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Testing for structural stability of factor augmented forecasting models

Journal of econometrics, 2014-09, Vol.182 (1), p.100-118

2014

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Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods

International journal of forecasting, 2018-04, Vol.34 (2), p.339-354

2018

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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Journal of econometrics, 2015-08, Vol.187 (2), p.606-621

2015

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New evidence of the marginal predictive content of small and large jumps in the cross-section

Econometrics, 2020-06, Vol.8 (2), p.1-52

2020

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Money and output viewed through a rolling window

Journal of monetary economics, 1998-06, Vol.41 (3), p.455-474

Swanson, Norman R.

1998

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Testing for jumps and jump intensity path dependence

Journal of econometrics, 2018-06, Vol.204 (2), p.248-267

2018

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Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008

Empirical economics, 2023-03, Vol.64 (3), p.1421-1469

2023

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A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks

The review of economics and statistics, 1997-11, Vol.79 (4), p.540-550

1997

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Predictive Inference for Integrated Volatility

Journal of the American Statistical Association, 2011-12, Vol.106 (496), p.1496-1512

2011

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An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series

Journal of econometrics, 2006-03, Vol.131 (1), p.539-578

2006

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Predictive density and conditional confidence interval accuracy tests

Journal of econometrics, 2006-11, Vol.135 (1), p.187-228

2006

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Prediction and simulation using simple models characterized by nonstationarity and seasonality

International review of economics & finance, 2015-11, Vol.40, p.312-323

2015

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NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES

International economic review (Philadelphia), 2007-02, Vol.48 (1), p.67-109

2007

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The real-time predictive content of money for output

Journal of monetary economics, 2001-08, Vol.48 (1), p.3-24

2001

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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Econometrics, 2011-04, Vol.161 (2), p.304-324

2011

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Predictive density estimators for daily volatility based on the use of realized measures

Econometrics, 2009-06, Vol.150 (2), p.119-138

2009

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The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test

Journal of econometrics, 2006-05, Vol.132 (1), p.195-229

2006

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Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators

Applied financial economics, 2011-01, Vol.21 (1-2), p.43-60

2011

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Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments

Econometric reviews, 2010-09, Vol.29 (5-6), p.476-510

2010

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Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry

Journal of business & economic statistics, 2006-01, Vol.24 (1), p.24-42

2006

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A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks

Journal of business & economic statistics, 1995-07, Vol.13 (3), p.265-275

1995

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OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY

Macroeconomic dynamics, 2001-09, Vol.5 (4), p.598-620

2001

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Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps

Missing Data Methods: Time-Series Methods and Applications, 2011, Vol.27 Part 2, p.179-233

2011

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The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models vs. Simple Linear Econometric Models

Oxford bulletin of economics and statistics, 2005-12, Vol.67 (s1), p.905-930

2005

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Choosing among competing econometric forecasts: Regression-based forecast combination using model selection

Journal of forecasting, 2001-09, Vol.20 (6), p.425-440

2001

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Testing for structural stability of factor augmented forecasting models

Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

New evidence of the marginal predictive content of small and large jumps in the cross-section

Money and output viewed through a rolling window

Testing for jumps and jump intensity path dependence

Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008

A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks

Predictive Inference for Integrated Volatility

An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series

Predictive density and conditional confidence interval accuracy tests

Prediction and simulation using simple models characterized by nonstationarity and seasonality

NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES

The real-time predictive content of money for output

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Predictive density estimators for daily volatility based on the use of realized measures

The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test

Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators

Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments

Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry

A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks

OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY

Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps

The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models vs. Simple Linear Econometric Models

Choosing among competing econometric forecasts: Regression-based forecast combination using model selection

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