| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Biased Simulation Schemes for Stochastic Volatility Models |
0 |
0 |
2 |
381 |
2 |
5 |
24 |
1,001 |
| A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
443 |
| A Multivariate STAR Analysis of the Relationship Between Money and Output |
0 |
0 |
0 |
252 |
0 |
0 |
4 |
656 |
| A Multivariate STAR Analysis of the Relationship Between Money and Output |
0 |
0 |
1 |
356 |
1 |
1 |
6 |
832 |
| A Recommitment Strategy for Long Term Private Equity Fund Investors |
1 |
1 |
1 |
129 |
2 |
4 |
12 |
395 |
| A multi-level panel smooth transition autoregression for US sectoral production |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
109 |
| A multivariate STAR analysis of the relationship between money and output |
0 |
0 |
1 |
121 |
1 |
1 |
12 |
301 |
| A nonlinear long memory model for US unemployment |
0 |
0 |
1 |
42 |
0 |
0 |
2 |
93 |
| A simple test for PPP among traded goods |
0 |
0 |
0 |
11 |
0 |
2 |
5 |
66 |
| A unified approach to nonlinearity, structural change and outliers |
1 |
1 |
2 |
47 |
2 |
3 |
7 |
123 |
| An Alternative Bayesian Approach to Structural Breaks in Time Series Models |
0 |
0 |
0 |
75 |
0 |
1 |
5 |
156 |
| Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry |
0 |
0 |
1 |
27 |
0 |
1 |
6 |
86 |
| Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models |
0 |
0 |
0 |
98 |
0 |
0 |
1 |
287 |
| Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models |
0 |
0 |
0 |
27 |
0 |
1 |
5 |
242 |
| Asymmetric and common absorption of shocks in nonlinear autoregressive models |
0 |
0 |
1 |
25 |
0 |
2 |
8 |
78 |
| Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error |
3 |
4 |
11 |
48 |
4 |
9 |
30 |
54 |
| Bayesian Forecasting of Federal Funds Target Rate Decisions |
0 |
0 |
0 |
23 |
1 |
4 |
53 |
324 |
| Bayesian Model Averaging in the Presence of Structural Breaks |
0 |
0 |
0 |
34 |
0 |
0 |
7 |
120 |
| Changes in International Business Cycle Affiliations |
1 |
1 |
1 |
29 |
2 |
2 |
7 |
91 |
| Changes in International Business Cycle Affiliations |
0 |
0 |
0 |
72 |
1 |
2 |
6 |
275 |
| Changes in Variability of the Business Cycle in the G7 Countries |
0 |
0 |
1 |
130 |
0 |
2 |
10 |
418 |
| Changes in variability of the business cycle in the G7 countries |
0 |
0 |
1 |
14 |
0 |
0 |
6 |
79 |
| Changes in variability of the business cycle in the G7 countries |
1 |
1 |
1 |
66 |
2 |
2 |
12 |
267 |
| Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings |
0 |
0 |
1 |
35 |
1 |
3 |
18 |
34 |
| Cointegration in a historical perspective |
0 |
0 |
0 |
109 |
0 |
3 |
10 |
130 |
| Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support |
0 |
0 |
0 |
40 |
0 |
1 |
6 |
84 |
| Contagion as Domino Effect in Global Stock Markets |
0 |
0 |
1 |
97 |
1 |
5 |
19 |
281 |
| Corporate Governance and the Cost of Debt of Large European Firms |
0 |
0 |
0 |
89 |
1 |
4 |
17 |
236 |
| Corporate Governance and the Value of Excess Cash Holdings of Large European Firms |
0 |
0 |
1 |
87 |
3 |
6 |
13 |
300 |
| Do We Often Find ARCH Because Of Neglected Outliers? |
0 |
0 |
0 |
4 |
0 |
2 |
3 |
42 |
| Do leading indicators lead peaks more than troughs? |
0 |
0 |
1 |
92 |
1 |
2 |
17 |
234 |
| Does Africa grow slower than Asia and Latin America? |
0 |
0 |
0 |
12 |
0 |
1 |
1 |
49 |
| Does the absence of cointegration explain the typical findings in long horizon regressions? |
0 |
0 |
2 |
62 |
0 |
2 |
26 |
213 |
| Dynamic Factor Models for the Volatility Surface |
1 |
1 |
3 |
46 |
1 |
5 |
11 |
98 |
| Evaluating real-time forecasts in real-time |
