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How costly is it to ignore breaks when forecasting the direction of a time series?. (2004). Timmermann, Allan ; Pesaran, M.
In: International Journal of Forecasting.
RePEc:eee:intfor:v:20:y:2004:i:3:p:411-425.

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  2. Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models. (2024). Jamhamed, Fayssal ; Tuffry, Stphane ; Thlissaint, Josu ; Rondeau, Fabien ; Martin, Franck.
    In: Economics Working Paper Archive (University of Rennes & University of Caen).
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  3. Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele.
    In: International Journal of Forecasting.
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  4. Diversification, hedging, and safe-haven characteristics of cryptocurrencies: A structural change approach. (2024). Cheng, Po-Keng ; Yang, Yiwen ; Hsu, Shu-Han.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001431.

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  5. Forecasting bitcoin volatility: exploring the potential of deep learning. (2023). Rubio, Lihki ; Ramos, Filipe R ; Pratas, Tiago E.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00232-0.

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  6. Exploring the sustainable growth pathway of wind power in China: Using the semiparametric regression model. (2023). Xu, Bin.
    In: Energy Policy.
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  7. Commodity prices and inflation risk. (2022). Petrella, Ivan ; Garratt, Anthony.
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  8. Using structural break inference for forecasting time series. (2022). Osborn, Denise R ; Altansukh, Gantungalag.
    In: Empirical Economics.
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  9. Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models. (2022). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001756.

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  10. Sparse change?point VAR models. (2021). Dufays, Arnaud ; Song, Yong ; Li, Zhuo.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:6:p:703-727.

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  11. Bayesian inference of multiple structural change models with asymmetric GARCH errors. (2021). Chen, Cathy W. S. ; Lee, Bonny.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:30:y:2021:i:3:d:10.1007_s10260-020-00549-z.

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  12. Day-Level Forecasting for Coronavirus Disease (COVID-19). (2021). Radwan, Nouran M ; Hanna, Wael K ; Eusebio, Jose ; Carvalho, Vitor Hugo.
    In: International Journal of Healthcare Information Systems and Informatics (IJHISI).
    RePEc:igg:jhisi0:v:16:y:2021:i:4:p:1-16.

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  13. Corn Cash Price Forecasting. (2020). Xu, Xiaojie.
    In: American Journal of Agricultural Economics.
    RePEc:wly:ajagec:v:102:y:2020:i:4:p:1297-1320.

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  14. How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models. (2019). Chen, Cathy W. S. ; Lee, Sangyoel ; Dong, Manh Cuong ; Sriboonchitta, Songsak.
    In: Computational Economics.
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  15. Generalized high-dimensional trace regression via nuclear norm regularization. (2019). Fan, Jianqing ; Gong, Wenyan ; Zhu, Ziwei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:177-202.

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  16. Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility. (2018). Ngene, Geoffrey ; Lynch, Allen K ; Mungai, Ann Nduati.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:21:y:2018:i:02:n:s021909151850008x.

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  17. Monetary Policy and Investment Dynamics: Evidence from Disaggregate Data. (2018). Givens, Gregory ; Reed, Robert R.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:50:y:2018:i:8:p:1851-1878.

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  18. Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

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  19. Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). Davidson, Russell ; Ben maatoug, Abderrazak ; Lamouchi, Rim.
    In: Post-Print.
    RePEc:hal:journl:hal-01982032.

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  20. Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants. (2018). Allen, David ; Gerlach, Richard ; Peiris, Shelton ; Yatigammana, Rasika.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:2:p:52-:d:144971.

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  21. The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters. (2018). Ozdemir, Zeynel ; Balcilar, Mehmet.
    In: Working Papers.
    RePEc:emu:wpaper:15-34.pdf.

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  22. Short-run price forecast performance of individual and composite models for 496 corn cash markets. (2017). Xu, Xiaojie.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:44:y:2017:i:14:p:2593-2620.

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  23. Structural breaks in international tourism demand: Are they caused by crises or disasters?. (2017). Cro, Susana ; Martins, Antonio Miguel .
    In: Tourism Management.
    RePEc:eee:touman:v:63:y:2017:i:c:p:3-9.

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  24. Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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  25. Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks. (2016). Jacobs, Jan ; Dungey, Mardi ; Tian, Jing.
    In: Working Papers.
    RePEc:tas:wpaper:23396.

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  26. Testing the relative purchasing power parity hypothesis: the case of Korea. (2016). Kim, Sunghyun ; Shim, Hyein ; Ryu, Doojin.
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:25:p:2383-2395.

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  27. Directional analysis of consumers’ forecasts of inflation in a small open economy: evidence from South Korea. (2016). Tsuchiya, Yoichi ; Ahn, Young Bin.
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:10:p:854-864.

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  28. The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability. (2016). Ubilava, David.
    In: Working Papers.
    RePEc:syd:wpaper:2016-10.

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  29. On the Predictive Content of Nonlinear Transformations of Lagged Autoregression Residuals and Time Series Observations. (2016). Rossen, Anja.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:236:y:2016:i:1:p:389-409.

