1. Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects. (2025). Cheng, Mingmian ; Luo, Jiawen.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001099.

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2. Financial forecasting improvement with LSTM-ARFIMA hybrid models and non-Gaussian distributions. (2024). Rabbouch, Hana ; Saadaoui, Foued.
   In: Technological Forecasting and Social Change.
   RePEc:eee:tefoso:v:206:y:2024:i:c:s0040162524003354.

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3. Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates. (2023). Sibbertsen, Philipp ; Afzal, Alia.
   In: Open Economies Review.
   RePEc:kap:openec:v:34:y:2023:i:4:d:10.1007_s11079-022-09686-2.

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4. A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting. (2023). Miller, Stephen ; GUPTA, RANGAN ; Boubaker, Heni ; Canarella, Giorgio.
   In: Computational Economics.
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5. A hybrid approach for forecasting bitcoin series. (2023). Belkacem, Lotfi ; Boubaker, Heni ; Mtiraoui, Amine.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:66:y:2023:i:c:s027553192300137x.

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6. Long memory and volatility persistence across BRICS stock markets. (2022). Tripathy, Naliniprava.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001684.

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7. Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach. (2021). Salisu, Afees ; GUPTA, RANGAN.
   In: Global Finance Journal.
   RePEc:eee:glofin:v:48:y:2021:i:c:s1044028319303503.

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8. Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting. (2020). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni.
   In: Working papers.
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9. Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting. (2020). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni.
   In: Working Papers.
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10. Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model. (2019). Moroke, Ntebogang Dinah ; Rapoo, Ishmael ; Xaba, Diteboho.
    In: Journal of Economics and Behavioral Studies.
    RePEc:rnd:arjebs:v:11:y:2019:i:3:p:10-22.

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11. Emerging market equities and US policy uncertainty: evidence from Malaysia based on ARDL. (2018). Masih, Abul ; Gadhoum, Anouar.
    In: MPRA Paper.
    RePEc:pra:mprapa:105469.

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12. Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets. (2018). El-Aroui, Mhamed-Ali ; Krichene, Hazem.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9615-y.

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13. A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe. (2016). Ivanov, Ivan ; Bogdanova, Boryana.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:43:y:2016:i:4:p:655-673.

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14. Do US policy uncertainty, leveraging costs and global risk aversion impact emerging market equities? An application of bounds testing approach to the BRICS. (2015). Masih, Abul ; Momin, Ebaad .
    In: MPRA Paper.
    RePEc:pra:mprapa:65834.

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15. Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis. (2015). SYRIOPOULOS, THEODOROS ; Boubaker, Adel ; Makram, Beljid.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:7-18.

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1. Contreras-Reyes, Javier E. ; Palma, Wilfredo. (2013). Statistical analysis of autoregressive fractionally integrated moving average models in R. In: Comput Stat, 28 5 pp. 2309-2331.

2. Diebold, Francis X. ; Mariano, Roberto S.. (1995). Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics, 13 3 pp. 253-263.

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5. Gupta, Rangan ; Hartley, Faaiqa. (2013). The Role of Asset Prices in Forecasting Inflation and Output in South Africa. In: Journal of Emerging Market Finance, 12 3 pp. 239-291.

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1. Analyzing the Selective Stock Price Index Using Fractionally Integrated and Heteroskedastic Models. (2024). Zavala, Joaquin E ; Contreras-Reyes, Javier E ; Idrovo-Aguirre, Byron J.
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2. A Threshold GARCH Model for Chilean Economic Uncertainty. (2022). Idrovo, Byron ; Contreras-Reyes, Javier E ; Chavez, Diego ; Idrovo-Aguirre, Byron J.
   In: JRFM.
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3. Series Hybridization of Parallel (SHOP) models for time series forecasting. (2022). Hajirahimi, Zahra ; Khashei, Mehdi.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001777.

