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subject:"Forecasting model"
isPartOf:"Journal of money, credit and banking : JMCB"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"International journal of finance & economics : IJFE"
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Forecasting model
Estimation
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94
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Garcia, René
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Journal of money, credit and banking : JMCB
Journal of financial econometrics : official journal of the Society for Financial Econometrics
International journal of finance & economics : IJFE
International journal of forecasting
151
Journal of forecasting
105
Finance research letters
85
Applied economics
78
Journal of banking & finance
77
Journal of empirical finance
65
Economic modelling
63
International review of financial analysis
63
Journal of econometrics
63
Journal of financial economics
58
Applied economics letters
55
Discussion paper / Centre for Economic Policy Research
55
Energy economics
53
International review of economics & finance : IREF
53
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52
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Working paper / National Bureau of Economic Research, Inc.
49
The North American journal of economics and finance : a journal of financial economics studies
48
NBER Working Paper
45
NBER working paper series
44
Economics letters
42
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
38
CESifo working papers
36
Journal of international money and finance
34
Discussion paper / Tinbergen Institute
33
Pacific-Basin finance journal
32
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31
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30
Journal of international financial markets, institutions & money
30
The European journal of finance
30
Management science : journal of the Institute for Operations Research and the Management Sciences
25
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24
Discussion papers / CEPR
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Applied financial economics
23
The journal of futures markets
23
Journal of risk and financial management : JRFM
22
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
22
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1
Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7 + 1) : new evidence from cross-quantilogram approach
Tiwari, Aviral Kumar
;
Shahbaz, Muhammad
;
Khalfaoui, Rabeh
; …
- In:
International journal of finance & economics : IJFE
29
(
2024
)
1
,
pp. 719-789
Persistent link: https://www.econbiz.de/10014469052
Saved in:
2
Are lower interest rates really associated with higher growth? : new empirical evidence on the interest rate thesis from 19 countries
Lee, Kang-Soek
;
Werner, Richard A.
- In:
International journal of finance & economics : IJFE
28
(
2023
)
4
,
pp. 3960-3975
Persistent link: https://www.econbiz.de/10014429221
Saved in:
3
Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng
;
Liu, Hung-Chun
;
Yang, J. Jimmy
- In:
International journal of finance & economics : IJFE
28
(
2023
)
3
,
pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
Saved in:
4
Out of bounds : do SPF respondents have anchored inflation expectations?
Binder, Carola Conces
;
Janson, Wesley
;
Verbrugge, Randal
- In:
Journal of money, credit and banking : JMCB
55
(
2023
)
2/3
,
pp. 559-576
Persistent link: https://www.econbiz.de/10014305987
Saved in:
5
A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data
Salisu, Afees A.
;
Gupta, Rangan
;
Ogbonna, Ahamuefula E.
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 384-400
Persistent link: https://www.econbiz.de/10012814585
Saved in:
6
Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian
;
Ma, Feng
;
Liang, Chao
;
Chen, Zhonglu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
Saved in:
7
The term structure of uncertainty : new evidence from survey expectations
Binder, Carola Conces
;
McElroy, Tucker
;
Sheng, Xuguang
- In:
Journal of money, credit and banking : JMCB
54
(
2022
)
1
,
pp. 39-71
Persistent link: https://www.econbiz.de/10012819559
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8
Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model
Tang, Yusui
;
Ma, Feng
;
Zhang, Yaojie
;
Wei, Yu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 4770-4783
Persistent link: https://www.econbiz.de/10013461377
Saved in:
9
Can sentiments on macroeconomic news explain stock returns? : evidence form social network data
Xu, Yingying
;
Zhao, Jichang
- In:
International journal of finance & economics : IJFE
27
(
2022
)
2
,
pp. 2073-2088
Persistent link: https://www.econbiz.de/10013184675
Saved in:
10
Forecasting stock market (realized) volatility in the United Kingdom : is there a role of inequality?
