1. US Stock return predictability with high dimensional models. (2022). Salisu, Afees ; Tchankam, Jean Paul.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002646.

   Full description at Econpapers || Download paper

1. Bauwens, L., Koop, G., Korobilis, D., and Rombouts, J.V. (2015). The Contribution of Structural Break Models to Forecasting Macroeconomic Series. Journal of Applied Econometrics, 30, 596-620.

2. Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685.

3. Bloom, N. (2014). Fluctuations in Uncertainty. Journal of Economic Perspectives, 28(2), 153-76.

4. Breiman, L. (1996). Bagging Predictors. Machine Learning, 24, 123-140.
   Paper not yet in RePEc: Add citation now
   
5. Carriero, A., Clark, T.E., and Marcellino, M. (2018). Endogenous Uncertainty. Federal Reserve Bank of Cleveland, Working Paper No. 18-05.
   Paper not yet in RePEc: Add citation now
   

6. Chuliá, H., Gupta, R., Uribe, J.M., and Wohar, M.E. (2017). Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. Journal of International Financial Markets, Institutions and Money, 48(C), 178-191.

7. Degiannakis S., and Filis G. (2019). Forecasting European economic policy uncertainty. Scottish Journal of Political Economy, 66, 94-114.

8. George, E.I., and McCulloch, R.E. (1993). Variable Selection via Gibbs Sampling. Journal of the American Statistical Association, 88, 881-889.
   Paper not yet in RePEc: Add citation now
   

9. Gupta, R., and Sun, X. (2020). Forecasting Economic Policy Uncertainty of BRIC Countries Using Bayesian VARs. Economics Letters, 186, 108677.

10. Gupta, R., Lau, C-K-M., and Wohar, M.E. (2019). The impact of US uncertainty on the Euro area in good and bad times: Evidence from a quantile structural vector autoregressive model. Empirica, 46, 353-368.

11. Gupta, R., Ma, J., Risse, M., and Wohar, M.E. (2018). Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty. Journal of Macroeconomics, 57, 317–337.

12. Gupta, R., Olasehinde-Williams, G., and Wohar, M.E. (2020). The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies. The Journal of International Trade & Economic Development. DOI: https://doi.org/10.1080/09638199.2020.1720785.

13. Hailemariam, A., Smyth, R., and Zhang, X. (2019). Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model. Energy Economics, 83, 40-51.

14. Jurado, K., Ludvigson, S.C., and Ng, S. (2015). Measuring Uncertainty. American Economic Review, 105(3), 1177-1216.

15. Koop, G., and Korobilis, D. (2012). Forecasting Inflation Using Dynamic Model Averaging. International Economic Review, 53, 867-886.

16. Koop, G., and Korobilis, D. (2020). Bayesian dynamic variable selection in high dimensions. Available at SSRN: https://ssrn.com/abstract=3246472. Ludvigson, S.C., Ma, S., and Ng, S. (Forthcoming). Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? American Economic Journal: Macroeconomics.

17. McCracken, M. and Ng, S. (2020): FRED-QD: A Quarterly Database for Macroeconomic Research. Working Paper 26872, National Bureau of Economic Research.

18. Miescu, M.S. (2019). Uncertainty shocks in emerging economies: a global to local approach for identification. Working Paper No. 2019/017, Department of Economics, Lancaster University.

19. Mumtaz. H., and Musso. A. (2019). The evolving impact of global, region-specific and countryspecific uncertainty. Journal of Business & Economic Statistics. DOI: https://doi.org/10.1080/07350015.2019.1668798.
    Paper not yet in RePEc: Add citation now
    

20. Wang, Y., Zhang, B., Diao, X., Wu, C.F. (2015). Commodity price changes and the predictability of economic policy uncertainty. Economics Letters, 127, 39–42.

21. Welch, I., and Goyal, A. (2007). A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. The Review of Financial Studies, 21, 1455-1508.
    Paper not yet in RePEc: Add citation now
    

22. Zou, H., and Hastie, T. (2005). Regularization and Variable Selection via the Elastic Net. Journal of the Royal Statistical Society. Series B (Statistical Methodology), 67, 301-320.

1. Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen.
   In: Bulletin of Economic Research.
   RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

   Full description at Econpapers || Download paper

2. Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2024). Wilms, Ines ; Hu, Yu Jeffrey ; Rombouts, Jeroen.
   In: Papers.
   RePEc:arx:papers:2303.01887.