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4. Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions. (2022). Contreras-Reyes, Javier E.
   In: Chaos, Solitons & Fractals.
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5. Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights. (2021). Sibbertsen, Philipp ; Flock, Teresa ; Dissanayake, Pushpa ; Meier, Johanna.
   In: Mathematics.
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6. The Response of Housing Construction to a Copper Price Shock in Chile (2009–2020). (2021). Idrovo, Byron ; Contreras-Reyes, Javier E ; Idrovo-Aguirre, Byron J.
   In: Economies.
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7. Backcasting and forecasting time series using detrended cross-correlation analysis. (2020). Idrovo, Byron ; Contreras-Reyes, Javier E ; Idrovo-Aguirre, Byron J.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:560:y:2020:i:c:s0378437120305768.

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8. Backcasting cement production and characterizing cement’s economic cycles for Chile 1991–2015. (2019). Idrovo, Byron ; Contreras-Reyes, Javier E ; Idrovo-Aguirre, Byron J.
   In: Empirical Economics.
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9. Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach. (2019). Poskitt, Donald ; Nadarajah, Kanchana ; Martin, Gael M.
   In: Monash Econometrics and Business Statistics Working Papers.
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10. Back-splicing of cement production and characterization of its economic cycle: The case of Chile (1991-2015). (2015). Idrovo, Byron ; Contreras, Javier ; Aguirre, Byron Idrovo.
    In: MPRA Paper.
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11. Do order imbalances predict Chinese stock returns? New evidence from intraday data. (2015). Westerlund, Joakim ; Narayan, Seema.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:136-151.

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12. Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump. (2015). Kilian, Lutz ; Baumeister, Christiane ; Lee, Thomas K.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10362.

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13. Predicting BRICS stock returns using ARFIMA models. (2014). GUPTA, RANGAN ; Balcilar, Mehmet ; Redford, Siobhan ; Kilimani, Nicholas ; Aye, Goodness C. ; Nakumuryango, Amandine.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:24:y:2014:i:17:p:1159-1166.

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14. Time-series model forecasts and structural breaks: evidence from Spanish pre-EMU interest rates. (2008). Robles Fernandez, M. Dolores ; Fernandez-Serrano, Jose Luis ; Robles-Fernandez, Dolores M..
    In: Applied Economics.
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15. Forecasting Random Walks Under Drift Instability. (2008). Pesaran, Mohammad ; Pick, Andreas.
    In: Cambridge Working Papers in Economics.
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16. Short-Run Italian GDP Forecasting and Real-Time Data. (2005). Parigi, giuseppe ; Golinelli, Roberto.
    In: CEPR Discussion Papers.
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17. Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence. (2004). Vollrath, Dietrich ; Moav, Omer ; Galor, Oded.
    In: Working Papers.
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18. Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation. (2003). Krippner, Leo.
    In: Working Papers in Economics.
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19. Choosing the Best Volatility Models:The Model Confidence Set Approach. (2003). Nason, James ; Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
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20. Testing the Significance of Calendar Effects. (2003). .
    In: Working Papers.
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21. Long-Memory Forecasting of U.S. Monetary Indices. (2003). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:558.

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22. Nonlinear stochastic trends and economic fluctuations. (2002). Camacho, Maximo.
    In: Computing in Economics and Finance 2002.
    RePEc:sce:scecf2:274.

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23. Predicting the Equity Premium With Dividend Ratios. (2002). welch, ivo ; Goyal, Amit.
    In: NBER Working Papers.
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24. Can Demography Improve Inflation Forecasts? The Case of Sweden. (2002). Bruer, Mattias.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2002_004.

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25. How well do monetary fundamentals forecast exchange rates?. (2002). Sarno, Lucio ; Neely, Christopher.
    In: Review.
    RePEc:fip:fedlrv:y:2002:i:sep:p:51-74:n:v.84no.5.

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26. Priors from general equilibrium models for VARs. (2002). Schorfheide, Frank ; Del Negro, Marco.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-14.

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27. On Out-of-Sample Statistics for Time-Series. (2002). Bengio, Yoshua ; Gingras, Franois ; Nadeau, Claude.
    In: CIRANO Working Papers.
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28. Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data. (2002). Moran, Kevin ; Dolar, Veronika.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-18.