Hassani, Hossein
;
Yeganegi, Mohammad Reza
;
Gupta, Rangan
; …
- In:
International journal of finance & economics : IJFE
27
(
2022
)
2
,
pp. 2146-2152
Persistent link: https://www.econbiz.de/10013184696
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11
A portfolio construction framework using LSTM-based stock markets forecasting
Cipiloglu Yildiz, Zeynep
;
Yildiz, Selim Baha
- In:
International journal of finance & economics : IJFE
27
(
2022
)
2
,
pp. 2356-2366
Persistent link: https://www.econbiz.de/10013184892
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12
The predictive power of the term spread on inequality in the United Kingdom : an empirical analysis
Balcilar, Mehmet
;
Berisha, Edmond
;
Çepni, Oğuzhan
; …
- In:
International journal of finance & economics : IJFE
27
(
2022
)
2
,
pp. 1979-1988
Persistent link: https://www.econbiz.de/10013184598
Saved in:
13
Does crude oil futures price really help to predict spot oil price? : new evidence from density forecasting
Bai, Lan
;
Li, Xiafei
;
Wei, Yu
;
Wei, Guiwu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
3
,
pp. 3694-3712
Persistent link: https://www.econbiz.de/10013330741
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14
Is imperfection better? : evidence from predicting stock and bond returns
Lučivjanská, Katarína
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 244-270
Persistent link: https://www.econbiz.de/10011987766
Saved in:
15
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
16
Downside variance risk premium
Feunou, Bruno
;
Jahan-Parvar, Mohammad R.
;
Okou, Cédric
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 341-383
Persistent link: https://www.econbiz.de/10011987780
Saved in:
17
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
18
Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
Saved in:
19
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
Saved in:
20
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
Saved in:
21
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
22
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
23
Regime shifts in price-dividend ratios and expected stock returns : a present-value approach
Choi, Kwang Hun
;
Kim, Chang-jin
;
Park, Cheolbeom
- In:
Journal of money, credit and banking : JMCB
49
(
2017
)
2/3
,
pp. 417-441
Persistent link: https://www.econbiz.de/10011708028
Saved in:
24
On equity risk prediction and tail spillovers
Pouliasis, Panos
;
Kyriakou, Ioannis
;
Papapostolou, Nikos
- In:
International journal of finance & economics : IJFE
22
(
2017
)
4
,
pp. 379-393
Persistent link: https://www.econbiz.de/10011960379
Saved in:
25
A new time-varying parameter autoregressive model for U.S. inflation expectations
Lanne, Markku
;
Luoto, Jani
- In:
Journal of money, credit and banking : JMCB
49
(
2017
)
5
,
pp. 969-995
Persistent link: https://www.econbiz.de/10011946516
Saved in:
26
Do data revisions matter for DSGE estimation?
Givens, Gregory E.
- In:
Journal of money, credit and banking : JMCB
49
(
2017
)
6
,
pp. 1385-1407
Persistent link: https://www.econbiz.de/10011946614
Saved in:
27
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
28
Local trends in price-to-dividend ratios : assessment, predictive value, and determinants
Herwartz, Helmut
;
Rengel, Malte
;
Fang, Xu
- In:
Journal of money, credit and banking : JMCB
48
(
2016
)
8
,
pp. 1655-1690
Persistent link: https://www.econbiz.de/10011707949
Saved in:
29
Bayesian mixed frequency VARs
Eraker, Bjørn
;
Chiu, Ching Wai Jeremy
;
Foerster, Andrew
; …
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 698-721
Persistent link: https://www.econbiz.de/10011339252
Saved in:
30
A random coefficient approach to the predictability of stock returns in panels
Westerlund, Joakim
;
Narayan, Paresh Kumar
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 605-664
Persistent link: https://www.econbiz.de/10011339261
Saved in:
31
Testing for predictability in conditionally heteroskedastic stock returns
Westerlund, Joakim
;
Narayan, Paresh Kumar
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 342-375
Persistent link: https://www.econbiz.de/10011339304
Saved in:
32
Predicting exchange rates out of sample : can economic fundamentals beat the random walk?
