1. A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm. (2020). Mumtaz, Haroon.
   In: Working Papers.
   RePEc:qmw:qmwecw:908.

   Full description at Econpapers || Download paper

2. Forecasting economic activity with mixed frequency BVARs. (2019). Brave, Scott ; Butters, Andrew R ; Justiniano, Alejandro.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:35:y:2019:i:4:p:1692-1707.

   Full description at Econpapers || Download paper

3. Common and country specific economic uncertainty. (2017). Theodoridis, Konstantinos ; mumtaz, haroon.
   In: Journal of International Economics.
   RePEc:eee:inecon:v:105:y:2017:i:c:p:205-216.

   Full description at Econpapers || Download paper

4. Forecasting Economic Activity with Mixed Frequency Bayesian VARs. (2016). Brave, Scott ; Butters, Andrew R ; Justiniano, Alejandro.
   In: Working Paper Series.
   RePEc:fip:fedhwp:wp-2016-05.

   Full description at Econpapers || Download paper

5. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors. (2016). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
   In: Working Papers (Old Series).
   RePEc:fip:fedcwp:1617.

   Full description at Econpapers || Download paper

6. A MIDAS approach to modeling first and second moment dynamics. (2016). Valkanov, Rossen ; Pettenuzzo, Davide ; Timmermann, Allan.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:193:y:2016:i:2:p:315-334.

   Full description at Econpapers || Download paper

7. Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR. (2016). Huber, Florian ; Feldkircher, Martin ; Dovern, Jonas.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:70:y:2016:i:c:p:86-100.

   Full description at Econpapers || Download paper

8. Does Joint Modelling of the World Economy Pay Off? Evaluating Multivariate Forecasts from a Bayesian GVAR. (2015). Huber, Florian ; Feldkircher, Martin ; Dovern, Jonas.
   In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
   RePEc:zbw:vfsc15:112999.

   Full description at Econpapers || Download paper

9. Large Vector Autoregressions with Asymmetric Priors. (2015). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
   In: Working Papers.
   RePEc:qmw:qmwecw:wp759.

   Full description at Econpapers || Download paper

10. Large Vector Autoregressions with Asymmetric Priors. (2015). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers.
    RePEc:qmw:qmwecw:759.

    Full description at Econpapers || Download paper

11. “Measuaring Uncertainty in the Stock Market”. (2015). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201524.

    Full description at Econpapers || Download paper

12. Point and density forecasts for the euro area using Bayesian VARs. (2015). Henzel, Steffen ; Berg, Tim.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:4:p:1067-1095.

    Full description at Econpapers || Download paper

13. Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections. (2015). Lenza, Michele ; Giannone, Domenico ; Banbura, Marta ; Babura, Marta.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:739-756.

    Full description at Econpapers || Download paper

14. Macroeconomic information, structural change, and the prediction of fiscal aggregates. (2015). Theophilopoulou, Angeliki ; mumtaz, haroon ; Carriero, Andrea.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:2:p:325-348.

    Full description at Econpapers || Download paper

15. Forecasting Global Equity Indices Using Large Bayesian VARs. (2014). Piribauer, Philipp ; Krisztin, Tamás ; Huber, Florian.
    In: Department of Economics Working Paper Series.
    RePEc:wiw:wus005:4318.

    Full description at Econpapers || Download paper

16. Forecasting Global Equity Indices using Large Bayesian VARs. (2014). Piribauer, Philipp ; Krisztin, Tamás ; Huber, Florian.
    In: Department of Economics Working Papers.
    RePEc:wiw:wiwwuw:wuwp184.

    Full description at Econpapers || Download paper

17. Term-structure of consumption risk premia in the cross-section of currency returns. (2014). Zviadadze, Irina.
    In: 2014 Meeting Papers.
    RePEc:red:sed014:1075.

    Full description at Econpapers || Download paper

18. The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis. (2014). Theodoridis, Konstantinos ; mumtaz, haroon.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp735.

    Full description at Econpapers || Download paper

19. Financial Regimes and Uncertainty Shocks. (2014). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp729.

    Full description at Econpapers || Download paper

20. The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis. (2014). Theodoridis, Konstantinos ; mumtaz, haroon.
    In: Working Papers.
    RePEc:qmw:qmwecw:735.

    Full description at Econpapers || Download paper

21. Financial Regimes and Uncertainty Shocks. (2014). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: Working Papers.
    RePEc:qmw:qmwecw:729.

