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Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis

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Cited by:

  1. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Staff Working Papers 05-44, Bank of Canada.
  2. Tausch, Arno, 2013. "The hallmarks of crisis. A new center-periphery perspective on long cycles," MPRA Paper 48356, University Library of Munich, Germany.
  3. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
  4. Pablo Pincheira, 2008. "Combining Tests of Predictive Ability Theory and Evidence for Chilean and Canadian Exchange Rates," Working Papers Central Bank of Chile 459, Central Bank of Chile.
  5. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  6. Ivana Komunjer & Michael T. Owyang, 2012. "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1066-1080, November.
  7. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
  8. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  9. Tae-Hwy Lee & Ekaterina Seregina & Yaojue Xu, 2023. "Elicitability and Encompassing for Volatility Forecasts by Bregman Functions," Working Papers 202311, University of California at Riverside, Department of Economics.
  10. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  11. Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
  12. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
  13. Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
  14. Bagsic, Cristeta & Paul, McNelis, 2007. "Output Gap Estimation for Inflation Forecasting: The Case of the Philippines," MPRA Paper 86789, University Library of Munich, Germany.
  15. Pablo M. Pincheira & Carlos A. Medel, 2016. "Forecasting with a Random Walk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 539-564, December.
  16. Raheem, Ibrahim, 2020. "Global financial cycles and exchange rate forecast: A factor analysis," MPRA Paper 105358, University Library of Munich, Germany.
  17. Nicolás Magner & Nicolás Hardy, 2022. "Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle," Mathematics, MDPI, vol. 10(13), pages 1-27, July.
  18. Wu, Jyh-Lin & Wang, Yi-Chiuan, 2013. "Fundamentals, forecast combinations and nominal exchange-rate predictability," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 129-145.
  19. He, Kaijian & Yu, Lean & Lai, Kin Keung, 2012. "Crude oil price analysis and forecasting using wavelet decomposed ensemble model," Energy, Elsevier, vol. 46(1), pages 564-574.
  20. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  21. Rakesh K. Bissoondeeal & Michail Karoglou & Alicia M. Gazely, 2011. "Forecasting The Uk/Us Exchange Rate With Divisia Monetary Models And Neural Networks," Scottish Journal of Political Economy, Scottish Economic Society, vol. 58(1), pages 127-152, February.
  22. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2023. "Liquidity yield and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 137(C).
  23. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201, Elsevier.
  24. Marcelo Moura, 2010. "Testing the Taylor Model Predictability for Exchange Rates in Latin America," Open Economies Review, Springer, vol. 21(4), pages 547-564, September.
  25. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
  26. Adrien Verdelhan, 2018. "The Share of Systematic Variation in Bilateral Exchange Rates," Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
  27. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  28. Pablo Pincheira & Nicolas Hardy & Andrea Bentancor, 2022. "A Simple Out-of-Sample Test of Predictability against the Random Walk Benchmark," Mathematics, MDPI, vol. 10(2), pages 1-20, January.
  29. Darvas, Zsolt & Schepp, Zoltán, 2007. "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével [Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 501-528.
  30. Pablo Pincheira Brown & Nicolás Hardy, 2024. "Correlation‐based tests of predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1835-1858, September.
  31. John Y. Campbell & Stefano Giglio & Christopher Polk, 2013. "Hard Times," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 95-132.
    • John Y. Campbell & Stefano Giglio & Christopher Polk, 2010. "Hard Times," NBER Working Papers 16222, National Bureau of Economic Research, Inc.
    • Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
  32. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
  33. Tanya Molodtsova & Alex Nikolsko‐Rzhevskyy & David H. Papell, 2011. "Taylor Rules and the Euro," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(2‐3), pages 535-552, March.
  34. Zsolt Darvas & Zoltán Schepp, 2007. "Forecasting Exchange Rates of Major Currencies with Long Maturity Forward Rates," Working Papers 0705, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
  35. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the term structure of option implied volatility: The power of an adaptive method," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 157-177.