0 |
0 |
2 |
17 |
0 |
1 |
7 |
70 |
| Financial Development and Convergence Clubs |
0 |
1 |
2 |
53 |
0 |
2 |
6 |
148 |
| Forecast comparison of principal component regression and principal covariate regression |
0 |
1 |
3 |
48 |
0 |
1 |
9 |
161 |
| Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices |
0 |
1 |
2 |
82 |
0 |
2 |
10 |
110 |
| Forecasting Interest Rates with Shifting Endpoints |
0 |
0 |
1 |
74 |
0 |
1 |
7 |
182 |
| Forecasting US Inflation Using Model Averaging |
0 |
0 |
0 |
2 |
2 |
3 |
7 |
815 |
| Forecasting Value-at-Risk under Temporal and Portfolio Aggregation |
0 |
0 |
1 |
33 |
0 |
3 |
17 |
69 |
| Forecasting Volatility with Copula-Based Time Series Models |
0 |
0 |
4 |
198 |
0 |
3 |
12 |
404 |
| Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading |
0 |
0 |
0 |
19 |
0 |
1 |
3 |
95 |
| Forecasting aggregates using panels of nonlinear time series |
0 |
0 |
0 |
18 |
0 |
1 |
1 |
74 |
| Forecasting business cycles |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
21 |
| Forecasting business cycles |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
27 |
| Forecasting industrial production with linear, nonlinear, and structural change models |
0 |
3 |
3 |
62 |
1 |
6 |
14 |
169 |
| Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model |
0 |
0 |
1 |
118 |
0 |
3 |
8 |
175 |
| Forecasting volatility with switching persistence GARCH models |
0 |
0 |
1 |
21 |
0 |
4 |
9 |
65 |
| Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility |
0 |
0 |
1 |
186 |
0 |
2 |
7 |
234 |
| Good News is No News |
0 |
1 |
2 |
33 |
1 |
5 |
10 |
91 |
| High-Frequency Technical Trading: The Importance of Speed |
0 |
1 |
2 |
75 |
2 |
5 |
13 |
182 |
| How to Identify and Forecast Bull and Bear Markets? |
1 |
1 |
6 |
212 |
4 |
9 |
31 |
247 |
| Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation |
0 |
0 |
0 |
83 |
0 |
0 |
4 |
262 |
| Improved Construction of diffusion indexes for macroeconomic forecasting |
0 |
0 |
0 |
23 |
0 |
1 |
3 |
75 |
| Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities |
0 |
0 |
0 |
64 |
0 |
3 |
8 |
74 |
| Instability and nonlinearity in the euro area Phillips curve |
0 |
0 |
1 |
152 |
1 |
4 |
11 |
394 |
| Likelihood-based scoring rules for comparing density forecasts in tails |
0 |
0 |
0 |
6 |
0 |
0 |
12 |
54 |
| Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination |
0 |
1 |
3 |
762 |
1 |
3 |
11 |
1,456 |
| Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination |
0 |
0 |
0 |
240 |
1 |
6 |
11 |
1,479 |
| Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience |
1 |
1 |
1 |
142 |
2 |
2 |
8 |
570 |
| Macroeconomic forecasting with real-time data: an empirical comparison |
0 |
0 |
1 |
79 |
0 |
2 |
7 |
113 |
| Market Set-Up in Advance of Federal Reserve Policy Decisions |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
92 |
| Measuring and Predicting Heterogeneous Recessions |
0 |
1 |
1 |
73 |
1 |
2 |
5 |
253 |
| Measuring and Predicting Heterogeneous Recessions |
0 |
0 |
0 |
30 |
0 |
2 |
7 |
86 |
| Measuring volatility with the realized range |
0 |
1 |
6 |
67 |
1 |
4 |
17 |
195 |
| Modeling and Estimation of Synchronization in Multistate Markov-Switching Models |
0 |
1 |
4 |
87 |
0 |
2 |
10 |
205 |
| Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity |
1 |
3 |
6 |
805 |
3 |
7 |
26 |
2,344 |
| Modeling asymmetric volatility in weekly Dutch temperature data |
0 |
0 |
0 |
21 |
0 |
1 |
3 |
61 |
| Modeling regional house prices |
0 |
0 |
2 |
152 |
0 |
0 |
7 |
272 |
| Modelling Multiple Regimes in the Business Cycle |
