1. Specification Choices in Quantile Regression for Empirical Macroeconomics. (2025). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:40:y:2025:i:1:p:57-73.

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2. The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea.
   In: Working Paper Series.
   RePEc:ecb:ecbwps:20253028.

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3. The Taming of the Skew : Asymmetric Inflation Risk and Monetary Policy. (2024). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea.
   In: The Warwick Economics Research Paper Series (TWERPS).
   RePEc:wrk:warwec:1530.

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4. Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics. (2024). Poon, Aubrey ; Mitchell, James ; Zhu, Dan.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:39:y:2024:i:5:p:790-812.

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5. Time-varying firm cash holding and economic policy uncertainty nexus: a quantile regression approach. (2024). Magerakis, Efstathios ; Gkillas, Konstantinos ; Galariotis, Emilios ; Floros, Christos ; Zopounidis, Constantin.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:341:y:2024:i:2:d:10.1007_s10479-024-06176-1.

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6. Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging. (2024). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen.
   In: Working Papers.
   RePEc:pre:wpaper:202420.

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7. Inflation at risk. (2024). Loria, Francesca ; Lopez-Salido, David.
   In: Journal of Monetary Economics.
   RePEc:eee:moneco:v:145:y:2024:i:s:s0304393224000230.

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8. International vulnerability of inflation. (2024). Ortega, Esther Ruiz ; Rodrguez, Carlos Vladimir ; Vedia, Ignacio Garrn.
   In: DES - Working Papers. Statistics and Econometrics. WS.
   RePEc:cte:wsrepe:44814.

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9. Merging Structural and Reduced-Form Models for Forecasting. (2024). Piersanti, Fabio Massimo ; onorante, luca ; Martinez-Martin, Jaime ; Massimo, Piersanti Fabio ; Luca, Onorante ; Richard, Morris ; Jaime, Martinez-Martin.
   In: The B.E. Journal of Macroeconomics.
   RePEc:bpj:bejmac:v:24:y:2024:i:1:p:399-437:n:2.

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10. International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C.
    In: Papers.
    RePEc:arx:papers:2410.20628.

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11. TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES. (2023). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd.
    In: International Economic Review.
    RePEc:wly:iecrev:v:64:y:2023:i:3:p:979-1022.

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12. Can Machine Learning Models Predict Inflation?. (2023). Codru, Ivacu.
    In: Proceedings of the International Conference on Business Excellence.
    RePEc:vrs:poicbe:v:17:y:2023:i:1:p:1748-1756:n:10.

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13. Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2023). Poon, Aubrey ; Mitchell, James ; Zhu, Dan.
    In: Working Papers.
    RePEc:fip:fedcwq:94160.

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14. THE CHANGING DYNAMICS OF ALBANIAN INFLATION: A QUANTILE REGRESSION APPROACH. (2022). Skufi, Lorena ; Papavangjeli, Meri.
    In: MPRA Paper.
    RePEc:pra:mprapa:116115.

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15. Specification Choices in Quantile Regression for Empirical Macroeconomics. (2022). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers.
    RePEc:fip:fedcwq:94690.

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16. Tail Forecasting with Multivariate Bayesian Additive Regression Trees. (2022). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd.
    In: Working Papers.
    RePEc:fip:fedcwq:90366.

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17. Modeling tail risks of inflation using unobserved component quantile regressions. (2022). Pfarrhofer, Michael.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:143:y:2022:i:c:s016518892200197x.

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18. The Term Structure of Inflation at Risk: A Panel Quantile Regression Approach. (2022). Norimasa, Yoshihiko ; Makabe, Yoshibumi.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:wp22e04.

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19. The time-varying risk of Italian GDP. (2021). Pacella, Claudia ; Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001115.

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20. Fan charts 2.0: flexible forecast distributions with expert judgement. (2021). Sokol, Andrej.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20212624.

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21. Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*. (2021). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:83:y:2021:i:4:p:982-1001.

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22. Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd.
    In: Papers.
    RePEc:arx:papers:2110.03411.

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23. Modeling tail risks of inflation using unobserved component quantile regressions. (2021). Pfarrhofer, Michael.
    In: Papers.
    RePEc:arx:papers:2103.03632.

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24. Inflation at Risk. (2020). Lopez-Salido, David ; Loria, Francesca.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2020-13.

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25. Nowcasting Tail Risks to Economic Activity with Many Indicators. (2020). Marcellino, Massimiliano ; Clark, Todd.
    In: Working Papers.
    RePEc:fip:fedcwq:87955.

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26. Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers.
    RePEc:fip:fedcwq:87375.

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27. The time-varying risk of Italian GDP. (2020). Pacella, Claudia ; Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1288_20.

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28. Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1270_20.

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29. Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach. (2020). Phella, Anthoulla.
    In: Papers.
    RePEc:arx:papers:2010.12263.

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30. Semiparametric quantile averaging in the presence of high-dimensional predictors. (2019). Zerom, Dawit ; Gooijer, Jan G. ; de Gooijer, Jan G.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:3:p:891-909.

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31. Domestic and global determinants of inflation: evidence from expectile regression. (2019). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1225_19.

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32. Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors. (2018). Schmidt, Katja ; Faubert, Violaine ; Béreau, Sophie ; Bereau, S.
    In: Working papers.
    RePEc:bfr:banfra:663.

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33. Dynamic Relations of Consumer Prices: A Case Study of Recent Effects on the Japanese Headline CPI. (2016). Tsuji, Chikashi.
    In: Journal of Social Science Studies.
    RePEc:mth:jsss88:v:3:y:2016:i:2:p:28-39.

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34. Forecasting the Distribution of Economic Variables in a Data-Rich Environment. (2015). Manzan, Sebastiano.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:33:y:2015:i:1:p:144-164.

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35. Model uncertainty and the forecast accuracy of ARMA models: A survey. (2015). Veiga, Helena ; Ruiz, Esther ; Gonalves, Mazzeu ; Joao, Henrique .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1508.

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36. On the conditional distribution of euro area inflation forecast. (2015). Rodano, Lisa ; Caivano, Michele ; Busetti, Fabio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1027_15.

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37. Forecasting in nonstationary environments: What works and what doesnt in reduced-form and structural models. (2014). Rossi, Barbara ; Giacomini, Raffaella.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1476.

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38. Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set. (2014). Sekhposyan, Tatevik ; Rossi, Barbara.
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    RePEc:eee:intfor:v:30:y:2014:i:3:p:662-682.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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

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

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

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

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

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

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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48. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Discussion Papers.
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49. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
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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.

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