    Full description at Econpapers || Download paper

22. Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections. (2014). Lenza, Michele ; Giannone, Domenico ; Banbura, Marta ; Babura, Marta.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141733.

    Full description at Econpapers || Download paper

23. Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections. (2014). Lenza, Michele ; Giannone, Domenico ; Banbura, Marta.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/158499.

    Full description at Econpapers || Download paper

24. Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections. (2014). Lenza, Michele ; Giannone, Domenico ; Banbura, Marta.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9931.

    Full description at Econpapers || Download paper

25. No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2014). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9848.

    Full description at Econpapers || Download paper

26. Financial regimes and uncertainty shocks. (2014). mumtaz, haroon ; Alessandri, Piergiorgio.
    In: BCAM Working Papers.
    RePEc:bbk:bbkcam:1404.

    Full description at Econpapers || Download paper

27. Measuring Uncertainty. (2013). Ng, Serena ; Ludvigson, Sydney ; Jurado, Kyle.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19456.

    Full description at Econpapers || Download paper

28. Trend inflation in advanced economies. (2013). Nelson, Edward ; Mertens, Elmar ; Garnier, Christine .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-74.

    Full description at Econpapers || Download paper

29. Large time-varying parameter VARs. (2013). Koop, Gary ; Korobilis, Dimitris.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:185-198.

    Full description at Econpapers || Download paper

30. Forecasting Output. (2013). Potter, Simon ; Chauvet, Marcelle.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-141.

    Full description at Econpapers || Download paper

31. Advances in Forecasting under Instability. (2013). Rossi, Barbara.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-1203.

    Full description at Econpapers || Download paper

32. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility. (2013). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9312.

    Full description at Econpapers || Download paper

33. Measuring Disagreement in Qualitative Survey Data. (2013). Sheng, Xuguang ; Yang, Jingyun ; Mokinski, Frieder.
    In: Working Papers.
    RePEc:amu:wpaper:2013-04.

    Full description at Econpapers || Download paper

34. Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1227.

    Full description at Econpapers || Download paper

35. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility. (2012). Ravazzolo, Francesco ; Clark, Todd.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1218.

    Full description at Econpapers || Download paper

36. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility. (2012). Ravazzolo, Francesco ; Clark, Todd.
    In: Working Paper.
    RePEc:bno:worpap:2012_09.

    Full description at Econpapers || Download paper

References contributed by korobilis-25591

1. Adolfson, M., Linde, J., and Villani, M., 2007. Forecasting Performance of an Open Economy DSGE Model, Econometric Reviews 26, 289-328. Amisano, G., and Giacomini, R., 2007. Comparing Density Forecasts via Weighted Likelihood Ratio Tests, Journal of Business and Economic Statistics 25, 177-190 Banbura, M., Giannone, D., and Reichlin, L., 2010. Large Bayesian Vector Autoregressions, Journal of Applied Econometrics 25(1), 71-92.

2. Bernanke B., Boivin, J., and Eliasz, P.S., 2005. Measuring the Eects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach, Quarterly Journal of Economics 120(1), 387-422 Carriero, A., Kapetanios, G., and Marcellino M., 2011. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models, Journal of Applied Econometrics 2 (5), 735-761.

3. Chib, S., Nardari, F., and Shephard, N., 2002. Markov Chain Monte Carlo Methods for Stochastic Volatility Models, Journal of Econometrics 108(2), 281-316.

4. Chib, S., Nardari, F., and Shephard, N., 2006. Analysis of High Dimensional Multivariate Stochastic Volatility Models, Journal of Econometrics 134(2), 341-371.

5. Clark, T., 2011. Real-Time Density Forecasts from BVARs with Stochastic Volatility, Journal of Business and Economic Statistics 29, 327-341.

6. Clark, T., and Davig, T., 2011 Decomposing the declining volatility of long-term in ation expectations, Journal of Economic Dynamics and Control, 35(7), 981-999.

7. Clark, T., and McCracken, M., 2011a. Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy, manuscript, Federal Reserve Bank of St. Louis.

8. Clark, T., and McCracken, M., 2011b. Testing for Unconditional Predictive Ability, in Oxford Handbook of Economic Forecasting, Michael P. Clements and David F. Hendry, eds., Oxford: Oxford University Press.