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  30. Directional analysis of fiscal sustainability: Revisiting Domars debt sustainability condition. (2016). Tsuchiya, Yoichi.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:41:y:2016:i:c:p:189-201.

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  31. Equity premium prediction: Are economic and technical indicators unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:4:p:1193-1207.

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  32. Getting the most out of macroeconomic information for predicting excess stock returns. (2016). van Dijk, Dick ; Çakmaklı, Cem ; Akmakli, Cem .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:3:p:650-668.

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  33. Multistep forecasting in the presence of location shifts. (2016). Chevillon, Guillaume.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:1:p:121-137.

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  34. Structural breaks and monetary dynamics: A time series analysis. (2016). El-Shazly, Alaa .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:53:y:2016:i:c:p:133-143.

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  35. Equity Premium Prediction: Are Economic and Technical Indicators Unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian .
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1552.

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  36. Equity premium prediction: Are economic and technical indicators instable?. (2015). Menkhoff, Lukas ; Baetje, Fabian .
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:113079.

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  37. Equity premium prediction: Are economic and technical indicators instable?. (2015). Menkhoff, Lukas ; Baetje, Fabian .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1987.

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  38. Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance. (2015). Gianetto, Quentin Giai ; Rassi, Hamdi .
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:33:y:2015:i:1:p:46-53.

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  39. Persistence of precious metal prices: a fractional integration approach with structural breaks. (2015). GUPTA, RANGAN ; Gil-Alana, Luis ; Balcilar, Mehmet ; Gil-Alaa, Luis Alberiko ; Aye, Goodness C ; Chang, Shinhye.
    In: NCID Working Papers.
    RePEc:nva:unnvaa:wp06-2015.

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  40. Persistence of precious metal prices: A fractional integration approach with structural breaks. (2015). GUPTA, RANGAN ; Gil-Alana, Luis ; Balcilar, Mehmet ; Aye, Goodness C. ; Chang, Shinhye.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:44:y:2015:i:c:p:57-64.

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  41. On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations. (2014). Rossen, Anja.
    In: HWWI Research Papers.
    RePEc:zbw:hwwirp:157.

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  42. Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance. (2014). RAÏSSI, HAMDI ; Rassi, Hamdi ; Patilea, Valentin.
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:109:y:2014:i:507:p:1099-1111.

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  43. A directional evaluation of corporate executives exchange rate forecasts. (2014). Tsuchiya, Yoichi.
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:1:p:95-101.

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  44. Attempting to Quantify the Accuracy of Complex Macroeconomic Forecasts. (2014). Dobrescu, Emilian.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2014:i:4:p:5-21.

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  45. Purchasing and supply managers provide early clues on the direction of the US economy: An application of a new market-timing test. (2014). Tsuchiya, Yoichi.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:599-618.

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  46. LEARNING BANKS EXPOSURE TO SYSTEMATIC RISK: EVIDENCE FROM THE FINANCIAL CRISIS OF 2008. (2014). Viale, Ariel ; Madura, Jeff.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:37:y:2014:i:1:p:75-98.

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  47. Forecasting yield spreads under crisis-induced multiple breakpoints. (2013). Guidolin, Massimo ; Grazzini, Caterina Forti.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:20:y:2013:i:18:p:1656-1664.

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  48. Testing for persistence with breaks and outliers in South African house prices. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; Gil-Alaa, Luis Alberiko ; Aye, Goodness C.
    In: NCID Working Papers.
    RePEc:nva:unnvaa:wp01-2013.

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  49. Very short-term wind speed forecasting with Bayesian structural break model. (2013). Kusiak, Andrew ; Song, Zhe ; Jiang, YU.
    In: Renewable Energy.
    RePEc:eee:renene:v:50:y:2013:i:c:p:637-647.

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  50. Are government and IMF forecasts useful? An application of a new market-timing test. (2013). Tsuchiya, Yoichi.
    In: Economics Letters.
    RePEc:eee:ecolet:v:118:y:2013:i:1:p:118-120.

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  51. Forecasting Stock Returns. (2013). Rapach, David ; Zhou, Guofu.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-328.

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  52. Testing for Persistence with Breaks and Outliers in South African House Prices. (2012). GUPTA, RANGAN ; Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp2012.

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  53. Testing for Persistence with Breaks and Outliers in South African House Prices. (2012). GUPTA, RANGAN ; Gil-Alana, Luis ; Aye, Goodness C..
    In: Working Papers.
    RePEc:pre:wpaper:201233.

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  54. Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen. (2012). Czinkota, Thomas .
    In: MPRA Paper.
    RePEc:pra:mprapa:37072.

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  55. Forecasting inflation in Asian economies. (2012). Liew, Freddy.
    In: MPRA Paper.
    RePEc:pra:mprapa:36781.

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  56. Estimation of semiparametric locally stationary diffusion models. (2012). LINTON, OLIVER ; Koo, Bonsoo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:210-233.

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  57. Is the Purchasing Managers Index useful for assessing the economys strength? A directional analysis. (2012). Tsuchiya, Yoichi.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00903.

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  58. On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations. (2011). Rossen, Anja.
    In: HWWI Research Papers.
    RePEc:zbw:hwwirp:113.

