| Publication | Date of Publication | Type |
|---|
Optimal forecast combination under regime switching
International Economic Review | 2026-02-04 | Paper |
Forecast Rationality Tests Based on Multi-Horizon Bounds
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Rejoinder
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Forecasting Macroeconomic Variables Under Model Instability
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
Comparing forecasting performance in cross-sections
Journal of Econometrics | 2023-11-17 | Paper |
Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model
Journal of Econometrics | 2023-06-29 | Paper |
Conditional rotation between forecasting models
Journal of Econometrics | 2022-12-14 | Paper |
Corrigendum to ``Predictability of stock returns and asset allocation under structural breaks
Journal of Econometrics | 2022-03-16 | Paper |
Variable selection in panel models with breaks
Journal of Econometrics | 2019-09-02 | Paper |
THE ET INTERVIEW: PROFESSOR HASHEM PESARAN
Econometric Theory | 2019-07-11 | Paper |
Equivalence between out-of-sample forecast comparisons and Wald statistics
Econometrica | 2019-01-30 | Paper |
Complete subset regressions with large-dimensional sets of predictors
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Predictability of stock returns and asset allocation under structural breaks
Journal of Econometrics | 2016-08-12 | Paper |
Variable selection, estimation and inference for multi-period forecasting problems
Journal of Econometrics | 2016-08-12 | Paper |
A MIDAS approach to modeling first and second moment dynamics
Journal of Econometrics | 2016-07-12 | Paper |
Forecasts of US short-term interest rates: a flexible forecast combination approach
Journal of Econometrics | 2016-07-04 | Paper |
Persistence in forecasting performance and conditional combination strategies
Journal of Econometrics | 2016-06-10 | Paper |
Term structure of risk under alternative econometric specifications
Journal of Econometrics | 2016-06-10 | Paper |
Selection of estimation window in the presence of breaks
Journal of Econometrics | 2016-05-02 | Paper |
Small sample properties of forecasts from autoregressive models under structural breaks
Journal of Econometrics | 2016-04-01 | Paper |
Testing dependence among serially correlated multicategory variables
Journal of the American Statistical Association | 2015-06-22 | Paper |
Complete subset regressions
Journal of Econometrics | 2014-06-06 | Paper |
Optimal forecast combinations under general loss functions and forecast error distributions
Journal of Econometrics | 2014-03-07 | Paper |
Complete subset regressions
Journal of Econometrics | 2013-12-01 | Paper |
| Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B | 2013-11-04 | Paper |
Properties of optimal forecasts under asymmetric loss and nonlinearity
Journal of Econometrics | 2012-09-23 | Paper |
Completion time structures of stock price movements
Annals of Finance | 2012-03-05 | Paper |
| scientific article; zbMATH DE number 5984105 (Why is no real title available?) | 2011-12-01 | Paper |
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
Journal of Business and Economic Statistics | 2011-08-24 | Paper |
Asset allocation under multivariate regime switching
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
Testing Forecast Optimality Under Unknown Loss
Journal of the American Statistical Association | 2009-06-12 | Paper |
Properties of equilibrium asset prices under alternative learning schemes
Journal of Economic Dynamics and Control | 2008-12-12 | Paper |
Learning, Structural Instability, and Present Value Calculations
Econometric Reviews | 2007-06-20 | Paper |
Forecasting Time Series Subject to Multiple Structural Breaks
Review of Economic Studies | 2007-02-12 | Paper |
Estimation and Testing of Forecast Rationality under Flexible Loss
Review of Economic Studies | 2006-02-21 | Paper |
REAL-TIME ECONOMETRICS
Econometric Theory | 2005-10-18 | Paper |
Option prices under Bayesian learning: implied volatility dynamics and predictive densities
Journal of Economic Dynamics and Control | 2003-01-21 | Paper |
Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
Journal of Econometrics | 2001-11-19 | Paper |
Moments of Markov switching models
Journal of Econometrics | 2001-10-06 | Paper |
Dangers of data mining: The case of calendar effects in stock returns
Journal of Econometrics | 2001-01-01 | Paper |
Data mining with local model specification uncertainty: a discussion of Hoover and Perez
Econometrics Journal | 2000-10-26 | Paper |
Mutual Fund Performance: Evidence from the UK
Review of Finance | 2000-06-01 | Paper |
Optimal properties of exponentially weighted forecasts in the presence of different information sources
Economics Letters | 1999-11-08 | Paper |
Present value models with feedback
Journal of Economic Dynamics and Control | 1997-02-27 | Paper |
Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
Review of Economic Studies | 1997-01-07 | Paper |
| scientific article; zbMATH DE number 1189210 (Why is no real title available?) | 1996-01-01 | Paper |
Why do dividend yields forecast stock returns?
Economics Letters | 1995-01-12 | Paper |
Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
Journal of Economic Dynamics and Control | 1995-01-11 | Paper |
A generalization of the non-parametric Henriksson-Merton test of market timing
Economics Letters | 1994-07-03 | Paper |
