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

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2. Capturing 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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3. 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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4. A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan.
   In: Papers.
   RePEc:arx:papers:2401.09874.

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5. The Distributional Predictive Content of Measures of Inflation Expectations. (2023). Zaman, Saeed ; Mitchell, James.
   In: Working Papers.
   RePEc:fip:fedcwq:97395.

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6. Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Alexander, Carol ; Han, Yang ; Meng, Xiaochun.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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7. Where do they care? The ECB in the media and inflation expectations. (2023). Korobilis, Dimitris ; Schrder, Maximilian.
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   RePEc:bny:wpaper:0116.

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8. Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks. (2022). Sokol, Andrej ; Eguren Martin, Fernando ; Eguren-Martin, Fernando.
   In: IMF Economic Review.
   RePEc:pal:imfecr:v:70:y:2022:i:3:d:10.1057_s41308-022-00160-0.

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9. Measuring exchange rate risks during periods of uncertainty. (2022). Ferrara, Laurent ; Yapi, Joseph.
   In: International Economics.
   RePEc:eee:inteco:v:170:y:2022:i:c:p:202-212.

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10. 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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11. Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2021). Sheng, Xuguang Simon ; Lahiri, Kajal ; Peng, Huaming.
    In: Working Papers.
    RePEc:gwc:wpaper:2021-005.

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12. Probabilistic forecasts of the distribution grid state using data-driven forecasts and probabilistic power flow. (2021). Mikut, Ralf ; Gonzalez-Ordiano, Jorge Angel ; Liu, Jianlei ; Akmak, Huseyin ; Braun, Eric ; Hagenmeyer, Veit ; Dupmeier, Clemens ; Kuhnapfel, Uwe ; Faulwasser, Timm ; Muhlpfordt, Tillmann ; Waczowicz, Simon ; Appino, Riccardo Remo.
    In: Applied Energy.
    RePEc:eee:appene:v:302:y:2021:i:c:s0306261921008837.

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13. 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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14. 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.
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15. Monetary policy and food inflation in South Africa: A quantile regression analysis. (2020). Iddrisu, Abdul-Aziz ; ALAGIDEDE, IMHOTEP.
    In: Food Policy.
    RePEc:eee:jfpoli:v:91:y:2020:i:c:s0306919219306384.

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16. Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren Martin, Fernando ; Eguren-Martin, Fernando.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20202387.

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17. Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). YAPI, Joseph ; Joseph, Niango Ange.
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18. Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2020). Sheng, Xuguang Simon ; Lahiri, Kajal ; Peng, Huaming.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8810.

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19. The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G.
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20. Estimating inflation persistence by quantile autoregression with quantile-specific unit roots. (2018). Rodrigues Figueiredo, Francisco ; Gaglianone, Wagner ; de Carvalho, Osmani Teixeira.
    In: Economic Modelling.
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21. Conditional Distributions of Crop Yields: A Bayesian Approach for Characterizing Technological Change. (2018). Ramsey, Austin.
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22. Applying a microfounded-forecasting approach to predict Brazilian inflation. (2017). Issler, João ; Gaglianone, Wagner ; Matos, Silvia Maria .
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23. Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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24. Quantile regression forecasts of inflation under model uncertainty. (2017). Korobilis, Dimitris.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:1:p:11-20.

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25. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. (2016). Caporin, Massimiliano ; Bonaccolto, Giovanni.
    In: JRFM.
    RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:8-:d:73460.

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26. Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline .
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    RePEc:bcb:wpaper:446.

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27. Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. (2016). Issler, João ; Gaglianone, Wagner ; Matos, Silvia Maria .
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    RePEc:bcb:wpaper:436.

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28. Financial Conditions Indicators for Brazil. (2016). Gaglianone, Wagner ; Areosa, Waldyr.
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    RePEc:bcb:wpaper:435.

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29. Quantile forecasts of inflation under model uncertainty. (2015). Korobilis, Dimitris.
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    RePEc:pra:mprapa:64341.

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30. Quantile forecasts of inflation under model uncertainty. (2015). Korobilis, Dimitris.
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    RePEc:gla:glaewp:2015_09.

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31. Microfounded forecasting. (2015). Issler, João ; Gaglianone, Wagner.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:766.

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32. Quantile forecasts of inflation under model uncertainty. (2015). Korobilis, Dimitris.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:680.

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33. Local Unit Root and Inflationary Inertia in Brazil. (2015). Rodrigues Figueiredo, Francisco ; Guillén, Osmani ; Gaglianone, Wagner ; de Carvalho, Osmani Teixeira.
    In: Working Papers Series.
    RePEc:bcb:wpaper:406.

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34. Quantile forecasts of inflation under model uncertainty. (2015). Korobilis, Dimitris.
    In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon.
    RePEc:ags:aaea07:680.

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35. Microfounded Forecasting. (2014). Issler, João ; Gaglianone, Wagner.
    In: Working Papers Series.
    RePEc:bcb:wpaper:372.