9. Cogley, T., and Sargent, T., 2005. Drifts and Volatilities: Monetary Policies and Outcomes in the post-WWII US, Review of Economic Dynamics 8 (2), 262-302.

10. Croushore, D., 2006. Forecasting with Real-Time Macroeconomic Data, in Handbook of Economic Forecasting, eds. G. Elliott, C. Granger, and A. Timmermann, Amsterdam: North Holland.

11. Croushore, D., and Stark, T., 2001. A Real-Time Data Set for Macroeconomists, Journal of Econometrics 105, 111-30.

12. Del Negro, M., and Otrok, C., 2008. Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles, manuscript, Federal Reserve Bank of New York.

13. Del Negro, M., and Schorfheide, F., 2004. Priors from General Equilibrium Models for VARs, International Economic Review 45(2), 643-673.

14. Diebold, F., and Mariano, R., 1995. Comparing Predictive Accuracy, Journal of Business and Economic Statistics 13, 253-263.

15. Faust, J., and Wright, J., 2009. Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset, Journal of Business and Economic Statistics 27, 468- 479.

16. Geweke, J., 1992. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments, in: Bernardo, J., Berger, J., Dawid, A., Smith, A. (Eds.), Bayesian Statistics 4. Clarendon Press, Oxford, pp. 641-649.
    Paper not yet in RePEc: Add citation now
    
17. Geweke, J., 2005. Contemporary Bayesian Econometrics and Statistics, Wiley, Hoboken, New Jersey.
    Paper not yet in RePEc: Add citation now
    

18. Geweke, J., and Amisano, G., 2010. Comparing and Evaluating Bayesian Predictive Distributions of Asset Returns, International Journal of Forecasting 26, 216-230.

19. Harvey, D., Leybourne, S. and Newbold, P., 1997. Testing the Equality of Prediction Mean Squared Errors, International Journal of Forecasting 13, 281-291.

20. Jacquier, E., Polson, N., and Rossi, P., 1994, Bayesian Analysis of Stochastic Volatility Models, Journal of Business and Economic Statistics 12, 371-418.

21. Jacquier, E., Polson, N., and Rossi, P., 1995. Stochastic Volatility: Univariate and Multivariate Extensions, Working Paper 19-95, Rodney L. White Center for Financial Research.
    Paper not yet in RePEc: Add citation now
    

22. Kadiyala, K., and Karlsson, S., 1997. Numerical Methods for Estimation and Inference in Bayesian VAR-Models, Journal of Applied Econometrics 12(2), 99-132.

23. Koop, G., 2012. Forecasting with Medium and Large Bayesian VARs, Journal of Applied Econometrics, forthcoming.
    Paper not yet in RePEc: Add citation now
    

24. Koop, G., and Korobilis, D., 2012. Large Time-Varying Parameter VARs, manuscript, University of Strathclyde.

25. Litterman, R., 1986. Forecasting with Bayesian Vector Autoregressions-Five Years of Experience, Journal of Business and Economic Statistics 4, 25-38.

26. Newey, W., and West, K., 1987. A Simple, Positive Semi-denite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica 55, 703-08.

27. Osiewalski, J., and Pajor, A., 2009. Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility, Central European Journal of Economic Modelling and Econometrics 1, 179-202.

28. Pajor, A., 2006. Bayesian Analysis of the Conditional Correlation Between Stock Index Returns with Multivariate Stochastic Volatility Models, Acta Physica Polonica B 37, 3093-3103.

29. Primiceri, G., 2005. Time Varying Structural Vector Autoregressions and Monetary Policy, Review of Economic Studies 72, 821-852.

30. Romer, C., and Romer, D., 2000. Federal Reserve Information and the Behavior of Interest Rates, American Economic Review 90, 429-457.

31. Sims, C., 1993. A Nine-Variable Probabilistic Macroeconomic Forecasting Model, in Business Cycles, Indicators and Forecasting, James H. Stock and Mark W. Watson, editors, University of Chicago Press, 179-212.

32. Sims, C., 2002. The Role of Models and Probabilities in the Monetary Policy Process, Brookings Papers on Economic Activity 2, 1-40.

33. Sims, C., and Zha, T., 1998. Bayesian Methods for Dynamic Multivariate Models, International Economic Review 39(4), 949{68.

34. Stock, J.H., and Watson, M.H., 2002. Macroeconomic Forecasting Using Diusion Indexes, Journal of Business and Economic Statistics 20(2), 147-162.
    Paper not yet in RePEc: Add citation now
    

1. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance. (2017). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20150084.

