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Predicting relative forecasting performance: An empirical investigation
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Predicting relative forecasting performance: An empirical investigation (2019)Predicting relative forecasting performan…Vulnerable Growth (2019)Vulnerable GrowthMeasuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2015)Uncertainty and Business Cycl…Measuring Uncertainty (2015)Measuring UncertaintyFRED-MD: A Monthly Database for Macroeconomic Research (2015)FRED-MD: A Monthly Database f…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Persistence in forecasting performance and conditional combination strategies (2005)Persistence in forecasting pe…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyThe Combination of Forecasts (1969)The Combination of ForecastsPredicting bond return predictability (2024)Predicting bond return predic…Dynamic factor models: Does the specification matter? (2021)Dynamic factor models: Does t…Risk, Return, and Equilibrium: Empirical Tests (1973)Macroeconomic Forecasting Using Diffusion Indexes (2002)A Test for Superior Predictive Ability (2005)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Geopolitical Risk (2022)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Has the Business Cycle Changed and Why? (2002)Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)The Role of Monetary Policy (1995)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Policy Uncertainty and Corporate Investment (2015)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)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)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
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  • 2019Vulnerable Growth779 cited
  • 2015Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?434 cited
  • 2005Persistence in forecasting performance and conditional combination strategies351 cited

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Cited by

  • 2024Predicting bond return predictability22 cited
  • 2021Dynamic factor models: Does the specification matter?12 cited