  36. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
  37. LAURENT, Sébastien & VIOLANTE, Francesco, 2012. "Volatility forecasts evaluation and comparison," LIDAM Reprints CORE 2414, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  38. Berger, Tino & Richter, Julia & Wong, Benjamin, 2022. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  39. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
  40. Michael P. Clements & Ana Beatriz Galvão, 2011. "Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models," Working Papers 678, Queen Mary University of London, School of Economics and Finance.
  41. Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
  42. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
  43. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-24, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  44. Bleher, Johannes & Dimpfl, Thomas, 2022. "Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption," Econometrics and Statistics, Elsevier, vol. 24(C), pages 1-26.
  45. Atsushi Inoue & Barbara Rossi, 2008. "Monitoring and Forecasting Currency Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 523-534, March.
  46. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers No 7/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  47. Mr. Tobias Adrian & Peichu Xie, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," IMF Working Papers 2020/101, International Monetary Fund.
  48. Yu-chin Chen & Kwok Ping Tsang, 2013. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
  49. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
  50. Victor Pontines & Reza Siregar, 2012. "Exchange Rate Appreciation, Capital Flows and Excess Liquidity: Adjustment and Effectiveness of Policy Responses," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp87, April.
  51. P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  52. Rubaszek, Michał, 2021. "Forecasting crude oil prices with DSGE models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 531-546.
  53. West, Kenneth D. & Wong, Ka-Fu, 2014. "A factor model for co-movements of commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 289-309.
  54. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
  55. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
  56. Panopoulou, Ekaterini & Pantelidis, Theologos, 2015. "Speculative behaviour and oil price predictability," Economic Modelling, Elsevier, vol. 47(C), pages 128-136.
  57. Pablo Pincheira B., 2007. "Hidden Predictability in Economics: The Case of the Chilean Exchange Rate," Working Papers Central Bank of Chile 435, Central Bank of Chile.
  58. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 857, Banco de la Republica de Colombia.
  59. Mikhail Golosov & David Evans & anmol bhandari, 2017. "Risk and Monetary Policy in a New Keynesian Model," 2017 Meeting Papers 1359, Society for Economic Dynamics.
  60. Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: Caveat Emptor," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
  61. Ron Alquist & Menzie D. Chinn, 2008. "Conventional and unconventional approaches to exchange rate modelling and assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 2-13.
  62. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
  63. Daniel Andrés Jaimes Cárdenas & Jair Ojeda Joya, 2010. "Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica," Borradores de Economia 619, Banco de la Republica de Colombia.
  64. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522, Elsevier.
  65. Chen, Yu-chin & Turnovsky, Stephen J. & Zivot, Eric, 2014. "Forecasting inflation using commodity price aggregates," Journal of Econometrics, Elsevier, vol. 183(1), pages 117-134.
  66. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
  67. Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
  68. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Working Papers 11-34, Federal Reserve Bank of Philadelphia.
  69. Joseph Agyapong, 2021. "Application of Taylor Rule Fundamentals in Forecasting Exchange Rates," Economies, MDPI, vol. 9(2), pages 1-27, June.
  70. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
  71. Charles Engel & Nelson C. Mark & Kenneth D. West, 2015. "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 32-55, February.
  72. Pablo Pincheira & Jorge Selaive, 2011. "External imbalance, valuation adjustments and real Exchange rate: evidence of predictability in an emerging economy," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 26(1), pages 107-125, Junio.
  73. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  74. Luis Filipe Martins & Pierre Perron, 2016. "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 650-659, September.
  75. Gholampour, Vahid, 2022. "Exchange rates and information about future fundamentals," Journal of International Money and Finance, Elsevier, vol. 127(C).
  76. Jian Wang & Jason J. Wu, 2012. "The Taylor Rule and Forecast Intervals for Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 103-144, February.
  77. Pablo Pincheira Brown, 2022. "A Power Booster Factor for Out-of-Sample Tests of Predictability," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 45(89), pages 150-183.
