Approximately normal tests for equal predictive accuracy in nested models
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- Out-of-sample tests for Granger causality
- Predicting the equity premium with dividend ratios
- Tests of Conditional Predictive Ability
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- What does the yield curve tell us about GDP growth?
Cited in
(64)- Bitcoin mining activity and volatility dynamics in the power market
- Rare disaster concerns and economic fluctuations
- An observation regarding Hamilton's recent criticisms of Kilian's global real economic activity index
- A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence
- Dynamic industry uncertainty networks and the business cycle
- Forecasting the industrial production using alternative factor models and business survey data
- Adjusting for information content when comparing forecast performance
- Out-of-sample stock return prediction using higher-order moments
- Shrinkage-based tests of predictability
- Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
- Forecasting crude oil prices: do technical indicators need economic constraints?
- Determining the MSE-optimal cross section to forecast
- Forecasting seasonal time series data: a Bayesian model averaging approach
- Equity premium prediction: taking into account the role of long, even asymmetric, swings in stock market behavior
- Testing forecast accuracy
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- A neural network ensemble approach for GDP forecasting
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- Time to build and bond risk premia
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- Error Normality Testing in a Model of Two‐Way Nested Classification
- Reexamining time-varying bond risk premia in the post-financial crisis era
- Tests of equal accuracy for nested models with estimated factors
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
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- Employee sentiment and stock returns
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- Understanding models' forecasting performance
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- Does central bank capital matter for monetary policy?
- Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets
- Multi-Horizon Forecast Comparison
- Predicting the equity market risk premium: a model selection approach
- Real-time Bayesian learning and bond return predictability
- The predictive performance of the currency futures basis for spot returns
- On the sources of uncertainty in exchange rate predictability
- Combining p-values for Multivariate Predictive Ability Testing
- Structural Breaks in Grouped Heterogeneity
- Forecasting inflation using commodity price aggregates
- The power of weather
- Forecasting US stock market returns: a Japanese candlestick approach
- Testable implications of affine term structure models
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- Complete subset regressions
- Behavioral learning equilibria in New Keynesian models
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- Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate
- Are bond returns predictable with real-time macro data?
- Evaluating forecast performance with state dependence
- Predictability of structural co-movement in commodity prices: the role of technical indicators
- Diverging tests of equal predictive ability
- Forecasting stock market volatility: a combination approach
- Statistical tests for multiple forecast comparison
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- Can we use seasonally adjusted variables in dynamic factor models?
- The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
- Asymmetric dynamics between uncertainty and unemployment flows in the United States
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