0 |
2 |
8 |
52 |
1 |
5 |
19 |
139 |
| New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels |
0 |
0 |
0 |
34 |
1 |
3 |
4 |
62 |
| Nonlinear Error-Correction Models for Interest Rates in The Netherlands |
1 |
2 |
7 |
57 |
4 |
8 |
27 |
137 |
| Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression |
0 |
0 |
0 |
166 |
0 |
5 |
12 |
455 |
| Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression |
0 |
0 |
2 |
100 |
0 |
0 |
5 |
207 |
| Nonlinearities and outliers: robust specification of STAR models |
0 |
0 |
2 |
40 |
0 |
1 |
5 |
89 |
| On the Effects of Private Information on Volatility |
0 |
0 |
0 |
40 |
0 |
5 |
10 |
129 |
| On the Effects of Private Information on Volatility |
0 |
0 |
0 |
15 |
0 |
0 |
5 |
93 |
| Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts |
0 |
0 |
0 |
98 |
0 |
3 |
8 |
301 |
| Out-of-sample comparison of copula specifications in multivariate density forecasts |
0 |
0 |
0 |
2 |
0 |
0 |
6 |
27 |
| Out-of-sample comparison of copula specifications in multivariate density forecasts |
0 |
0 |
0 |
56 |
1 |
2 |
9 |
163 |
| Out-of-sample comparison of copula specifications in multivariate density forecasts |
0 |
0 |
2 |
64 |
0 |
1 |
6 |
172 |
| Outlier detection in the GARCH (1,1) model |
0 |
0 |
0 |
25 |
0 |
1 |
2 |
87 |
| Panel Smooth Transition Regression Models |
12 |
38 |
173 |
2,673 |
60 |
190 |
660 |
7,442 |
| Panel Smooth Transition Regression Models |
2 |
6 |
45 |
697 |
4 |
32 |
164 |
1,911 |
| Panel Smooth Transition Regression Models |
3 |
14 |
53 |
106 |
8 |
36 |
186 |
347 |
| Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails |
0 |
0 |
2 |
66 |
0 |
1 |
7 |
205 |
| Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails |
0 |
0 |
0 |
65 |
0 |
1 |
7 |
214 |
| Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails |
0 |
0 |
0 |
37 |
0 |
0 |
5 |
194 |
| Predicting Covariance Matrices with Financial Conditions Indexes |
0 |
0 |
1 |
12 |
0 |
0 |
4 |
64 |
| Predicting Growth Cycle Regimes for European Countries |
0 |
0 |
0 |
142 |
0 |
2 |
9 |
434 |
| Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use? |
0 |
0 |
0 |
360 |
1 |
3 |
15 |
1,279 |
| Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information |
0 |
0 |
3 |
353 |
3 |
6 |
17 |
882 |
| Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information |
0 |
0 |
1 |
140 |
0 |
4 |
10 |
356 |
| Range-based covariance estimation using high-frequency data: The realized co-range |
0 |
0 |
1 |
85 |
0 |
4 |
11 |
202 |
| Realized mixed-frequency factor models for vast dimensional covariance estimation |
0 |
0 |
1 |
57 |
0 |
4 |
10 |
115 |
| SETS, Arbitrage Activity, and Stock Price Dynamics |
0 |
0 |
0 |
310 |
0 |
2 |
8 |
1,380 |
| Seasonal smooth transition autoregression |
0 |
1 |
5 |
31 |
1 |
2 |
10 |
108 |
| Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy |
0 |
0 |
1 |
13 |
1 |
2 |
6 |
61 |
| Semi-Parametric Modelling of Correlation Dynamics |
0 |
0 |
2 |
56 |
0 |
1 |
7 |
128 |
| Short Patches of Outliers, ARCH and Volatility Modeling |
0 |
0 |
0 |
280 |
0 |
1 |
8 |
1,008 |
| Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series |
0 |
0 |
0 |
57 |
0 |
1 |
2 |
277 |
| Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series |
0 |
0 |
0 |
97 |
1 |
2 |
8 |
685 |
| Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series |
0 |
0 |
0 |
134 |
0 |
0 |
4 |
451 |
| Short-term volatility versus long-term growth: evidence in US macroeconomic time series |
0 |
0 |
0 |
7 |
0 |
1 |
4 |
72 |
| Smooth Transition Autoregressive Models - A Survey of Recent Developments |
