1. Copula approach to market volatility and technology stocks dependence. (2023). Arenda, Peter ; Raiova, Barbara.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007292.

   Full description at Econpapers || Download paper

2. Analysis of long-term prices of micronutrient-dense and starchy staple foods in developing countries. (2022). Ling, Yee Khor ; Zeller, Manfred ; Alioma, Richard.
   In: Agricultural and Food Economics.
   RePEc:spr:agfoec:v:10:y:2022:i:1:d:10.1186_s40100-022-00232-9.

   Full description at Econpapers || Download paper

3. Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien.
   In: Papers.
   RePEc:arx:papers:2109.01044.

   Full description at Econpapers || Download paper

4. Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility. (2020). Despoudi, Stella ; Sivarajah, Uthayasankar ; Lee, Habin ; Bozhkov, Stanislav ; Nandy, Monomita.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-018-2846-7.

   Full description at Econpapers || Download paper

5. Empirical Regularities of Inflation Volatility: Evidence from Advanced and Developing Countries. (2017). .
   In: South Asian Journal of Macroeconomics and Public Finance.
   RePEc:sae:smppub:v:6:y:2017:i:1:p:133-156.

   Full description at Econpapers || Download paper

6. Modelling exchange rate variations and global shocks in Brazil. (2017). Ngalawa, Harold ; Kutu, Adebayo Augustine .
   In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics.
   RePEc:rfe:zbefri:v:35:y:2017:i:1:p:73-95.

   Full description at Econpapers || Download paper

7. Modelling stock return volatility dynamics in selected African markets. (2015). Botha, Ferdi ; King, Daniel .
   In: Economic Modelling.
   RePEc:eee:ecmode:v:45:y:2015:i:c:p:50-73.

   Full description at Econpapers || Download paper

8. Forecasting Copper Prices with Dynamic Averaging and Selection Models. (2014). Buncic, Daniel ; Moretto, Carlo .
   In: Economics Working Paper Series.
   RePEc:usg:econwp:2014:30.

   Full description at Econpapers || Download paper

9. Food price volatility in sub-Saharan Africa: Has it really increased?. (2014). Minot, Nicholas.
   In: Food Policy.
   RePEc:eee:jfpoli:v:45:y:2014:i:c:p:45-56.

   Full description at Econpapers || Download paper

10. On portfolio risk estimation. (2013). Safarian, Mher .
    In: Working Paper Series in Economics.
    RePEc:zbw:kitwps:52.

    Full description at Econpapers || Download paper

11. Commodity Price Uncertainty and Manufactured Exports in Morocco and Tunisia: Some Insights from a Novel GARCH Model. (2013). .
    In: MPRA Paper.
    RePEc:pra:mprapa:53412.

    Full description at Econpapers || Download paper

12. Dependence and contagion between asset prices in Poland and abroad. A copula approach. (2013). Adam, Micha ; Babua, Piotr ; Markun, Micha .
    In: NBP Working Papers.
    RePEc:nbp:nbpmis:169.

    Full description at Econpapers || Download paper

13. Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications. (2013). Farkas, Peter.
    In: CEU Working Papers.
    RePEc:ceu:econwp:2013_4.

    Full description at Econpapers || Download paper

14. Implications of market microstructure for realized variance measurement. (2010). Djupsjobacka, Daniel .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:16:y:2010:i:1:p:27-43.

    Full description at Econpapers || Download paper

15. Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes. (2010). Matei, Marius.
    In: Working Papers of Institute for Economic Forecasting.
    RePEc:rjr:wpiecf:100201.

    Full description at Econpapers || Download paper

16. Testing for structural breaks in GARCH models. (2008). Smith, Daniel.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:10:p:845-862.

    Full description at Econpapers || Download paper

17. Export, Economic Integration and Exchange Rate Volatility in Turkey and Malaysia. (2008). Masron, Tajul Ariffin ; Mohd naseem niaz, Ahmad, .
    In: MPRA Paper.
    RePEc:pra:mprapa:41519.

    Full description at Econpapers || Download paper

18. Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK. (2008). Guidi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:11535.

