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Faculty of Economics


Forecasting Models; Simulation Methods

Title AuthorsYearJEL Codes
Climate Change and Sovereign Risk: A Regional Analysis for the CaribbeanAgarwala, M., Burke, M., Doherty-Bigara, J., Klusak, P., Mohaddes, K.[2024]C33 C53 G10 G18 H63 O44 O54 Q51 Q54
High-Dimensional Forecasting with Known Knowns and Known UnknownsPesaran, M. H., Smith, R. P.[2024]C53 C55 E37 E52
Using Past Violence and Current News to Predict Changes in ViolenceMueller, H., Rauh, C. [2022]F21 C53 C55
Forecasting with panel data: estimation uncertainty versus parameter heterogeneityPesaran, M. H., Pick, A., Timmermann, A.[2022]C33 C53
Conditional Heteroskedasticity in the Volatility of Asset ReturnsDing, Y. [2021]C22 C32 C53 C58 G17
Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of VolatilityDing, Y.[2021]C22 C32 C53 C58
The Hard Problem of Prediction for Conflict PreventionMueller, H. and Rauh, C. [2021]F21 C53 C55
Regional Heterogeneity and U.S. Presidential ElectionsAhmed, R. and Pesaran, M. H.[2020]C53 C55 D72
The Hard Problem of Prediction for Conflict Prevention (see cwpe2103)Mueller, H. and Rauh, C. [2021]F21 C53 C55
Can Alternative Data Improve the Accuracy of Dynamic Factor Model Nowcasts?Cristea, R. G.[2020]C38 C53 C55 E27 E66 Y40
Optimal Feasible Expectations in Economics and FinanceLake, A.[2020]E37 D84 E70 C53
How BLUE is the Sky? Estimating the Air Quality Data in Beijing During the Blue Sky Day Period (2008-2012) by the Bayesian LSTM ApproachHan, Y., Li,V.,Lam, J., Pollitt, M.[2019]C53 C63 Q53
Some Dynamic and Steady-State Properties of Threshold Autoregressions with Applications to Stationarity and Local ExplosivityAhmed, M. F. and Satchell, S.[2019]C22 C32 C53
A Semiparametric Intraday GARCH ModelMalec, P.[2016]C14 C22 C53 C58
Spline-DCS for Forecasting Trade Volume in High-Frequency FinanceIto, R.[2016]C22 C51 C53 C58 G12
Modeling Dynamic Diurnal Patterns in High-Frequency Financial DataIto, R.[2013]C22 C51 C53 C58 G01 G12
An Empirical Growth Model for Major Oil ExportersEsfahani, H., Mohaddes, K. and Pesaran, M. H.[2012]C32 C53 E17 F43 F47 Q32
Oil Prices, External Income, and Growth: Lessons from JordanMohaddes, K. and Raissi, M.[2011]C32 C53 E17 F43 F47 Q32
Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011)Pesaran, M. H., Pick, A. and Pranovich, M.[2011]C22 C53

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