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29. The Composite Index of Leading Economic Indicators: How to Make It More Timely. (2001). Ozyildirim, Ataman ; Zarnowitz, Victor ; McGuckin, Robert H..
    In: NBER Working Papers.
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30. How to Beat the Random Walk. (2001). Alexius, Annika.
    In: Working Paper Series.
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31. Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Hong, Yongmiao ; Gallo, Giampiero ; Lee, Tae-Why.
    In: Econometrics Working Papers Archive.
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32. Forecasting with a real-time data set for macroeconomists. (2001). Croushore, Dean ; Stark, Tom.
    In: Working Papers.
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33. DUMB AND DUMBER EXPLANATIONS FOR EXCHANGE RATE DYNAMICS. (2001). Blomberg, Stephen.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:4:y:2001:n:2:p:187-216.

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34. An Unbiased and Powerful Test for Superior Predictive Ability. (2001). Hansen, Peter.
    In: Working Papers.
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35. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

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36. Balassa-Samuelson Theory and Predictability of the US/UK Real Exchange Rate. (2000). Kim, Chung-Han .
    In: International Economic Journal.
    RePEc:taf:intecj:v:14:y:2000:i:3:p:101-121.

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37. THIS IS WHAT THE LEADING INDICATORS LEAD. (2000). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:132.

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38. The Accuracy of European Growth and Inflation Forecasts. (2000). Öller, Lars-Erik ; Barot, Bharat.
    In: Working Papers.
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39. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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40. A real-time data set for macroeconomists: does data vintage matter for forecasting?. (2000). Croushore, Dean ; Stark, Tom.
    In: Working Papers.
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41. Does current-quarter information improve quarterly forecasts for the U.S. economy?. (2000). Stark, Tom.
    In: Working Papers.
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42. Can out-of-sample forecast comparisons help prevent overfitting?. (2000). Clark, Todd.
    In: Research Working Paper.
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43. News and noise in G-7 GDP announcements. (2000). Wright, Jonathan ; Rogers, John ; Faust, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:690.

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44. Value of Sample Separation Information in a Sequential Probit Model: Another Look at SSAs Disability Determination Process. (2000). Lahiri, Kajal ; Gao, Chuanming ; Wixon, Bernard.
    In: Econometric Society World Congress 2000 Contributed Papers.
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45. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (2000). McCracken, Michael ; Clark, Todd.
    In: Econometric Society World Congress 2000 Contributed Papers.
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46. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (1999). McCracken, Michael ; Clark, Todd.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:1241.

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47. Tests of equal forecast accuracy and encompassing for nested models. (1999). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:99-11.

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48. Improving forecasts of the federal funds rate in a policy model. (1999). Tallman, Ellis ; Robertson, John.
    In: FRB Atlanta Working Paper.
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49. Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel. (1998). Sul, Donggyu ; Mark, Nelson.
    In: Working Papers.
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50. Fundamentals of the Real Dollar-Pound Rate: 1871-1994. (1998). Mark, Nelson.
    In: Working Papers.
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51. The predictive content of the interest rate term spread for future economic growth. (1998). Dotsey, Michael.
    In: Economic Quarterly.
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52. Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-37.

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53. The Forecasting Ability of Correlations Implied in Foreign Exchange Options. (1997). Campa, Jose ; P. H. Kevin Chang, .
    In: NBER Working Papers.
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54. Evaluating density forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
    In: Working Papers.
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55. Measuring predictability: theory and macroeconomic applications. (1997). Kilian, Lutz ; Diebold, Francis.
    In: Working Papers.
    RePEc:fip:fedpwp:97-23.

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56. Cointegration and long-horizon forecasting. (1997). Diebold, Francis.
    In: Working Papers.
    RePEc:fip:fedpwp:97-14.

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57. Optimal prediction under asymmetric loss. (1997). Diebold, Francis.
    In: Working Papers.
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58. Evaluating forecasts of correlation using option pricing. (1997). Gibson, Michael S. ; BOYER, BRIAN H..
    In: International Finance Discussion Papers.
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59. Optimal Prediction Under Asymmetric Loss. (). Diebold, Francis.
    In: Home Pages.
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60. Further Results on Forecasting and Model Selection Under Asymmetric Loss. (). Diebold, Francis.
    In: Home Pages.
    RePEc:wop:pennhp:_059.

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61. Ex Post and Ex Ante Analysis of Provisional Data. (). Marcellino, Massimiliano ; Gallo, Giampiero.
    In: Working Papers.
    RePEc:igi:igierp:141.

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