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OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *. (2005). Timmermann, Allan ; Elliott, Graham.
In: International Economic Review.
RePEc:ier:iecrev:v:46:y:2005:i:4:p:1081-1102.

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  2. Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Li, Haiqi ; Hong, Yongmiao ; Chen, Qitong.
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  3. Merging Structural and Reduced-Form Models for Forecasting. (2024). Massimo, Piersanti Fabio ; Luca, Onorante ; Richard, Morris ; Jaime, Martinez-Martin.
    In: The B.E. Journal of Macroeconomics.
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  4. Time-varying forecast combination for high-dimensional data. (2023). Maung, Kenwin ; Chen, Bin.
    In: Journal of Econometrics.
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  5. Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying.
    In: Journal of Econometrics.
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  6. The robustness of forecast combination in unstable environments: a Monte Carlo study of advanced algorithms. (2021). Zhao, Yongchen.
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  7. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan.
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  8. Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin.
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  9. The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu.
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  10. Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara.
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  11. Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin.
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  13. Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara.
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  14. Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara.
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  15. Quantile forecast combination using stochastic dominance. (2018). Yazgan, Ege ; Stengos, Thanasis ; Pinar, Mehmet.
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  16. Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies. (2018). Papadopoulos, Georgios ; Rachaniotis, Nikolaos P ; Chionis, Dionysios.
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  17. Performance of fixed-income mutual funds with regime-switching models. (2018). Ayadi, Mohamed A ; Welch, Robert ; Liao, Yusui ; Lazrak, Skander.
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  18. Optimal pairs trading strategies in a cointegration framework. (2017). Martin, Franck ; Huang, Zhe.
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  19. Measuring productivity and absorptive capacity evolution. (2017). Everaert, Gerdie ; Eberhardt, Markus ; de Visscher, Steff.
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  20. Optimal pairs trading strategies in a cointegration framework. (2017). Martin, Franck ; Huang, Zhe.
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  21. A Machine Learning Approach to the Forecast Combination Puzzle. (2017). Mandel, Antoine ; Sani, Amir.
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  22. Forecasting with temporal hierarchies. (2017). Hyndman, Rob ; Athanasopoulos, George ; Petropoulos, Fotios ; Kourentzes, Nikolaos.
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  23. Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin.
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  24. Hidden Markov models in time series, with applications in economics. (2016). Kaufmann, Sylvia.
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  25. Learning Time-Varying Forecast Combinations. (2016). Mandel, Antoine ; Sani, Amir.
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  26. Learning Time-Varying Forecast Combinations. (2016). Mandel, Antoine ; Sani, Amir.
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  27. Distributions of forecasting errors of forecast combinations: Implications for inventory management. (2016). Barrow, Devon K ; Kourentzes, Nikolaos.
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  28. Disagreement versus uncertainty: Evidence from distribution forecasts. (2016). Nolte, Ingmar ; Kruger, Fabian.
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  29. Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms. (2015). Zhao, Yongchen.
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  30. Forecasting with Temporal Hierarchies. (2015). Hyndman, Rob ; Athanasopoulos, George ; Petropoulos, Fotios ; Kourentzes, Nikolaos.
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  31. Microfounded forecasting. (2015). Issler, João ; Gaglianone, Wagner.
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  32. Optimal Portfolio Choice under Decision-Based Model Combinations. (2015). Ravazzolo, Francesco ; Pettenuzzo, Davide.
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  33. Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data. (2015). Leiva-Leon, Danilo ; Guérin, Pierre.
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  34. Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data. (2014). Leiva-Leon, Danilo ; Guérin, Pierre.
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  35. Split-then-Combine Method for out-of-sample Combinations of Forecasts. (2014). de Juan, A ; A. S. M. Arroyo, .
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  37. Advances in Forecasting under Instability. (2013). Rossi, Barbara.
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  39. Robust volatility forecasts in the presence of structural breaks. (2012). Kourouyiannis, Constantinos ; Ghysels, Eric ; Andreou, Elena.
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  40. Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle. (2012). Yazgan, Ege ; Stengos, Thanasis ; Pinar, Mehmet.
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  41. Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle.. (2012). Yazgan, Ege ; Stengos, Thanasis ; Pinar, Mehmet.
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  42. Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts. (2012). Capistrán, Carlos ; Capistran, Carlos ; Benavides, Guillermo .
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  45. Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts. (2011). Smith, Christie ; Matheson, Troy ; Lees, Kirdan.
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  48. Forecast comparisons in unstable environments. (2010). Rossi, Barbara ; Giacomini, Raffaella.
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  49. Does Disagreement Amongst Forecasters have Predictive Value?. (2010). Franses, Philip Hans ; Franses, Ph. H. B. F., ; Legerstee, R..
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  50. Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco .
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  51. Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco .
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  52. A panel data approach to economic forecasting: The bias-corrected average forecast. (2009). Lima, Luiz ; Issler, João.
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  53. Forecasts of US short-term interest rates: A flexible forecast combination approach. (2009). Timmermann, Allan ; Guidolin, Massimo.
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  55. Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts. (2009). Capistrán, Carlos ; Benavides, Guillermo .
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  56. A panel data approach to economic forecasting: the bias-corrected average forecast. (2008). Lima, Luiz ; Issler, João.
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  59. Time Series Models for Forecasting: Testing or Combining?. (2007). Chen, Zhuo ; Yang, Yuhong.
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  60. Forecast Combination with Entry and Exit of Experts. (2006). Timmermann, Allan ; Capistrán, Carlos.
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