1 |
1 |
8 |
1,789 |
2 |
5 |
35 |
3,314 |
| Smooth transition autoregressive models - A survey of recent developments |
2 |
5 |
11 |
430 |
6 |
14 |
53 |
787 |
| Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements |
0 |
1 |
3 |
62 |
0 |
6 |
15 |
162 |
| Stock Selection Strategies in Emerging Markets |
0 |
0 |
4 |
788 |
0 |
1 |
17 |
1,875 |
| Structural Breaks in the International Transmission of Inflation |
0 |
0 |
0 |
210 |
0 |
1 |
2 |
461 |
| Structural Differences in Economic Growth |
0 |
0 |
0 |
117 |
0 |
4 |
10 |
255 |
| Term structure forecasting using macro factors and forecast combination |
0 |
0 |
1 |
92 |
1 |
3 |
13 |
249 |
| Term structure forecasting using macro factors and forecast combination |
0 |
0 |
1 |
151 |
1 |
3 |
8 |
313 |
| Testing for ARCH in the Presence of Additive Outliers |
0 |
0 |
0 |
25 |
0 |
0 |
4 |
125 |
| Testing for Smooth Transition Nonlinearity in the Presence of Outliers |
0 |
0 |
3 |
45 |
0 |
2 |
10 |
115 |
| Testing for Stochastic Unit Roots - Some Monte Carlo evidence |
0 |
0 |
0 |
14 |
0 |
1 |
3 |
44 |
| Testing for Volatility Changes in US Macroeconomic Time Series |
0 |
1 |
3 |
327 |
0 |
4 |
23 |
806 |
| Testing for causality in variance in the presence of breaks |
0 |
0 |
0 |
15 |
0 |
1 |
2 |
72 |
| Testing for causality in variance in the presence of breaks |
0 |
0 |
0 |
152 |
0 |
2 |
9 |
359 |
| Testing for changes in volatility in heteroskedastic time series - a further examination |
0 |
2 |
6 |
55 |
0 |
4 |
22 |
184 |
| The Economic Value of Fundamental and Technical Information in Emerging Currency Markets |
0 |
0 |
1 |
207 |
2 |
3 |
15 |
461 |
| The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations |
0 |
0 |
2 |
292 |
1 |
5 |
11 |
553 |
| The Euro Introduction and Non-Euro Currencies |
0 |
0 |
3 |
214 |
0 |
3 |
13 |
879 |
| The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets |
0 |
0 |
0 |
79 |
1 |
3 |
6 |
204 |
| The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias? |
0 |
0 |
0 |
145 |
1 |
3 |
12 |
435 |
| The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series |
0 |
0 |
0 |
11 |
0 |
0 |
4 |
84 |
| The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series |
0 |
0 |
1 |
203 |
0 |
0 |
4 |
962 |
| The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production |
0 |
1 |
2 |
24 |
0 |
2 |
8 |
77 |
| Time Variation in Asset Return Dependence: Strength or Structure? |
0 |
0 |
3 |
48 |
1 |
3 |
15 |
140 |
| Time series forecasting by principal covariate regression |
1 |
1 |
1 |
85 |
1 |
2 |
7 |
284 |
| Time-Varying Smooth Transition Autoregressive Models |
0 |
0 |
0 |
175 |
0 |
2 |
28 |
2,111 |
| Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks |
0 |
0 |
0 |
17 |
0 |
2 |
4 |
62 |
| Unit root tests and assymmetric adjustment |
0 |
0 |
0 |
6 |
0 |
0 |
4 |
39 |
| When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? |
0 |
0 |
1 |
146 |
2 |
3 |
6 |
466 |
| Why do Pit-Hours outlive the Pit? |
0 |
0 |
0 |
6 |
0 |
0 |
10 |
43 |
| Total Working Papers |
33 |
101 |
453 |
19,247 |
152 |
582 |
2,359 |
55,318 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A comparison of biased simulation schemes for stochastic volatility models |
0 |
1 |
2 |
64 |
1 |
3 |
10 |
261 |
| A multi-level panel STAR model for US manufacturing sectors |
2 |
3 |
6 |
369 |
4 |
5 |
10 |
979 |
| A nonlinear long memory model, with an application to US unemployment |
0 |
0 |
0 |
122 |
1 |
1 |
3 |
308 |
| A simple test for PPP among traded goods |
0 |
0 |
0 |
93 |
