RePEc:jof:jforec:v:20:y:2001:i:2:p:87-109 [Citation Analysis]	14
2002	The Performance of Non-linear Exchange Rate Models: A Forecasting Comparison. RePEc:jof:jforec:v:21:y:2002:i:7:p:513-42 [Citation Analysis]	13
2001	Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment. RePEc:jof:jforec:v:20:y:2001:i:6:p:441-49 [Citation Analysis]	12
2006	Evaluating predictive performance of value-at-risk models in emerging markets: a reality check RePEc:jof:jforec:v:25:y:2006:i:2:p:101-128 [Citation Analysis]	11
2003	On SETAR non-linearity and forecasting RePEc:jof:jforec:v:22:y:2003:i:5:p:359-375 [Citation Analysis]	11
2008	Scalar BEKK and indirect DCC RePEc:jof:jforec:v:27:y:2008:i:6:p:537-549 [Citation Analysis]	11
2005	Beating the random walk in Central and Eastern Europe RePEc:jof:jforec:v:24:y:2005:i:3:p:189-201 [Citation Analysis]	10
2003	Selection of Value-at-Risk models RePEc:jof:jforec:v:22:y:2003:i:4:p:337-358 [Citation Analysis]	10
2006	Autoregressive gamma processes RePEc:jof:jforec:v:25:y:2006:i:2:p:129-152 [Citation Analysis]	9
2004	Forecasting football results and the efficiency of fixed-odds betting RePEc:jof:jforec:v:23:y:2004:i:1:p:51-66 [Citation Analysis]	9
2004	Comparing the accuracy of density forecasts from competing models RePEc:jof:jforec:v:23:y:2004:i:8:p:541-557 [Citation Analysis]	8
2006	Building neural network models for time series: a statistical approach RePEc:jof:jforec:v:25:y:2006:i:1:p:49-75 [Citation Analysis]	8
2010	Dynamic probit models and financial variables in recession forecasting RePEc:jof:jforec:v:29:y:2010:i:1-2:p:215-230 [Citation Analysis]	8
2005	Prediction intervals for exponential smoothing using two new classes of state space models RePEc:jof:jforec:v:24:y:2005:i:1:p:17-37 [Citation Analysis]	8
2002	A Threshold Stochastic Volatility Model. RePEc:jof:jforec:v:21:y:2002:i:7:p:473-500 [Citation Analysis]	8
2008	Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data RePEc:jof:jforec:v:27:y:2008:i:5:p:371-390 [Citation Analysis]	7
2010	Combining inflation density forecasts RePEc:jof:jforec:v:29:y:2010:i:1-2:p:231-250 [Citation Analysis]	7
2001	Testing in Unobserved Components Models. RePEc:jof:jforec:v:20:y:2001:i:1:p:1-19 [Citation Analysis]	7
2002	Forecasting Daily Foreign Exchange Rates Using Genetically Optimized Neural Networks. RePEc:jof:jforec:v:21:y:2002:i:7:p:501-11 [Citation Analysis]	7
2008	Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate RePEc:jof:jforec:v:27:y:2008:i:1:p:41-51 [Citation Analysis]	6
2001	A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate. RePEc:jof:jforec:v:20:y:2001:i:2:p:135-43 [Citation Analysis]	6
2003	Subset threshold autoregression RePEc:jof:jforec:v:22:y:2003:i:1:p:49-66 [Citation Analysis]	6
2005	The multi-chain Markov switching model RePEc:jof:jforec:v:24:y:2005:i:7:p:523-537 [Citation Analysis]	6
2011	Forecasting private consumption: survey‐based indicators vs. Google trends RePEc:jof:jforec:v:30:y:2011:i:6:p:565-578 [Citation Analysis]	6
2007	The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries RePEc:jof:jforec:v:26:y:2007:i:2:p:77-94 [Citation Analysis]	6
2005	Nowcasting quarterly GDP growth in a monthly coincident indicator model RePEc:jof:jforec:v:24:y:2005:i:8:p:575-592 [Citation Analysis]	5
2001	Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection. RePEc:jof:jforec:v:20:y:2001:i:6:p:425-40 [Citation Analysis]	5
2002	Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency. RePEc:jof:jforec:v:21:y:2002:i:3:p:181-92 [Citation Analysis]	5
2007	Forecasting inflation using economic indicators: the case of France The views expressed in the paper are those of the authors and do not necessarily reflect those of RePEc:jof:jforec:v:26:y:2007:i:1:p:1-22 [Citation Analysis]	5
2006	The importance of interest rates for forecasting the exchange rate RePEc:jof:jforec:v:25:y:2006:i:3:p:209-221 [Citation Analysis]	5
2004	Medium-term forecasts of potential GDP and inflation using age structure information RePEc:jof:jforec:v:23:y:2004:i:1:p:19-49 [Citation Analysis]	5
2001	Analysis of the US Business Cycle with a Vector-Markov-Switching Model. RePEc:jof:jforec:v:20:y:2001:i:1:p:47-61 [Citation Analysis]	5
2009	Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment RePEc:jof:jforec:v:28:y:2009:i:2:p:167-182 [Citation Analysis]	5
2010	GDP nowcasting with ragged-edge data: a semi-parametric modeling RePEc:jof:jforec:v:29:y:2010:i:1-2:p:186-199 [Citation Analysis]	4
	repec:jof:jforec:v:27:y:2008:i:7:p:621-636 [Citation Analysis]	4
2004	Updating ARMA predictions for temporal aggregates RePEc:jof:jforec:v:23:y:2004:i:4:p:275-296 [Citation Analysis]	4
2005	A common model approach to macroeconomics: using panel data to reduce sampling error RePEc:jof:jforec:v:24:y:2005:i:3:p:203-219 [Citation Analysis]	4