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  59. Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output. (2011). Swanson, Norman ; Armah, Nii Ayi .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201103.

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  60. Modelling Conditional Heteroscedasticity in Nonstationary Series. (2010). Cizek, P.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:a5a7b05f-5f1f-46ed-8ce8-5ad577d40761.

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  61. Modelling Conditional Heteroscedasticity in Nonstationary Series. (2010). Cizek, Pavel.
    In: Discussion Paper.
    RePEc:tiu:tiucen:a5a7b05f-5f1f-46ed-8ce8-5ad577d40761.

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  62. Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility. (2010). van Dijk, Dick ; Çakmaklı, Cem ; Cakmakli, Cem .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20100115.

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  63. Directional forecasts of GDP and inflation: a joint evaluation with an application to Federal Reserve predictions. (2010). Stekler, Herman ; Sinclair, Tara ; Kitzinger, L..
    In: Applied Economics.
    RePEc:taf:applec:v:42:y:2010:i:18:p:2289-2297.

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  64. Evaluating value at risk using selection criteria of the model and the information set. (2010). Miguel, Jesus ; Olave, Pilar ; Gargallo, Pilar ; Salvador, Manuel.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:18:p:1415-1428.

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  65. Testing for seasonal unit roots by frequency domain regression. (2010). Taylor, Robert ; Chambers, Marcus ; A. M. Robert Taylor, ; Leybourne, Stephen J. ; Harvey, David I..
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  66. Perspectives on Evaluating Macroeconomic Forecasts. (2010). Stekler, Herman.
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  67. Efficient estimation of a multivariate multiplicative volatility model. (2010). LINTON, OLIVER ; Hafner, Christian.
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  68. Predicting the direction of change in aggregate demand growth and its components. (2010). Baghestani, Hamid.
    In: Economics Bulletin.
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  69. Predicting the direction of change in aggregate demand growth and its components. (2010). Baghestani, Hamid.
    In: Economics Bulletin.
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  70. Information and Communication Technology (ICT) and human capital management trend in Malaysias economic development. (2009). Ahmed, Elsadig ; Ramlan, Jorah .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:16:y:2009:i:18:p:1881-1886.

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  71. A semiparametric model for the systematic factors of portfolio credit risk premia. (2009). Giammarino, Flavia ; Barrieu, Pauline .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:655-670.

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  72. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches. (2009). Anatolyev, Stanislav ; Kryzhanovskaya, Natalia .
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  73. Multi-Market Direction-of-Change Modeling Using Dependence Ratios. (2009). Anatolyev, Stanislav.
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  74. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches. (2009). Anatolyev, Stanislav ; Kryzhanovskaya, Natalia .
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  75. Adaptive pointwise estimation in time-inhomogeneous time-series models. (2008). Härdle, Wolfgang ; Cizek, Pavel ; Schafer, Dorothea ; Lee, Yuh-Jye ; Yeh, Yi-Ren ; Hardle, Wolfgang ; Spokoiny, Vladimir.
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  76. How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market. (2008). Irwin, Scott ; Garcia, Philip ; Colino, Evelyn V..
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  77. Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models. (2007). Spokoiny, V ; Haerdle, W ; Cizek, P.
    In: Other publications TiSEM.
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  78. Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models. (2007). Härdle, Wolfgang ; Cizek, Pavel ; SPOKOINY, V..
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    RePEc:tiu:tiucen:a797e4a8-12cf-4ac5-9fae-b05f68667f39.

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  79. The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries. (2007). Golinelli, Roberto ; Parigi, Giuseppe .
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:26:y:2007:i:2:p:77-94.

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  80. ENHANCING FORECAST ACCURACY BY USING LONG ESTIMATION PERIODS. (2007). Cheng, Wan-Hsiu ; Lee, Ming-Chih .
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  81. Structural break threshold VARs for predicting US recessions using the spread. (2006). Beatriz, Ana.
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  82. Structural break threshold VARs for predicting US recessions using the spread. (2006). Galvão, Ana ; Ana Beatriz C. Galvao, .
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  83. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2006). Diebold, Francis ; Christoffersen, Peter.
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    RePEc:inm:ormnsc:v:52:y:2006:i:8:p:1273-1287.

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  84. Unit Roots and Structural Breaks: A Survey of the Literature. (2006). Perman, Roger ; Byrne, Joseph.
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  85. Bagging binary and quantile predictors for time series. (2006). Lee, Tae Hwy ; Yang, Yang.
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    RePEc:eee:econom:v:135:y:2006:i:1-2:p:465-497.

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  86. Predictive density and conditional confidence interval accuracy tests. (2006). Swanson, Norman ; Corradi, Valentina.
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  87. Nonparametric retrospection and monitoring of predictability of financial returns. (2006). Anatolyev, Stanislav.
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  88. Nonparametric retrospection and monitoring of predictability of financial returns. (2006). Anatolyev, Stanislav.
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  89. A cointegration approach to the lead-lag effect among size-sorted equity portfolios. (2005). Kouretas, Georgios ; Kanas, Angelos.
    In: International Review of Economics & Finance.
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