  78. Richard Ashley & Haichun Ye, 2012. "On the Granger causality between median inflation and price dispersion," Applied Economics, Taylor & Francis Journals, vol. 44(32), pages 4221-4238, November.
  79. Søren Kjærgaard & Yunus Emre Ergemen & Marie-Pier Bergeron Boucher & Jim Oeppen & Malene Kallestrup-Lamb, 2019. "Longevity forecasting by socio-economic groups using compositional data analysis," CREATES Research Papers 2019-08, Department of Economics and Business Economics, Aarhus University.
  80. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
  81. Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2019. "Limited Asset Market Participation And The Euro Area Crisis: An Empirical Dsge Model," Economic Inquiry, Western Economic Association International, vol. 57(3), pages 1302-1323, July.
  82. Ca' Zorzi, Michele & Longaric, Pablo Anaya & Rubaszek, Michał, 2021. "The predictive power of equilibrium exchange rate models," Economic Bulletin Articles, European Central Bank, vol. 7.
  83. Kirstin Hubrich & Kenneth D. West, 2010. "Forecast evaluation of small nested model sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 574-594.
  84. Moura, Marcelo L. , & Lima, Adauto R. S. & Mendonça, Rodrigo M., 2008. "Exchange Rate and Fundamentals: The Case of Brazil," Insper Working Papers wpe_114, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  85. Pablo Pincheira & Nicolás Hardy & Felipe Muñoz, 2021. "“Go Wild for a While!”: A New Test for Forecast Evaluation in Nested Models," Mathematics, MDPI, vol. 9(18), pages 1-28, September.
  86. Christian Grisse & Thomas Nitschka, 2016. "Exchange Rate Returns and External Adjustment: Evidence from Switzerland," Open Economies Review, Springer, vol. 27(2), pages 317-339, April.
  87. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
  88. Brooks, Chris & Burke, Simon P. & Stanescu, Silvia, 2016. "Finite sample weighting of recursive forecast errors," International Journal of Forecasting, Elsevier, vol. 32(2), pages 458-474.
  89. He, Kaijian & Xu, Yang & Zou, Yingchao & Tang, Ling, 2015. "Electricity price forecasts using a Curvelet denoising based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 425(C), pages 1-9.
  90. Jan J. J. Groen & Paolo A. Pesenti, 2011. "Commodity Prices, Commodity Currencies, and Global Economic Developments," NBER Chapters, in: Commodity Prices and Markets, pages 15-42, National Bureau of Economic Research, Inc.
  91. Graham Elliott & Allan Timmermann, 2016. "Economic Forecasting," Economics Books, Princeton University Press, edition 1, number 10740.
  92. Yu-chin Chen & Kwok Ping Tsang, 2013. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
  93. Pincheira, Pablo & Hardy, Nicolás & Muñoz, Felipe, 2021. ""Go wild for a while!": A new asymptotically Normal test for forecast evaluation in nested models," MPRA Paper 105368, University Library of Munich, Germany.
  94. Ribeiro, Pinho J., 2017. "Selecting exchange rate fundamentals by bootstrap," International Journal of Forecasting, Elsevier, vol. 33(4), pages 894-914.
  95. Ponomareva, Natalia & Sheen, Jeffrey & Wang, Ben Zhe, 2019. "Forecasting exchange rates using principal components," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  96. Kaijian He & Rui Zha & Jun Wu & Kin Keung Lai, 2016. "Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price," Sustainability, MDPI, vol. 8(4), pages 1-11, April.
  97. Tae-Hwy Lee & Eric Hillebrand & Marcelo Medeiros, 2014. "Bagging Constrained Equity Premium Predictors," Working Papers 201421, University of California at Riverside, Department of Economics, revised Feb 2013.
  98. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
  99. de Souza Vasconcelos, Camila & Hadad Júnior, Eli, 2023. "Forecasting exchange rate: A bibliometric and content analysis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 607-628.