   Full description at Econpapers || Download paper

3. BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS. (2023). Koop, Gary ; Korobilis, Dimitris.
   In: International Economic Review.
   RePEc:wly:iecrev:v:64:y:2023:i:3:p:1047-1074.

   Full description at Econpapers || Download paper

4. Linking Frequentist and Bayesian Change-Point Methods. (2023). Ordás Criado, Carlos ; Dufays, Arnaud ; Ardia, David.
   In: MPRA Paper.
   RePEc:pra:mprapa:119486.

   Full description at Econpapers || Download paper

5. Time series analysis of COVID-19 infection curve: A change-point perspective. (2023). Shao, Xiaofeng ; Zhao, Zifeng ; Jiang, Feiyu.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:232:y:2023:i:1:p:1-17.

   Full description at Econpapers || Download paper

6. Learning, disagreement and inflation forecasting. (2022). Yang, Xinglin ; Liu, Xiliang ; Chen, JI.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001693.

   Full description at Econpapers || Download paper

7. Modelling the COVID‐19 infection trajectory: A piecewise linear quantile trend model. (2022). Shao, Xiaofeng ; Zhao, Zifeng ; Jiang, Feiyu.
   In: Journal of the Royal Statistical Society Series B.
   RePEc:bla:jorssb:v:84:y:2022:i:5:p:1589-1607.

   Full description at Econpapers || Download paper

8. Point and density forecasting of macroeconomic and financial uncertainties of the USA. (2021). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:40:y:2021:i:4:p:700-707.

   Full description at Econpapers || Download paper

9. Sparse change‐point VAR models. (2021). Dufays, Arnaud ; Li, Zhuo ; Song, Yong.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:36:y:2021:i:6:p:703-727.

   Full description at Econpapers || Download paper

10. Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108.

    Full description at Econpapers || Download paper

11. Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States. (2020). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:202058.

    Full description at Econpapers || Download paper

12. Bayesian dynamic variable selection in high dimensions. (2020). Koop, Gary ; Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:100164.

    Full description at Econpapers || Download paper

13. Looking into the Rear-View Mirror: Lessons from Japan for the Eurozone and the U.S?. (2020). Siklos, Pierre.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:20-e-02.

    Full description at Econpapers || Download paper

14. Bayesian dynamic variable selection in high dimensions. (2020). Koop, Gary ; Korobilis, Dimitris.
    In: Working Papers.
    RePEc:gla:glaewp:2020_11.

    Full description at Econpapers || Download paper

15. Can Forecast Errors Predict Financial Crises? Exploring the Properties of a New Multivariate Credit Gap. (2020). Afanasyeva, Elena.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2020-45.

    Full description at Econpapers || Download paper

16. Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation. (2020). Nonejad, Nima.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300013.

    Full description at Econpapers || Download paper

17. Relevant parameter changes in structural break models. (2020). Dufays, Arnaud.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:1:p:46-78.

    Full description at Econpapers || Download paper

18. Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

    Full description at Econpapers || Download paper

19. Flexible Mixture Priors for Large Time-varying Parameter Models. (2020). Hauzenberger, Niko.
    In: Papers.
    RePEc:arx:papers:2006.10088.

    Full description at Econpapers || Download paper

20. High-dimensional macroeconomic forecasting using message passing algorithms. (2020). Korobilis, Dimitris.
    In: Papers.
    RePEc:arx:papers:2004.11485.

    Full description at Econpapers || Download paper

21. Nowcasting GDP with a large factor model space. (2019). Eraslan, Sercan ; Schroder, Maximilian.
    In: Discussion Papers.
    RePEc:zbw:bubdps:412019.

    Full description at Econpapers || Download paper

22. High-dimensional macroeconomic forecasting using message passing algorithms. (2019). Korobilis, Dimitris.
    In: Working Paper series.
    RePEc:rim:rimwps:19-17.

    Full description at Econpapers || Download paper

23. High-dimensional macroeconomic forecasting using message passing algorithms. (2019). Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:96079.

    Full description at Econpapers || Download paper

24. High-dimensional macroeconomic forecasting using message passing algorithms. (2019). Korobilis, Dimitris.
    In: Working Papers.
    RePEc:gla:glaewp:2019_07.

    Full description at Econpapers || Download paper

25. Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

    Full description at Econpapers || Download paper

26. Structural Change Analysis of Active Cryptocurrency Market. (2019). NG, KOK HAUR ; Koh, Y B ; Tan, C Y.
    In: Papers.
    RePEc:arx:papers:1909.10679.

