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Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence

Journal of econometrics, 2014-01, Vol.178 (2), p.352-367

2014

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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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Big data analytics in economics: What have we learned so far, and where should we go from here?

The Canadian journal of economics, 2018-08, Vol.51 (3), p.695-746

2018

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A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates

Quantitative finance and economics, 2019-01, Vol.3 (1), p.22-45

2019

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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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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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Fixed and long time span jump tests: New Monte Carlo and empirical evidence

Econometrics, 2019-03, Vol.7 (1), p.1-32

2019

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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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Robust forecast superiority testing with an application to assessing pools of expert forecasters

Journal of applied econometrics (Chichester, England), 2023-06, Vol.38 (4), p.596-622

2023

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Jackknife estimation of a cluster-sample IV regression model with many weak instruments

Journal of econometrics, 2023-08, Vol.235 (2), p.1747-1769

2023

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Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr

1. Aufl., 2013

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Forecasting volatility using double shrinkage methods

Journal of empirical finance, 2021-06, Vol.62, p.46-61

2021

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Further Evidence on the Usefulness of Real-Time Datasets for Economic Forecasting

Quantitative finance and economics, 2017-01, Vol.1 (1), p.2-25

2017

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Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations

Journal of applied econometrics (Chichester, England), 2020-08, Vol.35 (5), p.587-613

2020

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Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes

International journal of forecasting, 2019-04, Vol.35 (2), p.555-572

2019

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Methods for backcasting, nowcasting and forecasting using factor‐MIDAS: With an application to Korean GDP

Journal of forecasting, 2018-04, Vol.37 (3), p.281-302

2018

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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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ROBUST FORECAST COMPARISON

Econometric theory, 2017-12, Vol.33 (6), p.1306-1351

2017

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Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data

2021

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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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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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Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors

Journal of forecasting, 2020-01, Vol.39 (1), p.18-36

2020

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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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Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions

Journal of the American Statistical Association, 1997-03, Vol.92 (437), p.357-367

1997

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Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data

Journal of econometrics, 2007-02, Vol.136 (2), p.699-723

2007

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Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence

Testing for structural stability of factor augmented forecasting models

Big data analytics in economics: What have we learned so far, and where should we go from here?

A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates

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

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

Fixed and long time span jump tests: New Monte Carlo and empirical evidence

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

Robust forecast superiority testing with an application to assessing pools of expert forecasters

Jackknife estimation of a cluster-sample IV regression model with many weak instruments

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr

Forecasting volatility using double shrinkage methods

Further Evidence on the Usefulness of Real-Time Datasets for Economic Forecasting

Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations

Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes

Methods for backcasting, nowcasting and forecasting using factor‐MIDAS: With an application to Korean GDP

Money and output viewed through a rolling window

ROBUST FORECAST COMPARISON

Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data

Testing for jumps and jump intensity path dependence

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

Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors

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

Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions

Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data

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