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Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Timmermann, Allan ; Hansen, Peter.
In: Economics Working Papers.
RePEc:eui:euiwps:eco2012/10.

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  19. Commodity Futures Return Predictability and Intertemporal Asset Pricing. (2020). Eyiah-Donkor, Emmanuel ; Cotter, John ; Pot, Valerio.
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  20. A new indicator for nowcasting employment subject to social security contributions in Germany. (2020). Hutter, Christian.
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  26. Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe.
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  27. On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin.
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  28. Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets. (2019). Chen, Hui ; Ni, Sophie X ; Joslin, Scott.
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  31. Manager sentiment and stock returns. (2019). Zhou, Guofu ; Martin, Xiumin ; Lee, Joshua ; Jiang, Fuwei.
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  22. Politis, D. N. & Romano, J. P. (1995), âBias-corrected nonparametric spectral estimationâ, Journal of time series analysis 16, 67â103.
    Paper not yet in RePEc: Add citation now

  23. Rapach, D. E., Strauss, J. K. & Zhou, G. (2010), âOut-of-sample equity premium prediction: Combination forecasts and links to the real economyâ, Review of Financial Studies 23, 821â862.

  24. Rossi, B. & Inoue, A. (2011), âOut-of-sample forecast tests robust to the window size choiceâ, working paper, Duke University .

  25. Stock, J. & Watson, M. (2007), Introduction to Econometrics. 2nd Edition, AddisonWesley.
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  26. Welch, I. & Goyal, A. (2008), âA comprehensive look at the empirical performance of equity premium predictionâ, The Review of Financial Studies pp. 1455â1508.

  27. West, K. (2006), Advances in forecast evaluation, in G. Elliott & A. Timmermann, eds, âHandbook of Economic Forecastingâ, Vol. 1, North-Holland, Amsterdam, pp. 99â134.
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  28. West, K. D. (1996), âAsymptotic inference about predictive abilityâ, Econometrica 64, 1067â1084.

  29. Westfall, P. H. & Young, S. S. (1993), Resampling-Based Multiple Testing: Examples and Methods for s-Value Adjustments, Wiley, New York.
    Paper not yet in RePEc: Add citation now
  30. White, H. (1994), Estimation, Inference and Specication Analysis, Cambridge University Press, Cambridge.
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  31. White, H. (2000a), Asymptotic Theory for Econometricians, revised edn, Academic Press, San Diego.
    Paper not yet in RePEc: Add citation now

  32. White, H. (2000b), âA reality check for data snoopingâ, Econometrica 68, 1097â1126.

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  1. A quantile regression analysis of flights-to-safety with implied volatilities. (2019). Troster, Victor ; Bouri, Elie ; Roubaud, David.
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  2. Testing parameter constancy in stationary vector autoregressive models against continuous change. (2004). Teräsvirta, Timo ; Gonzalez, Andres ; He, Changli.
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  3. Empirical Analysis of Policy Interventions. (2002). Zha, Tao ; Leeper, Eric.
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  4. Exchange Rate Pass-Through into Import Prices: A Macro or Micro Phenomenon?. (2002). Goldberg, Linda ; Campa, Jose.
    In: NBER Working Papers.
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  5. Inventory dynamics and business cycles: what has changed?. (2002). Zakrajsek, Egon ; McCarthy, Jonathan.
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  6. Exchange rate pass-through into import prices: a macro or micro phenomenon?. (2002). Goldberg, Linda ; Campa, Jose.
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  7. Assessing changes in the monetary transmission mechanism: a VAR approach. (2002). Giannoni, Marc ; Boivin, Jean.
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  8. Empirical analysis of policy interventions. (2002). Zha, Tao ; Leeper, Eric.
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  9. Differences in exchange rate pass-through in the euro area.. (2002). Campa, Jose ; Gonzalez, Jose M..
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  10. Demand Systems With Nonstationary Prices. (2002). Ng, Serena ; Lewbel, Arthur.
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  11. Inflation Changes, Yield Spreads, and Threshold Effects. (2002). Tkacz, Greg.
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  12. Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data. (2001). LE BIHAN, Hervé ; Jondeau, Eric.
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  13. Prices, Wages and the U.S. NAIRU in the 1990s. (2001). Watson, Mark ; Staiger, Doug ; Stock, James.
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  14. The Empirical Relevance of Simple Forward- and Backward-looking Models: A View from a Dynamic General Equilibrium Model. (2001). Lindé, Jesper ; Linde, Jesper.
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  15. MODELING THE DIVIDEND-PRICE RATIO: THE ROLE OF FUNDAMENTALS USING A REGIME-SWITCHING APPROACH. (2001). Olesen, Jan Overgaard ; Nielsen, Steen .
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  16. Structural change in U.S. wage determination. (2001). Rich, Robert ; Rissmiller, Donald.
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  18. Anticipations of monetary policy in financial markets. (2001). Sack, Brian ; Whitesell, William ; Lange, Joe.
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  19. Testing for Structural Change in the Presence of Auxiliary Models. (2001). Guay, Alain ; Ghysels, Eric.
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  21. Measuring Systematic Monetary Policy. (2000). Jorda, Oscar ; Hoover, Kevin.
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  22. Is money useful in the conduct of monetary policy?. (2000). Santucci, Larry ; Lantz, Carl D. ; Dotsey, Michael.
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  24. Inference on the Quantile Regression Process. (2000). Koenker, Roger.
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  25. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (2000). McCracken, Michael ; Clark, Todd.
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  26. A Time Series Model of Multiple Structural changes in Level, Trend and Variance. (1999). Zivot, Eric ; Wang, Jiahui.
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  27. Specification Search and Stability Analysis. (1999). Hoyo, del J. ; Llorente, Guillermo J..
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  28. Are Deep Parameters Stable? The Lucas Critique as an Empirical Hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
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  29. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (1999). McCracken, Michael ; Clark, Todd.
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  31. Tests of equal forecast accuracy and encompassing for nested models. (1999). McCracken, Michael ; Clark, Todd.
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  32. Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime. (1999). Hooker, Mark A..
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  34. Modest policy interventions. (1999). Zha, Tao ; Leeper, Eric.
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  35. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
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  36. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain.
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  37. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain ; Ghysels, Eric.
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  38. Slowdowns and Meltdowns: Postwar Growth Evidence from 74 Countries. (1997). Papell, David ; Ben-David, Dan.
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  39. The bank lending channel of monetary policy transmission: evidence from a model of bank behavior that incorporates long-term customer relationships.. (1997). Gibson, Michael S..
    In: International Finance Discussion Papers.
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  40. What Does the Bundesbank Target?. (1996). Mihov, Ilian ; Bernanke, Ben.
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  41. Moving endpoints and the internal consistency of agents ex ante forecasts. (1996). Tinsley, Peter ; Kozicki, Sharon.
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  42. Structural Change and Asset Pricing in Emerging Markets. (1996). Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
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  43. Modelling Federal Reserve Discount Policy. (1996). Baum, Christopher ; Karasulu, Meral .
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  44. CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications. (1995). Hostland, Doug.
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  45. Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate. (1995). van Norden, Simon ; Amano, Robert.
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  46. On Stable Factor Structures in the Pricing of Risk. (1995). Ghysels, Eric.
    In: CIRANO Working Papers.
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  47. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models. (1995). Garcia, René.
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  48. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
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  49. Moving Endpoints in Macrofinance. (). Tinsley, Peter ; Kozicki, Sharon.
    In: Computing in Economics and Finance 1996.
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  50. Ex Post and Ex Ante Analysis of Provisional Data. (). Marcellino, Massimiliano ; Gallo, Giampiero.
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