   Full description at Econpapers || Download paper

2. The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling. (2015). Chan, Joshua ; Joshua C. C. Chan, .
   In: CAMA Working Papers.
   RePEc:een:camaaa:2015-07.

   Full description at Econpapers || Download paper

3. Optimal combination of survey forecasts. (2015). Giannone, Domenico ; Conflitti, Cristina ; de Mol, Christine.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:31:y:2015:i:4:p:1096-1103.

   Full description at Econpapers || Download paper

4. Point and density forecasts for the euro area using Bayesian VARs. (2015). Henzel, Steffen ; Berg, Tim.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:31:y:2015:i:4:p:1067-1095.

   Full description at Econpapers || Download paper

5. Asymmetric Quantile Persistence and Predictability: the Case of US Inflation. (2015). Zerom, Dawit ; Manzan, Sebastiano.
   In: Oxford Bulletin of Economics and Statistics.
   RePEc:bla:obuest:v:77:y:2015:i:2:p:297-318.

   Full description at Econpapers || Download paper

6. Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR. (2015). Huber, Florian ; Feldkircher, Martin ; Dovern, Jonas.
   In: Working Papers.
   RePEc:awi:wpaper:0590.

   Full description at Econpapers || Download paper

7. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics. (2014). Valkanov, Rossen ; Pettenuzzo, Davide ; Timmermann, Allan G.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10160.

   Full description at Econpapers || Download paper

8. Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts. (2014). Wang, Mu-Chun ; Demetrescu, Matei.
   In: Oxford Bulletin of Economics and Statistics.
   RePEc:bla:obuest:v:76:y:2014:i:2:p:287-297.

   Full description at Econpapers || Download paper

9. Bond returns and market expectations. (2013). Giacomini, Raffaella ; Costantini, Riccardo ; Altavilla, Carlo.
   In: CeMMAP working papers.
   RePEc:ifs:cemmap:20/13.

   Full description at Econpapers || Download paper

10. Money Growth and Inflation: evidence from a Markov Switching Bayesian VAR. (2013). Colavecchio, Roberta ; amisano, gianni.
    In: Macroeconomics and Finance Series.
    RePEc:hep:macppr:201304.

    Full description at Econpapers || Download paper

11. Assessment of probabilistic forecasts: Proper scoring rules and moments. (2012). Tsyplakov, Alexander.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0181.

    Full description at Econpapers || Download paper

12. Constructing Optimal Density Forecasts from Point Forecast Combinations. (2012). Lima, Luiz ; Gaglianone, Wagner ; Luiz Renato Regis de Oliveira Lima, .
    In: Série Textos para Discussão (Working Papers).
    RePEc:ppg:ppgewp:5.

    Full description at Econpapers || Download paper

13. Multivariate Rotated ARCH Models. (2012). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
    In: Economics Papers.
    RePEc:nuf:econwp:1201.

    Full description at Econpapers || Download paper

14. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18467.

    Full description at Econpapers || Download paper

15. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). Caporin, Massimiliano ; McAleer, Michael.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:815.

    Full description at Econpapers || Download paper

16. Common drifting volatility in large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1206.

    Full description at Econpapers || Download paper

17. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2012/08.

    Full description at Econpapers || Download paper

18. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8894.

    Full description at Econpapers || Download paper

19. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8755.

    Full description at Econpapers || Download paper

20. Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters*. (2011). onorante, luca ; Koop, Gary.
    In: Working Papers.
    RePEc:str:wpaper:1109.

    Full description at Econpapers || Download paper

21. Multivariate High-Frequency-Based Volatility (HEAVY) Models. (2011). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
    In: Economics Papers.
    RePEc:nuf:econwp:1101.

    Full description at Econpapers || Download paper

22. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models. (2011). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; Ng, Jason ; Brendan P. M. McCabe, .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2011-11.

    Full description at Econpapers || Download paper

23. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). Panchenko, Valentyn ; van Dijk, Dick ; Diks, Cees.
    In: Post-Print.
    RePEc:hal:journl:peer-00834423.

    Full description at Econpapers || Download paper

24. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00658540.

    Full description at Econpapers || Download paper

25. Scoring rules and survey density forecasts. (2011). Wallis, Kenneth ; Smith, Jeremy ; Boero, Gianna.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:379-393.