    Full description at Econpapers || Download paper

19. Volatilidad de Indices Accionarios: El caso del IPSA. (2008). Alfaro, Rodrigo ; Silva, Carmen Gloria .
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:45:y:2008:i:132:p:217-233.

    Full description at Econpapers || Download paper

20. Measuring Equity Volatility: the case of Chilean Stock Index. (2008). Alfaro, Rodrigo ; Silva, Carmen Gloria .
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:462.

    Full description at Econpapers || Download paper

21. Option Pricing using Realized Volatility. (2008). Stentoft, Lars.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-13.

    Full description at Econpapers || Download paper

22. Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models. (2007). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:2:p:149-171.

    Full description at Econpapers || Download paper

23. Robustness of the Risk-Return Relationship in the U.S. Stock Market. (2007). Luoto, Jani ; Lanne, Markku.
    In: MPRA Paper.
    RePEc:pra:mprapa:3879.

    Full description at Econpapers || Download paper

24. Volatility Relationship between Crude Oil and Petroleum Products. (2007). .
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:35:y:2007:i:1:p:97-112.

    Full description at Econpapers || Download paper

25. Volatility forecasting for crude oil futures. (2007). Zagaglia, Paolo ; Marzo, Massimiliano.
    In: Research Papers in Economics.
    RePEc:hhs:sunrpe:2007_0009.

    Full description at Econpapers || Download paper

26. Conditional coskewness and asset pricing. (2007). Smith, Daniel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:1:p:91-119.

    Full description at Econpapers || Download paper

27. Domestic political constraints to foreign aid effectiveness. (2007). Marzo, Massimiliano.
    In: Working Papers.
    RePEc:bol:bodewp:599.

    Full description at Econpapers || Download paper

28. Assessing central counterparty margin coverage on futures contracts using GARCH models. (2006). Polenghi, Marco ; Knott, Raymond.
    In: Bank of England working papers.
    RePEc:boe:boeewp:287.

    Full description at Econpapers || Download paper

29. Diversifikationseffekte durch Small und Mid Caps?. (2005). Glaser, Markus ; Borgsen, Sina .
    In: Sonderforschungsbereich 504 Publications.
    RePEc:xrs:sfbmaa:05-10.

    Full description at Econpapers || Download paper

30. Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks. (2005). Une, Maurício ; Portugal, Marcelo Savino.
    In: Econometrics.
    RePEc:wpa:wuwpem:0509006.

    Full description at Econpapers || Download paper

31. Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market. (2005). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80468.

    Full description at Econpapers || Download paper

32. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:240.

    Full description at Econpapers || Download paper

33. Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes. (2005). Borgsen, Sina ; Glaser, Markus .
    In: Papers.
    RePEc:mnh:spaper:2668.

    Full description at Econpapers || Download paper

34. Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases. (2005). Radchenko, Stanislav.
    In: Energy Economics.
    RePEc:eee:eneeco:v:27:y:2005:i:5:p:708-730.

    Full description at Econpapers || Download paper

35. Evaluating volatility forecasts in option pricing in the context of a simulated options market. (2005). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:49:y:2005:i:2:p:611-629.

    Full description at Econpapers || Download paper

36. Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases. (2004). Radchenko, Stanislav.
    In: Industrial Organization.
    RePEc:wpa:wuwpio:0408001.

    Full description at Econpapers || Download paper

37. Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model. (2004). Degiannakis, Stavros.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:18:p:1333-1342.

    Full description at Econpapers || Download paper

38. A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough. (2004). Mapa, Dennis.
    In: MPRA Paper.
    RePEc:pra:mprapa:21028.

    Full description at Econpapers || Download paper

39. Forecasting economic time series with unconditional time-varying variance. (2004). Van Bellegem, Sebastien ; von Sachs, Rainer.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:4:p:611-627.

    Full description at Econpapers || Download paper

40. Parameter estimation and tests of equal forecast accuracy between non-nested models. (2004). McCracken, Michael.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:3:p:503-514.