0 |
0 |
6 |
285 |
| A unified approach to nonlinearity, structural change, and outliers |
1 |
2 |
5 |
164 |
3 |
4 |
12 |
358 |
| Absorption of shocks in nonlinear autoregressive models |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
112 |
| Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry |
0 |
0 |
0 |
66 |
1 |
3 |
7 |
284 |
| Bayesian forecasting of federal funds target rate decisions |
0 |
0 |
0 |
14 |
0 |
0 |
6 |
128 |
| Cointegration in a historical perspective |
0 |
0 |
1 |
22 |
0 |
1 |
8 |
116 |
| Combining expert‐adjusted forecasts |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
| Comparing the accuracy of multivariate density forecasts in selected regions of the copula support |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
50 |
| Contagion as a domino effect in global stock markets |
0 |
1 |
16 |
91 |
2 |
6 |
51 |
369 |
| Corporate Governance and the Value of Excess Cash Holdings of Large European Firms |
0 |
0 |
0 |
2 |
1 |
3 |
11 |
17 |
| Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
6 |
| Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
236 |
| Do Leading Indicators Lead Peaks More Than Troughs? |
0 |
0 |
0 |
56 |
1 |
1 |
5 |
220 |
| Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method |
0 |
1 |
4 |
154 |
1 |
3 |
10 |
353 |
| Forecast comparison of principal component regression and principal covariate regression |
0 |
0 |
0 |
69 |
1 |
1 |
4 |
199 |
| Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements |
1 |
1 |
5 |
160 |
2 |
5 |
20 |
403 |
| Forecasting Value-at-Risk under Temporal and Portfolio Aggregation |
0 |
0 |
4 |
9 |
0 |
0 |
14 |
29 |
| Forecasting aggregates using panels of nonlinear time series |
0 |
0 |
1 |
64 |
0 |
0 |
4 |
163 |
| Forecasting day-ahead electricity prices: Utilizing hourly prices |
0 |
0 |
6 |
38 |
1 |
2 |
20 |
117 |
| Forecasting returns and risk in financial markets using linear and nonlinear models |
0 |
0 |
0 |
94 |
0 |
0 |
2 |
212 |
| Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
54 |
| Forecasting volatility with the realized range in the presence of noise and non-trading |
0 |
0 |
1 |
9 |
0 |
0 |
4 |
57 |
| Forecasting with Leading Indicators by means of the Principal Covariate Index |
0 |
0 |
0 |
18 |
0 |
2 |
4 |
81 |
| Getting the most out of macroeconomic information for predicting excess stock returns |
0 |
1 |
3 |
19 |
1 |
3 |
9 |
60 |
| Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation |
0 |
0 |
0 |
21 |
1 |
1 |
4 |
81 |
| Instability and Nonlinearity in the Euro-Area Phillips Curve |
0 |
0 |
4 |
77 |
1 |
3 |
15 |
229 |
| Intraday price discovery in fragmented markets |
0 |
1 |
4 |
11 |
1 |
4 |
13 |
48 |
| Likelihood-based scoring rules for comparing density forecasts in tails |
1 |
2 |
10 |
87 |
1 |
4 |
30 |
275 |
| Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination |
0 |
1 |
6 |
292 |
2 |
3 |
17 |
608 |
| MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP |
0 |
0 |
1 |
45 |
1 |
1 |
5 |
134 |
| Macroeconomic forecasting with matched principal components |
0 |
0 |
0 |
44 |
0 |
0 |
7 |
193 |
| Market Set‐up in Advance of Federal Reserve Policy Rate Decisions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
16 |
| Measuring and predicting heterogeneous recessions |
0 |
0 |
0 |
15 |
0 |
0 |
4 |
93 |
| Measuring volatility with the realized range |
0 |
0 |
8 |
201 |
1 |
1 |
19 |
562 |
| Modelling regional house prices |
0 |
0 |
2 |
30 |
1 |
1 |
6 |
95 |
| New HEAVY Models for Fat-Tailed Realized Covariances and Returns |
0 |
1 |