Li, Jiahan
;
Tsiakas, Ilias
;
Wang, Wei
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 293-341
Persistent link: https://www.econbiz.de/10011339312
Saved in:
33
Time-varying predictability for stock returns, dividend growth and consumption growth
McMillan, David G.
- In:
International journal of finance & economics : IJFE
20
(
2015
)
4
,
pp. 362-373
Persistent link: https://www.econbiz.de/10011495564
Saved in:
34
Which fundamentals drive exchange rates? : a cross-sectional perspective
Sarno, Lucio
;
Schmeling, Maik
- In:
Journal of money, credit and banking : JMCB
46
(
2014
)
2/3
,
pp. 267-292
Persistent link: https://www.econbiz.de/10010464116
Saved in:
35
The consumption-income ratio, entrepreneurial risk, and the U.S. stock market
Hoffmann, Mathias
- In:
Journal of money, credit and banking : JMCB
46
(
2014
)
6
,
pp. 1259-1292
Persistent link: https://www.econbiz.de/10010466585
Saved in:
36
Mixed-frequency cointegrating regressions with parsimonious distributed lag structures
Miller, J. Isaac
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 584-614
Persistent link: https://www.econbiz.de/10010391945
Saved in:
37
Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric
;
Okou, Cédric
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
Saved in:
38
Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar
;
Schneider, Paul
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
Saved in:
39
The economic value of volatility forecasts : a conditional approach
Taylor, Nicholas
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 433-478
Persistent link: https://www.econbiz.de/10010391951
Saved in:
40
On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman
;
Velasco, Carlos
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
Saved in:
41
How do anticipated changes to short-term market rates influence banks' retail interest rates? : evidence from the four major euro area economies
Banerjee, Anindya
;
Bystrov, Victor
;
Mizen, Paul
- In:
Journal of money, credit and banking : JMCB
45
(
2013
)
7
,
pp. 1375-1414
Persistent link: https://www.econbiz.de/10010197460
Saved in:
42
Disappearing dividends : implications for the dividend-price ratio and return predictability
Kim, Chang-jin
;
Park, Cheolbeom
- In:
Journal of money, credit and banking : JMCB
45
(
2013
)
5
,
pp. 933-952
Persistent link: https://www.econbiz.de/10010197598
Saved in:
43
Time-varying risk-returm trade-off in the stock market
Guo, Hui
;
Wang, Zijun
;
Yang, Jian
- In:
Journal of money, credit and banking : JMCB
45
(
2013
)
4
,
pp. 623-650
Persistent link: https://www.econbiz.de/10009759991
Saved in:
44
Gross domestic product growth predictions through the yield spread : time-variation and structural breaks
De Pace, Pierangelo
- In:
International journal of finance & economics : IJFE
18
(
2013
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009721919
Saved in:
45
Asymmetry and long memory in volatility modeling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
Saved in:
46
Nonlinearity, macroeconomic factors and the dollar-sterling real exchange rate
Kim, Hyeyoen
- In:
International journal of finance & economics : IJFE
17
(
2012
)
4
,
pp. 337-346
Persistent link: https://www.econbiz.de/10009689481
Saved in:
47
Measuring high-frequency causality between returns, realized volatility, and implied volatility
Dufour, Jean-Marie
;
Garcia, René
;
Taamouti, Abderrahim
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 124-163
Persistent link: https://www.econbiz.de/10009519709
Saved in:
48
Robust value at risk prediction
Mancini, Loriano
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10009125125
Saved in:
49
Stock return predictability and dividend-price ratio : a nonlinear approach
McMillan, David G.
;
Wohar, Mark E.
- In:
International journal of finance & economics : IJFE
15
(
2010
)
4
,
pp. 351-365
Persistent link: https://www.econbiz.de/10008811291
Saved in:
50
Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.
;
Kouretas, Georgios P.
; …
- In:
International journal of finance & economics : IJFE
15
(
2010
)
4
,
pp. 331-350
Persistent link: https://www.econbiz.de/10008811307
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