    Full description at Econpapers || Download paper

41. Modelling the Risk at the Central European Stock Exchange at times of Crisis. (2004). Kanaryan, Nigokhos.
    In: Economic Thought journal.
    RePEc:bas:econth:y:2004:i:3:p:70-83.

    Full description at Econpapers || Download paper

42. A Range-Based GARCH Model for Forecasting Volatility. (2003). Mapa, Dennis.
    In: MPRA Paper.
    RePEc:pra:mprapa:21323.

    Full description at Econpapers || Download paper

43. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. (2003). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-025.

    Full description at Econpapers || Download paper

44. Regime-Switching and the Estimation of Multifractal Processes. (2003). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9839.

    Full description at Econpapers || Download paper

45. Choosing the best volatility models: the model confidence set approach. (2003). Nason, James ; Lunde, Asger ; Hansen, Peter.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2003-28.

    Full description at Econpapers || Download paper

46. Asymmetric dynamics in the correlations of global equity and bond returns. (2003). Engle, Robert ; Sheppard, Kevin ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003204.

    Full description at Econpapers || Download paper

47. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
    In: Working Papers.
    RePEc:bro:econwp:2003-01.

    Full description at Econpapers || Download paper

48. Choosing the Best Volatility Models: The Model Confidence Set Approach. (2003). Nason, James ; Lunde, Asger ; Hansen, Peter.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:65:y:2003:i:s1:p:839-861.

    Full description at Econpapers || Download paper

49. Grain Price Volatility in a Small Open Economy.. (2002). Roche, Maurice ; McQuinn, Kieran.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1130202.pdf.

    Full description at Econpapers || Download paper

50. Estimation of Copula Models for Time Series of Possibly Different Length. (2001). Patton, Andrew.
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt3fc1c8hw.

    Full description at Econpapers || Download paper

1. A FORECAST COMPARISON OF VOLATILITY MODELS Diebold, F. X. & Lopez, J. A. (1996), Forecast evaluation and combination, in G. S. Maddala & C. R. Rao, eds, `Handbook of Statistics, Vol. 14: Statistical Methods in Finance, North- Holland, Amsterdam, pp. 241268.

2. A FORECAST COMPARISON OF VOLATILITY MODELS Hansen, P. R. & Lunde, A. (2001a), `Technical appendix: A forecast comparison of volatility models: Does anything beat a GARCH(1,1).
   Paper not yet in RePEc: Add citation now
   

3. Andersen, T. G. & Bollerslev, T. (1997), `Intraday periodicity and volatility persistence in fi- nancial markets, Journal of Empirical Finance 4, 115158.

4. Andersen, T. G. & Bollerslev, T. (1998a), `Answering the skeptics: Yes, standard volatility models do provide accurate forecasts, International Economic Review 39(4), 885905.

5. Andersen, T. G., Bollerslev, T., Diebold, F. X. & Ebens, H. (2000), `The distribution of stock return volatility, Forthcomming Journal of Financial Economics .

6. Andersen, T. G., Bollerslev, T., Diebold, F. X. & Labys, P. (2000), `The distribution of exchange rate volatility, Journal of the American Statistical Association 96(453), 4255.

7. Andersen, T., Bollerslev, T., Diebold, F. X. & Labys, P. (2001), `Modeling and forecasting realized volatility, NBER Working Paper 8160 .

8. Andrews, D. W. K. & Buchinsky, M. (2000), `A three-steep method for choosing the number of bootstrap repetitions, Econometrica 68, 2352.

9. Baillie, R. T. & Bollerslev, T. (1989), `The message in daily exchange rates: A conditional variance, Journal of Business & Economic Statistics 7(4), 297305.

10. Barndorff-Nielsen, O. E. & Shephard, N. (2001), `Non-Gaussian Ornstein-Uhlenbeck-based models and some of theis uses in financial economics (with discussion), Journal of the Royal Statistical Society B 63(2), 167241.