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5. Asymmetric Quantile Persistence and Predictability: the Case of US Inflation. (2015). Zerom, Dawit ; Manzan, Sebastiano.
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9. Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts. (2014). Wang, Mu-Chun ; Demetrescu, Matei.
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11. Money Growth and Inflation: evidence from a Markov Switching Bayesian VAR. (2013). Colavecchio, Roberta ; amisano, gianni.
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14. Multivariate Rotated ARCH Models. (2012). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
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15. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
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16. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). Caporin, Massimiliano ; McAleer, Michael.
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17. Common drifting volatility in large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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18. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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19. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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20. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
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21. Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters*. (2011). onorante, luca ; Koop, Gary.
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22. Multivariate High-Frequency-Based Volatility (HEAVY) Models. (2011). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
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23. 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, .
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24. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). Panchenko, Valentyn ; van Dijk, Dick ; Diks, Cees.
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25. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu.
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27. Scoring rules and survey density forecasts. (2011). Wallis, Kenneth ; Smith, Jeremy ; Boero, Gianna.
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28. Multivariate semi-nonparametric distributions with dynamic conditional correlations. (2011). Perote, Javier ; Ñíguez Grau, Trino ; DEL BRIO, ESTHER.
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29. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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31. Real-time inflation forecast densities from ensemble Phillips curves. (2011). Wakerly, Elizabeth ; Vahey, Shaun ; Mitchell, James ; Garratt, Anthony.
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32. Combining VAR and DSGE forecast densities. (2011). Vahey, Shaun ; Mitchell, James ; Bache, Ida Wolden ; Jore, Anne Sofie.
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35. Combining forecast densities from VARs with uncertain instabilities. (2010). Vahey, Shaun ; Mitchell, James ; Jore, Anne Sofie.
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36. Testing for unconditional predictive ability. (2010). McCracken, Michael ; Clark, Todd.
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37. Comparing and evaluating Bayesian predictive distributions of asset returns. (2010). Geweke, John ; amisano, gianni.
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38. Retrieving risk neutral densities from European option prices based on the principle of maximum entropy. (2010). Rompolis, Leonidas.
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39. Comparing the New Keynesian Phillips Curve with time series models to forecast inflation. (2010). Valderrama, Maria ; Rumler, Fabio.
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40. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2010). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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41. Forecasting with DSGE models. (2010). Warne, Anders ; Coenen, Günter ; Christoffel, Kai.
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42. Long memory and nonlinearities in realized volatility: a Markov switching approach.. (2010). Raggi, Davide ; Bordignon, S..
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43. Oil and US GDP: A real-time out-of-sample examination. (2010). Rothman, Philip ; Ravazzolo, Francesco.
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44. Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns. (2010). Tsiaras, Leonidas.
    In: CREATES Research Papers.
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45. The impacts of economic structures on the performance of simple policy rules in a small open economy. (2009). SEK, SIOK KUN ; Kun, Sek Siok.
    In: MPRA Paper.
    RePEc:pra:mprapa:25065.

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

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

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49. DSGE Model-Based Forecasting of Non-modelled Variables. (2009). Sill, Keith ; Schorfheide, Frank ; Kryshko, Maxym.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14872.

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50. A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model. (2009). Laforte, Jean-Philippe ; Kiley, Michael ; Edge, Rochelle.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2009-10.

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51. 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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52. 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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53. 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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54. 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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55. 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.

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56. Comparing the New Keynesian Phillips Curve with Time Series Models to Forecast Inflation. (2008). Valderrama, Maria ; Rumler, Fabio.
    In: Working Papers.
    RePEc:onb:oenbwp:148.

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57. Testing a DSGE model and its partner database. (2008). Parra-Alvarez, Juan ; Mahadeva, Lavan.
    In: Borradores de Economia.
    RePEc:col:000094:004507.

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58. 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.

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59. 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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60. Open economy DSGE-VAR forecasting and policy analysis - head to head with the RBNZ published forecasts. (2007). Smith, Christie ; Matheson, Troy ; Lees, Kirdan.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2007/01.

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61. Evaluating An Estimated New Keynesian Small Open Economy Model. (2007). Villani, Mattias ; Lindé, Jesper ; Laséen, Stefan ; Adolfson, Malin ; Laseen, Stefan ; Linde, Jesper.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0203.

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62. Evaluating An Estimated New Keynesian Small Open Economy Model. (2007). Villani, Mattias ; Lindé, Jesper ; Laséen, Stefan ; Adolfson, Malin ; Laseen, Stefan ; Linde, Jesper.
    In: CEPR Discussion Papers.
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63. Forecasting Canadian Time Series With the New-Keynesian Model. (2006). Moran, Kevin ; Gammoudi, Mohamed.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:382.

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64. Too much cocited documents. This list is not complete

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