SI 2015 Forecasting & Empirical Methods
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Prosper Dovonon, Nour Meddahi
Bootstrapping High-Frequency Jump Tests -
Tobias Adrian, Richard Crump, Erik Vogt
Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds -
Viktor Todorov, George Tauchen
Jump Regressions -
Daniele Bianchi, Monica Billio, Roberto Casarin, Massimo Guidolin
Modeling Contagion and Systemic Risk -
Elmar Mertens, James Nason
Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility -
Andrew Patton
Evaluating and Comparing Possibly Misspecified Forecasts -
Guillaume Chevillon, Sophocles Mavroeidis, Zhaoguo Zhan
Robust Inference in Structural VARs with Long-run Restrictions -
Francis X. Diebold, Frank Schorfheide, Minchul Shin
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility -
Drew D. Creal, Jing Cynthia Wu
Bond Risk Premia in Consumption Based Models -
Marcelo Medeiros, Eduardo F. Mendes
L1-Regularization of High Dimensional Time Series Models with Flexible Innovations -
Domenico Giannone
Priors for the long run -
Gianni Amisano, Oreste Tristani
Monetary Policy and Long-term Interest Rates -
Mohammad Pesaran, Raman Uppal, Paolo Zaffaroni
Portfolio Choice under the APT with Model Misspecification -
Philipp Hartmann, Kirstin Hubrich, Manfred Kremer, Robert Tetlow
Melting Down: Systemic Financial Instability and the Macroeconomy -
Ralph Koijen, Motohiro Yogo
An Equilibrium Model of Institutional Demand and Asset Prices -
Michael D. Bauer, James D. Hamilton
Robust Bond Risk Premia
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