    Full description at Econpapers || Download paper

26. Multivariate semi-nonparametric distributions with dynamic conditional correlations. (2011). Perote, Javier ; Ñíguez Grau, Trino ; DEL BRIO, ESTHER.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:347-364.

    Full description at Econpapers || Download paper

27. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:215-230.

    Full description at Econpapers || Download paper

28. Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Thomas ; Maheu, John.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:69-76.

    Full description at Econpapers || Download paper

29. Real-time inflation forecast densities from ensemble Phillips curves. (2011). Wakerly, Elizabeth ; Vahey, Shaun ; Mitchell, James ; Garratt, Anthony.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:22:y:2011:i:1:p:77-87.

    Full description at Econpapers || Download paper

30. Combining VAR and DSGE forecast densities. (2011). Vahey, Shaun ; Mitchell, James ; Bache, Ida Wolden ; Jore, Anne Sofie.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:10:p:1659-1670.

    Full description at Econpapers || Download paper

31. Measuring Core Inflation in Australia with Disaggregate Ensembles. (2010). Vahey, Shaun P ; Ravazzolo, Francesco.
    In: RBA Annual Conference Volume (Discontinued).
    RePEc:rba:rbaacv:acv2009-10.

    Full description at Econpapers || Download paper

32. Combining forecast densities from VARs with uncertain instabilities. (2010). Vahey, Shaun ; Mitchell, James ; Jore, Anne Sofie.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:4:p:621-634.

    Full description at Econpapers || Download paper

33. Testing for unconditional predictive ability. (2010). McCracken, Michael ; Clark, Todd.
    In: Working Papers.
    RePEc:fip:fedlwp:2010-031.

    Full description at Econpapers || Download paper

34. Comparing and evaluating Bayesian predictive distributions of asset returns. (2010). Geweke, John ; amisano, gianni.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:2:p:216-230.

    Full description at Econpapers || Download paper

35. Retrieving risk neutral densities from European option prices based on the principle of maximum entropy. (2010). Rompolis, Leonidas.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:5:p:918-937.

    Full description at Econpapers || Download paper

36. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2010). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:9:p:1596-1609.

    Full description at Econpapers || Download paper

37. Forecasting with DSGE models. (2010). Warne, Anders ; Coenen, Günter ; Christoffel, Kai.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101185.

    Full description at Econpapers || Download paper

38. Long memory and nonlinearities in realized volatility: a Markov switching approach.. (2010). Raggi, Davide ; Bordignon, S..
    In: Working Papers.
    RePEc:bol:bodewp:694.

    Full description at Econpapers || Download paper

39. Oil and US GDP: A real-time out-of-sample examination. (2010). Rothman, Philip ; Ravazzolo, Francesco.
    In: Working Paper.
    RePEc:bno:worpap:2010_18.

    Full description at Econpapers || Download paper

40. Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns. (2010). Tsiaras, Leonidas.
    In: CREATES Research Papers.
    RePEc:aah:create:2010-35.

    Full description at Econpapers || Download paper

41. Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?. (2009). Zerom, Dawit ; Manzan, Sebastiano.
    In: MPRA Paper.
    RePEc:pra:mprapa:14387.

    Full description at Econpapers || Download paper

42. Understanding forecast failure in ESTAR models of real exchange rates. (2009). Buncic, Daniel.
    In: MPRA Paper.
    RePEc:pra:mprapa:13121.

    Full description at Econpapers || Download paper

43. Testing Predictive Ability and Power Robustification. (2009). Song, Kyungchul.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:09-035.

    Full description at Econpapers || Download paper

44. Understanding forecast failure of ESTAR models of real exchange rates. (2009). Buncic, Daniel.
    In: EERI Research Paper Series.
    RePEc:eei:rpaper:eeri_rp_2009_18.

    Full description at Econpapers || Download paper

45. Inflation and Inflation Uncertainty in the Euro Area. (2009). Paesani, Paolo ; onorante, luca ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2720.

    Full description at Econpapers || Download paper

46. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Thomas ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-324.

    Full description at Econpapers || Download paper

47. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Discussion Papers.
    RePEc:swe:wpaper:2008-23.

    Full description at Econpapers || Download paper

48. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Discussion Papers.
    RePEc:swe:wpaper:2008-10.

    Full description at Econpapers || Download paper

49. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:08-10.

    Full description at Econpapers || Download paper

50. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:08-03.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 19:34:36 || Missing content? Let us know