11. Barucci, E. & Reno, R. (2001), `On measuring volatility and GARCH forecasting performance.

12. Bollerslev, T. (1986), `Generalized autoregressive heteroskedasticity, Journal of Econometrics 31, 307327.

13. Bollerslev, T. (1987), `Modelling persistence in conditional variances, Econometric Reviews 5, 150.
    Paper not yet in RePEc: Add citation now
    

14. Bollerslev, T., Engle, R. F. & Nelson, D. (1994), ARCH models, in R. F. Engle & D. L. McFad- den, eds, `Handbook of Econometrics, Vol. IV, Elsevier Science B.V., pp. 29613038.

15. Dacorogna, M. M., Gencay, R., Muller, U., Olsen, R. B. & Pictet, O. V. (2001), An Introduction to High-Frequency Finance, Academic Press.

16. Diebold, F. X. & Mariano, R. S. (1995), `Comparing predictive accuracy, Journal of Business and Economic Statistics 13, 253263.

17. Ding, Z., Granger, C. W. J. & Engle, R. F. (1993), `A long memory property of stock market returns and a new model, Journal of Empirical Finance 1, 83106.

18. Duan, J. (1997), `Augmented GARCH(p, q) process and its diffusion limit, Journal of Econo- metrics 79(1), 97127.

19. Engle, R. F. (1982), `Autoregressive conditional heteroskedasticity with estimates of the vari- ance of U.K. inflation, Econometrica 45, 9871007.
    Paper not yet in RePEc: Add citation now
    

20. Engle, R. F. & Ng, V. (1993), `Measuring and testing the impact of news on volatility, Journal of Finance 48, 17471778.

21. Engle, R. F. & Patton, A. J. (2000), What good is a volatility model? Manuscript at Stern, NYU, .

22. Engle, R. F., Lilien, D. V. & Robins, R. P. (1987), `Estimating time varying risk premia in the term structure: The ARCH-M model, Econometrica 55, 391407.

23. Figlewski, S. (1997), `Forecasting volatility, Financial Markets, Institutions & Instruments 6(1), 188.
    Paper not yet in RePEc: Add citation now
    

24. French, K. R. & Roll, R. (1986), `Stock return variance: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 526.

25. Gallant, A. R. & Tauchen, G. (1989), `Seminonparametric estimation of conditionally con- strained heterogeneous processes: Asset pricing applications, Econometrica 57, 1091 1120.

26. Geweke, J. (1986), `Modelling persistence in conditional variances: A comment, Econometric Reviews 5, 5761.
    Paper not yet in RePEc: Add citation now
    

27. Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993), `On the relation between the ex- pected value and the volatility of the nominal excess return on stocks, Journal of Finance 48, 17791801.

28. Green, P. J. & Silverman, B. W. (1994), Nonparametric Regression and Generalized Linear Models, Chapman & Hall.
    Paper not yet in RePEc: Add citation now
    

29. Hansen, B. E. (1994), `Autoregressive conditional density models, International Economic Review 35(3), 705730.

30. Hansen, P. R. (2001), `An unbiased and powerful test for superior predictive ability. Brown University, Department of Economics Working Paper, 01-06.

31. Working paper, Dipartimento di Economia Politica, Universita di Siena. Black, F. (1976), `Studies in stock price volatility changes. Proceedings of the 1976 business meeting of the business and economics section, American Statistical Association, 177- 181.
    Paper not yet in RePEc: Add citation now
    

1. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Schleicher, Christoph ; Pesaran, M ; Zaffaroni, P..
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:0808.

   Full description at Econpapers || Download paper

2. 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

3. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
   In: Working Papers.
   RePEc:fip:fedlwp:2005-059.

   Full description at Econpapers || Download paper

4. Do monetary indicators (still) predict euro area inflation?. (2006). Hofmann, Boris.
   In: Discussion Paper Series 1: Economic Studies.
   RePEc:zbw:bubdp1:4469.

   Full description at Econpapers || Download paper

5. Forecast Encompassing Tests and Probability Forecasts. (2006). Harvey, David ; Clements, Michael.
   In: The Warwick Economics Research Paper Series (TWERPS).
   RePEc:wrk:warwec:774.

   Full description at Econpapers || Download paper

6. Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation.. (2006). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
   In: The Warwick Economics Research Paper Series (TWERPS).
   RePEc:wrk:warwec:773.

