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1by David E. Rapach Jack K. Strauss Guofu Zhou Published in The Review of financial studies (01.02.2010)“...Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent out-of-sample...”
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2“...We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from...”
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3by Barbara Rossi Published in Journal of economic literature (01.12.2013)“...The main goal of this article is to provide an answer to the question: does anything forecast exchange rates, and if so, which variables? It is well known that...”
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4by Gary Koop Dimitris Korobilis Published in International economic review (Philadelphia) (01.08.2012)“...We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods that incorporate dynamic model averaging. These methods...”
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5“...We propose new indices to measure macroeconomic uncertainty. The indices measure how unexpected a realization of a representative macroeconomic variable is...”
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6by Torben G. Andersen Tim Bollerslev Francis X. Diebold Published in The review of economics and statistics (01.11.2007)“...A growing literature documents important gains in asset return volatility forecasting via use of realized variation measures constructed from high-frequency...”
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7by RON ALQUIST LUTZ KILIAN Published in Journal of applied econometrics (Chichester, England) (01.06.2010)“...Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean-squared prediction error sense...”
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8“...We propose a framework for out-of-sample predictive ability testing and forecast selection designed for use in the realistic situation in which the forecasting...”
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9by Rossi, Barbara Inoue, Atsushi Published in Journal of business & economic statistics (01.07.2012)“...This article proposes new methodologies for evaluating economic models' out-of-sample forecasting performance that are robust to the choice of the estimation...”
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10by Christopher J. Neely David E. Rapach Jun Tu Guofu Zhou Published in Management science (01.07.2014)“...Academic research relies extensively on macroeconomic variables to forecast the U.S. equity risk premium, with relatively little attention paid to the...”
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11“...This paper develops a theory of expectations-driven business cycles based on learning. Agents have incomplete knowledge about how market prices are determined...”
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12by RAFFAELLA GIACOMINI BARBARA ROSSI Published in Journal of applied econometrics (Chichester, England) (01.06.2010)“...We propose new methods for comparing the out-of-sample forecasting performance of two competing models in the presence of possible instabilities. The main idea...”
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13by ANTONELLO D'AGOSTINO LUCA GAMBETTI DOMENICO GIANNONE Published in Journal of applied econometrics (Chichester, England) (01.02.2013)“...The aim of this paper is to assess whether modeling structural change can help improving the accuracy of macroeconomic forecasts. We conduct a simulated...”
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14“...We examine the accuracy and contribution of the Merton distance to default (DD) model, which is based on Merton's (1974) bond pricing model. We compare the...”
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15by Potočnik, Primož Soldo, Božidar Šimunović, Goran Šarić, Tomislav Jeromen, Andrej Govekar, Edvard Published in Applied energy (15.09.2014)“...•Comparisons of static and adaptive models for natural gas consumption forecasting.•Comparisons of linear and nonlinear forecasting models (ARX, neural...”
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16by Torben G. Andersen Tim Bollerslev Francis X. Diebold Paul Labys Published in Econometrica (01.03.2003)“...We provide a framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return...”
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17by Christopher D. Carroll Published in The Quarterly journal of economics (01.02.2003)“...Economists have long emphasized the importance of expectations in determining macroeconomic outcomes. Yet there has been almost no recent effort to model...”
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18by Stock, James H Watson, Mark W Published in Journal of business & economic statistics (01.10.2012)“...This article provides a simple shrinkage representation that describes the operational characteristics of various forecasting methods designed for a large...”
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19“...Forecasts guide decisions in all areas of economics and finance and their value can only be understood in relation to, and in the context of, such decisions...”
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20“...A lot. We derive common and conflicting predictions from models in which agents face information constraints and then assess their validity using surveys of...”