1 |
1 |
0 |
2 |
4 |
5 |
| Nonlinear forecasting with many predictors using kernel ridge regression |
2 |
2 |
3 |
9 |
2 |
4 |
11 |
52 |
| On SETAR non-linearity and forecasting |
0 |
2 |
2 |
203 |
1 |
3 |
9 |
645 |
| On the dynamics of business cycle analysis: editors' introduction |
0 |
0 |
0 |
56 |
0 |
0 |
1 |
208 |
| Order flow and volatility: An empirical investigation |
0 |
0 |
1 |
13 |
0 |
0 |
5 |
64 |
| Out-of-sample comparison of copula specifications in multivariate density forecasts |
0 |
1 |
3 |
31 |
0 |
3 |
10 |
141 |
| Paul D. McNelis, Neural networks in finance--gaining predictive edge in the market, Elsevier Academic Press (2005) ISBN 0-12-485967-4 hardcover, 243 pages |
0 |
0 |
2 |
202 |
1 |
1 |
6 |
632 |
| Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? |
1 |
2 |
2 |
172 |
2 |
4 |
8 |
662 |
| Predicting volatility and correlations with Financial Conditions Indexes |
0 |
0 |
1 |
12 |
0 |
0 |
7 |
59 |
| Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* |
0 |
0 |
2 |
28 |
0 |
0 |
5 |
113 |
| Real-time macroeconomic forecasting with leading indicators: An empirical comparison |
0 |
0 |
0 |
8 |
1 |
2 |
3 |
45 |
| Real-time macroeconomic forecasting with leading indicators: An empirical comparison |
0 |
0 |
0 |
29 |
1 |
3 |
7 |
225 |
| Reply |
0 |
0 |
0 |
24 |
0 |
2 |
4 |
78 |
| SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS |
2 |
5 |
28 |
2,376 |
13 |
27 |
88 |
4,544 |
| Sample size, lag order and critical values of seasonal unit root tests |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
102 |
| Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* |
0 |
0 |
0 |
22 |
1 |
1 |
8 |
89 |
| Short patches of outliers, ARCH and volatility modelling |
0 |
0 |
0 |
37 |
0 |
2 |
4 |
208 |
| Speed, algorithmic trading, and market quality around macroeconomic news announcements |
0 |
1 |
5 |
58 |
0 |
4 |
33 |
235 |
| Stock selection strategies in emerging markets |
2 |
2 |
6 |
247 |
2 |
3 |
25 |
720 |
| Structural Breaks in the International Dynamics of Inflation |
1 |
1 |
1 |
52 |
5 |
7 |
14 |
177 |
| Structural differences in economic growth: an endogenous clustering approach |
0 |
0 |
0 |
40 |
0 |
2 |
4 |
160 |
| Testing for ARCH in the Presence of Additive Outliers |
0 |
0 |
0 |
212 |
0 |
0 |
8 |
770 |
| Testing for Smooth Transition Nonlinearity in the Presence of Outliers |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
500 |
| Testing for Volatility Changes in U.S. Macroeconomic Time Series |
0 |
0 |
4 |
281 |
1 |
2 |
17 |
729 |
| Testing for causality in variance in the presence of breaks |
0 |
0 |
0 |
65 |
0 |
0 |
0 |
195 |
| The economic value of fundamental and technical information in emerging currency markets |
0 |
0 |
1 |
161 |
3 |
7 |
23 |
453 |
| The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series |
0 |
0 |
0 |
84 |
0 |
0 |
1 |
455 |
| The euro introduction and noneuro currencies |
0 |
1 |
1 |
37 |
1 |
3 |
7 |
187 |
| The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production |
0 |
1 |
2 |
68 |
0 |
2 |
7 |
248 |
| The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? |
0 |
0 |
1 |
72 |
1 |
3 |
12 |
219 |
| Time-Varying Smooth Transition Autoregressive Models |
0 |
0 |
0 |
8 |
1 |
6 |
16 |
1,661 |
| Twenty years of cointegration |
0 |
0 |
0 |
39 |
1 |
1 |
2 |
83 |
| When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? |
0 |
0 |
1 |
26 |
2 |
3 |
13 |
95 |
| Total Journal Articles |
13 |
33 |
156 |
7,267 |
70 |
161 |
731 |
22,555 |
LogEc is hosted by the
Örebro University School of Business.