  100. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2017. "The dynamic linkages between crude oil and natural gas markets," Energy Economics, Elsevier, vol. 62(C), pages 155-170.
  101. Amat, Christophe & Michalski, Tomasz & Stoltz, Gilles, 2018. "Fundamentals and exchange rate forecastability with simple machine learning methods," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 1-24.
  102. Ana María Abarca G. & Felipe Alarcón G. & Pablo Pincheira B. & Jorge Selaive C., 2007. "Nominal Exchange Rate in Chile: Predictions based on technical analysis," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(2), pages 57-80, August.
  103. Adriana Fernandez & Evan F. Koenig & Alex Nikolsko-Rzhevskyy, 2011. "A real-time historical database for the OECD," Globalization Institute Working Papers 96, Federal Reserve Bank of Dallas.
  104. Dalibor Stevanovic, 2013. "Probability and Severity of Recessions," CIRANO Working Papers 2013s-43, CIRANO.
  105. Kladívko, Kamil & Österholm, Pär, 2021. "Do market participants’ forecasts of financial variables outperform the random-walk benchmark?," Finance Research Letters, Elsevier, vol. 40(C).
  106. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  107. Zongwu Cai & Seong Yeon Chang, 2018. "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201811, University of Kansas, Department of Economics, revised Dec 2018.
  108. Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012. "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, September.
  109. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
  110. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
  111. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia & Zhang, Yi, 2019. "Exchange rate prediction redux: New models, new data, new currencies," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 332-362.
  112. Pablo Pincheira Brown & Nicolás Hardy, 2024. "The mean squared prediction error paradox," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2298-2321, September.
  113. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
  114. Ľuboš Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, August.
  115. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
  116. S⊘ren Kjærgaard & Yunus Emre Ergemen & Marie‐Pier Bergeron‐Boucher & Jim Oeppen & Malene Kallestrup‐Lamb, 2020. "Longevity forecasting by socio‐economic groups using compositional data analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1167-1187, June.
  117. Barbara Rossi, 2012. "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers 1405, Department of Economics and Business, Universitat Pompeu Fabra.
  118. Galimberti, Jaqueson K. & Moura, Marcelo L., 2013. "Taylor rules and exchange rate predictability in emerging economies," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1008-1031.
  119. Menzie D. Chinn & Michael J. Moore, 2011. "Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1599-1624, December.
  120. Kauppi, Heikki & Virtanen, Timo, 2021. "Boosting nonlinear predictability of macroeconomic time series," International Journal of Forecasting, Elsevier, vol. 37(1), pages 151-170.
  121. Barbara Rossi & Atsushi Inoue, 2012. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 432-453, April.
  122. Ren, Xiaohang & Duan, Kun & Tao, Lizhu & Shi, Yukun & Yan, Cheng, 2022. "Carbon prices forecasting in quantiles," Energy Economics, Elsevier, vol. 108(C).
  123. Rudan Wang & Bruce Morley & Javier Ordóñez, 2016. "The Taylor Rule, Wealth Effects and the Exchange Rate," Review of International Economics, Wiley Blackwell, vol. 24(2), pages 282-301, May.
  124. Todd E. Clark & Michael W. McCracken, 2009. "Combining Forecasts from Nested Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
  125. Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
  126. Jose Luis Nolazco & Pablo Pincheira & Jorge Selaive, 2016. "The evasive predictive ability of core inflation," Working Papers 15/34, BBVA Bank, Economic Research Department.
  127. Engel, Charles & Lee, Dohyeon & Liu, Chang & Liu, Chenxin & Wu, Steve Pak Yeung, 2019. "The uncovered interest parity puzzle, exchange rate forecasting, and Taylor rules," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 317-331.
  128. Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2010. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 6(1), pages 125-173.
  129. Ching-Kang Ing & Chiao-Yi Yang, 2014. "Predictor Selection for Positive Autoregressive Processes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 243-253, March.
  130. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
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