   Full description at Econpapers || Download paper

7. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
   In: Research Paper Series.
   RePEc:uts:rpaper:175.

   Full description at Econpapers || Download paper

8. Extended switching regression models with time-varying probabilities for combining forecasts. (2006). Wettstein, David ; Preminger, Arie ; Ben-Zion, Uri .
   In: The European Journal of Finance.
   RePEc:taf:eurjfi:v:12:y:2006:i:6-7:p:455-472.

   Full description at Econpapers || Download paper

9. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence. (2006). Tse, Y. K. ; Tay, Anthony S ; Mariano, Roberto ; Diebold, Francis ; Christoffersen, Peter.
   In: PIER Working Paper Archive.
   RePEc:pen:papers:06-016.

   Full description at Econpapers || Download paper

10. An evaluation of inflation forecasts from surveys using real-time data. (2006). Croushore, Dean.
    In: Working Papers.
    RePEc:fip:fedpwp:06-19.

    Full description at Econpapers || Download paper

11. Growth and Longevity from the Industrial Revolution to the Future of an Aging Society. (2006). Lindh, Thomas ; de la Croix, David ; Bo, MALMBERG.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006037.

    Full description at Econpapers || Download paper

12. Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models. (2005). Kilic, Ekrem.
    In: Econometrics.
    RePEc:wpa:wuwpem:0510007.

    Full description at Econpapers || Download paper

13. Comparing Density Forecsts via Weighted Likelihood Ratio Tests. (2005). Giacomini, Raffaella ; amisano, gianni.
    In: Working Papers.
    RePEc:ubs:wpaper:ubs0504.

    Full description at Econpapers || Download paper

14. Do Dollar Forecasters Believe too Much in PPP?. (2005). Schröder, Michael ; Menkhoff, Lukas ; Schroder, Michael ; Rebitzky, Rafael.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-321.

    Full description at Econpapers || Download paper

15. Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler. (2005). Groemling, Michael .
    In: Departmental Discussion Papers.
    RePEc:got:vwldps:123.

    Full description at Econpapers || Download paper

16. Forecasting employment growth in Missouri with many potentially relevant predictors: an analysis of forecast combining methods. (2005). Strauss, Jack ; Rapach, David E..
    In: Regional Economic Development.
    RePEc:fip:fedlrd:y:2005:i:nov:p:97-112:n:v.1no.1.

    Full description at Econpapers || Download paper

17. Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management. (2005). Pesaran, M ; Zaffaroni, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5279.

    Full description at Econpapers || Download paper

18. Real-time data and business cycle analysis in Germany. (2004). Döpke, Jörg ; Dopke, Jorg.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:2020.

    Full description at Econpapers || Download paper

19. Forecasting Austrian Inflation. (2004). Scharler, Johann ; Rumler, Fabio ; Moser, Gabriel .
    In: Working Papers.
    RePEc:onb:oenbwp:91.

    Full description at Econpapers || Download paper

20. Unpredictability and the Foundations of Economic Forecasting. (2004). Hendry, David.
    In: Economics Papers.
    RePEc:nuf:econwp:0415.

    Full description at Econpapers || Download paper

21. Robustifying Forecasts from Equilibrium-Correction Models. (2004). Hendry, David.
    In: Economics Papers.
    RePEc:nuf:econwp:0414.

    Full description at Econpapers || Download paper

22. Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Pesaran, M ; d'Italia, Banca ; Zaffaroni, Paolo.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:101.

    Full description at Econpapers || Download paper

23. Properties of Optimal Forecasts. (2004). Timmermann, Allan ; Patton, Andrew.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:234.

    Full description at Econpapers || Download paper

24. Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the €/US$ Rate. (2004). Bofinger, Peter ; Schmidt, Robert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4235.

    Full description at Econpapers || Download paper

25. Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices. (2004). Bofinger, Peter ; Leitner, Johannes ; Schmidt, Robert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4230.