Citing documents used to compute impact factor 23:

Year	Title	See
2010	Efficient Bayesian Estimation and Combination of GARCH-Type Models RePEc:dgr:uvatin:20100046	[Citation Analysis]
2010	Efficient Bayesian estimation and combination of GARCH-type models RePEc:pra:mprapa:22919	[Citation Analysis]
2010	Should We Trust in Leading Indicators? Evidence from the Recent Recession RePEc:iwh:dispap:10-10	[Citation Analysis]
2010	Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model RePEc:pre:wpaper:201019	[Citation Analysis]
2010	Automatic forecasting with a modified exponential smoothing state space framework RePEc:msh:ebswps:2010-10	[Citation Analysis]
2010	Forecasting with DSGE models RePEc:ecb:ecbwps:20101185	[Citation Analysis]
2010	The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy RePEc:cfs:cfswop:wp201008	[Citation Analysis]
2010	The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy RePEc:cpr:ceprdp:7870	[Citation Analysis]
2010	Forecasting volatility with support vector machine-based GARCH model RePEc:jof:jforec:v:29:y:2010:i:4:p:406-433	[Citation Analysis]
2010	GDP nowcasting with ragged-edge data: a semi-parametric modeling RePEc:hal:cesptp:halshs-00460461	[Citation Analysis]
2010	Outliers in Garch models and the estimation of risk measures RePEc:cte:wsrepe:ws100502	[Citation Analysis]
2010	The Impact Of The Global Crisis on Canada: What Do Macro-Financial Linkages Tell Us? RePEc:imf:imfwpa:10/5	[Citation Analysis]
2010	External Linkages and Economic Growth in Colombia: Insights from a Bayesian VAR Model RePEc:bla:worlde:v:33:y:2010:i:12:p:1788-1810	[Citation Analysis]
2010	Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH RePEc:tky:fseres:2010cf704	[Citation Analysis]
2010	Ranking Multivariate GARCH Models by Problem Dimension RePEc:cfi:fseres:cf219	[Citation Analysis]
2010	Ranking multivariate GARCH models by problem dimension RePEc:dgr:eureir:1765019447	[Citation Analysis]
2010	Is hazard or probit more accurate in predicting financial distress? Evidence from U.S. bank failures RePEc:pra:mprapa:24688	[Citation Analysis]
2010	Risk Management of Precious Metals RePEc:cbt:econwp:10/37	[Citation Analysis]
2010	Monetary policy, housing booms and financial (im)balances RePEc:ecb:ecbwps:20101178	[Citation Analysis]
2010	Forecasting with Factor-augmented Error Correction RePEc:bir:birmec:09-06r	[Citation Analysis]
2010	Monetary policy, housing booms and financial (im)balances RePEc:zbw:bubdp1:201007	[Citation Analysis]
2010	Forecasting with Factor-augmented Error Correction Models RePEc:cpr:ceprdp:7677	[Citation Analysis]
2010	Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production RePEc:lmu:muenec:11442	[Citation Analysis]

Cites in year: CiY