SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Regression-Based Tests of Predictive Ability
15 references·16 citing·38 second hop
Regression-Based Tests of Predictive Ability (1998)Regression-Based Tests of Predictive Abil…Evaluation of Economic Forecasts (2016)Evaluation of Economic Foreca…Advertising and Aggregate Consumption: An Analysis of Causality (2010)Advertising and Aggregate Con…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…The predictive ability of several models of exchange rate volatility (1995)The predictive ability of sev…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…Comparing Information in Forecasts from Econometric Models (1990)Comparing Information in Fore…Alternative models for conditional stock volatility (1990)Alternative models for condit…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Alternative Models For Conditional Stock Volatility (1989)Alternative Models For Condit…Econometric Evaluation of Linear Macro-Economic Models (1986)Econometric Evaluation of Lin…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Advertising and Aggregate Consumption: An Analysis of Causality (1980)Advertising and Aggregate Con…Stock return predictability and determinants of predictability and profits (2015)Stock return predictability a…Advances in Forecasting under Instability (2013)Advances in Forecasting under…Advances in Forecast Evaluation (2013)Advances in Forecast Evaluati…Detecting and Predicting Forecast Breakdowns (2009)Detecting and Predicting Fore…The New Palgrave Dictionary of Economics Online (2008)The New Palgrave Dictionary o…Structural breaks and GARCH models of exchange rate volatility (2008)Structural breaks and GARCH m…Economic Forecasting (2008)Economic ForecastingBiases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? (2008)Biases in Macroeconomic Forec…Chapter 3 Forecast Evaluation (2006)Chapter 3 Forecast EvaluationEvaluating Direct Multistep Forecasts (2005)Evaluating Direct Multistep F…A Practical Guide to Forecasting Financial Market Volatility (2005)A Practical Guide to Forecast…Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood (2004)Forecasting volatility: A rea…The Use and Abuse of Real-Time Data in Economic Forecasting (2003)The Use and Abuse of Real-Tim…The out-of-sample success of term structure models as exchange rate predictors: a step beyond (2003)The out-of-sample success of …Choosing the Best Volatility Models: The Model Confidence Set Approach* (2003)Choosing the Best Volatility …Robust out-of-sample inference (2000)Robust out-of-sample inferenceApplied Economic Forecasting (1967)8 Forecast evaluation and combination (1996)Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2012)Investor Attention and Stock Market Volatility (2014)Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Stock market volatility and the information content of stock index options (1992)Stock prices and the Wall Street weather (1993)Asymmetric volatility transmission in international stock markets (1995)Time Series Regression with a Unit Root (1987)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Forecasting Volatility in Financial Markets: A Review (2003)MONEY, INCOME, AND CAUSALITY (1972)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Oil prices and the rise and fall of the US real exchange rate (1998)Pooling of forecasts (2004)In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (2005)Asymptotics for out of sample tests of Granger causality (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1986Econometric Evaluation of Linear Macro-Economic Models601 cited
  • 1980Advertising and Aggregate Consumption: An Analysis of Causality548 cited
  • 2016Evaluation of Economic Forecasts529 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • 1990Comparing Information in Forecasts from Econometric Models427 cited
  • 1995The predictive ability of several models of exchange rate volatility371 cited
  • 1989Alternative Models For Conditional Stock Volatility256 cited
  • 2010Advertising and Aggregate Consumption: An Analysis of Causality189 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2008Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?272 cited
  • 2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond255 cited
  • 2008Economic Forecasting254 cited
  • 2005Evaluating Direct Multistep Forecasts243 cited
  • 2003The Use and Abuse of Real-Time Data in Economic Forecasting233 cited
  • 2008The New Palgrave Dictionary of Economics Online231 cited
  • 2004Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood224 cited
  • 2008Structural breaks and GARCH models of exchange rate volatility222 cited
  • 2003Choosing the Best Volatility Models: The Model Confidence Set Approach*217 cited
  • 2000Robust out-of-sample inference211 cited
  • 2006Chapter 3 Forecast Evaluation185 cited
  • 2009Detecting and Predicting Forecast Breakdowns181 cited
  • 2013Advances in Forecasting under Instability178 cited
  • 2015Stock return predictability and determinants of predictability and profits175 cited
  • 2005A Practical Guide to Forecasting Financial Market Volatility171 cited
  • 2013Advances in Forecast Evaluation171 cited