    Full description at Econpapers || Download paper

27. Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Koop, Gary ; Korobilis, Dimitris.
    In: Working Paper series.
    RePEc:rim:rimwps:18-31.

    Full description at Econpapers || Download paper

28. Forecasting with High-Dimensional Panel VARs. (2018). Koop, Gary ; Korobilis, Dimitris.
    In: Working Paper series.
    RePEc:rim:rimwps:18-20.

    Full description at Econpapers || Download paper

29. Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark.
    In: Working Paper series.
    RePEc:rim:rimwps:18-12.

    Full description at Econpapers || Download paper

30. Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Koop, Gary ; Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:87972.

    Full description at Econpapers || Download paper

31. Forecasting with High-Dimensional Panel VARs. (2018). Koop, Gary ; Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:84275.

    Full description at Econpapers || Download paper

32. Oil shocks, policy uncertainty and earnings surprises. (2018). Kang, Wensheng ; Wang, Jing.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:51:y:2018:i:2:d:10.1007_s11156-017-0674-5.

    Full description at Econpapers || Download paper

33. Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2018-02.

    Full description at Econpapers || Download paper

34. NKPC-Based Inflation Forecasts with a Time-Varying Trend. (2018). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen.
    In: Serie documentos de trabajo del Centro de Estudios Económicos.
    RePEc:emx:ceedoc:2018-05.

    Full description at Econpapers || Download paper

35. The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Ewing, Bradley ; Kang, Wensheng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

    Full description at Econpapers || Download paper

36. Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space. (2018). Dufays, Arnaud ; Augustyniak, Maciej.
    In: Economics Letters.
    RePEc:eee:ecolet:v:170:y:2018:i:c:p:122-126.

    Full description at Econpapers || Download paper

37. State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis.
    In: Staff Working Papers.
    RePEc:bca:bocawp:18-14.

    Full description at Econpapers || Download paper

38. A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations. (2017). Lanne, Markku ; Luoto, Jani.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:49:y:2017:i:5:p:969-995.

    Full description at Econpapers || Download paper

39. Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis. (2017). GUPTA, RANGAN ; Ghodsi, Zara ; Segnon, Mawuli ; Hassani, Hossein.
    In: Computational Economics.
    RePEc:kap:compec:v:49:y:2017:i:1:d:10.1007_s10614-015-9548-x.

    Full description at Econpapers || Download paper

40. Forecasting with VAR models: Fat tails and stochastic volatility. (2017). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy).
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1124-1143.

    Full description at Econpapers || Download paper

41. Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

    Full description at Econpapers || Download paper

42. Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

    Full description at Econpapers || Download paper

43. Hidden Markov models in time series, with applications in economics. (2016). Kaufmann, Sylvia.
    In: Working Papers.
    RePEc:szg:worpap:1606.

    Full description at Econpapers || Download paper

44. Sparse Change-point HAR Models for Realized Variance. (2016). Dufays, Arnaud.
    In: Cahiers de recherche.
    RePEc:lvl:crrecr:1607.

    Full description at Econpapers || Download paper

45. Forecasting Macroeconomic Variables under Model Instability. (2016). Pettenuzzo, Davide ; Timmermann, Allan G.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11355.

    Full description at Econpapers || Download paper

46. Structural changes in inflation dynamics: multiple breaks at different dates for different parameters. (2016). Eo, Yunjong.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:20:y:2016:i:3:p:211-231:n:6.

    Full description at Econpapers || Download paper

47. Macroeconomic forecasting and structural changes in steady states. (2016). Louzis, Dimitrios.
    In: Working Papers.
    RePEc:bog:wpaper:204.

    Full description at Econpapers || Download paper

48. State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis.
    In: ANU Working Papers in Economics and Econometrics.
    RePEc:acb:cbeeco:2016-632.

    Full description at Econpapers || Download paper

49. Structural Changes in Inflation Dynamics: Multiple Breaks at Different Dates for Different Parameters. (2015). Eo, Yunjong.
    In: Working Papers.
    RePEc:syd:wpaper:2015-18.

    Full description at Econpapers || Download paper

50. A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models. (2014). Dufays, Arnaud ; De Backer, Bruno ; Bauwens, Luc.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:207-229.

    Full description at Econpapers || Download paper

Report date: 2025-09-23 06:03:27 || Missing content? Let us know