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Detecting and Predicting Forecast Breakdowns
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Detecting and Predicting Forecast Breakdowns (2006)Detecting and Predicting Forecast Breakdo…Evaluation of Economic Forecasts (2016)Evaluation of Economic Foreca…Forecasting Time Series Subject to Multiple Structural Breaks (2006)Forecasting Time Series Subje…Estimation and Testing of Forecast Rationality under Flexible Loss (2005)Estimation and Testing of For…Combination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…A real-time data set for macroeconomists (2001)A real-time data set for macr…Testing for structural change in conditional models (2000)Testing for structural change…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…The NAIRU, Unemployment and Monetary Policy (1997)The NAIRU, Unemployment and M…Optimal Prediction Under Asymmetric Loss (1997)Optimal Prediction Under Asym…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Comparing Predictive Accuracy (1994)Do Measures of Monetary Policy in a VAR Make Sense (1998)Monetary Policy Rules Based on Real-Time Data (2001)Macroeconomic Forecasting With Mixed-Frequency Data (2008)Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility (2010)Communicating uncertainty about facts, numbers and science (2019)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)The Combination of Forecasts (1969)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting Stock Returns (2013)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Postwar U.S. Business Cycles: An Empirical Investigation (1997)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)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)Economic and statistical measures of forecast accuracy (2000)Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)The Volatility of Realized Volatility (2008)Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Why Has U.S. Inflation Become Harder to Forecast? (2007)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 1998Forecasting Economic Time Series863 cited
  • 2001A real-time data set for macroeconomists787 cited
  • 1997The NAIRU, Unemployment and Monetary Policy666 cited
  • 2016Evaluation of Economic Forecasts529 cited
  • 2000Testing for structural change in conditional models465 cited
  • 2005Estimation and Testing of Forecast Rationality under Flexible Loss343 cited
  • 1997Optimal Prediction Under Asymmetric Loss342 cited

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2006
Forecasting Time Series Subject to Multiple Structural Breaks
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