    Full description at Econpapers || Download paper

26. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

    Full description at Econpapers || Download paper

27. Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales. (2004). Melo-Velandia, Luis ; Nuez, Hector .
    In: Borradores de Economia.
    RePEc:bdr:borrec:286.

    Full description at Econpapers || Download paper

28. Tests of Conditional Predictive Ability. (2003). White, Halbert ; Giacomini, Raffaella.
    In: Econometrics.
    RePEc:wpa:wuwpem:0308001.

    Full description at Econpapers || Download paper

29. How did leading indicator forecasts perform during the 2001 recession?. (2003). Stock, James ; Watson, Mark W..
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:2003:i:sum:p:71-90:n:v.89no.3.

    Full description at Econpapers || Download paper

30. Estimating Loss Function Parameters. (2003). Timmermann, Allan ; Komunjer, Ivana ; Elliott, Graham.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3821.

    Full description at Econpapers || Download paper

31. Tests of conditional predictive ability. (2003). White, Halbert ; Giacomini, Raffaella.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:572.

    Full description at Econpapers || Download paper

32. On Out-of-Sample Statistics for Time-Series. (2002). Nadeau, Claude ; Bengio, Yoshua ; Gingras, Franois.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-51.

    Full description at Econpapers || Download paper

33. Expectations and the effects of monetary policy. (2001). Croushore, Dean ; Ball, Laurence.
    In: Working Papers.
    RePEc:fip:fedpwp:01-12.

    Full description at Econpapers || Download paper

34. Five questions about business cycles. (2001). Rudebusch, Glenn ; Diebold, Francis.
    In: Economic Review.
    RePEc:fip:fedfer:y:2001:p:1-15.

    Full description at Econpapers || Download paper

35. Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods. (2001). Tkacz, Greg ; Li, Fuchun.
    In: Staff Working Papers.
    RePEc:bca:bocawp:01-12.

    Full description at Econpapers || Download paper

36. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0370.

    Full description at Econpapers || Download paper

37. How useful are forecasts of corporate profits?. (1999). Croushore, Dean.
    In: Business Review.
    RePEc:fip:fedpbr:y:1999:i:sep:p:3-12.

    Full description at Econpapers || Download paper

38. Evaluating the forecasts of risk models. (1999). Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-11.

    Full description at Econpapers || Download paper

39. Methods for evaluating value-at-risk estimates. (1999). Lopez, Jose.
    In: Economic Review.
    RePEc:fip:fedfer:y:1999:p:3-17:n:2.

    Full description at Econpapers || Download paper

40. Evaluating credit risk models. (1999). Lopez, Jose ; Saidenberg, Marc R..
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-06.

    Full description at Econpapers || Download paper

41. A Survey on Interest Rate Forecasting. (1999). Zimmermann, Christian ; Paquet, Alain ; Fauvel, Yvon.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:87.

    Full description at Econpapers || Download paper

42. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-05.

    Full description at Econpapers || Download paper

43. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6845.

    Full description at Econpapers || Download paper

44. Evaluating inflation forecasts. (1998). Croushore, Dean.
    In: Working Papers.
    RePEc:fip:fedpwp:98-14.

    Full description at Econpapers || Download paper

45. Expectations and the effects of monetary policy. (1998). Croushore, Dean ; Ball, Laurence.
    In: Working Papers.
    RePEc:fip:fedpwp:98-13.

    Full description at Econpapers || Download paper

46. Methods for evaluating value-at-risk estimates. (1998). Lopez, Jose.
    In: Research Paper.
    RePEc:fip:fednrp:9802.

    Full description at Econpapers || Download paper

47. Cointegration and Long-Horizon Forecasting. (1997). Diebold, Francis ; Christoffersen, Peter.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0217.

    Full description at Econpapers || Download paper

48. Evaluating density forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
    In: Working Papers.
    RePEc:fip:fedpwp:97-6.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

50. Regulatory evaluation of value-at-risk models. (1997). Lopez, Jose.
    In: Staff Reports.
    RePEc:fip:fednsr:33.

    Full description at Econpapers || Download paper

Report date: 2025-02-11 15:36:24 || Missing content? Let us know