Publications of CReMFi Members in our Research Areas
On the Queen Mary Working Paper Series (since 2010):
- M.P. Clements and A.B. Galvão. (2011) Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Model.
- A. Carriero, G. Kapetanios and M. Marcellino. (2010) Forecasting Government Bond Yields with Large Bayesian VARs
- J.J.J. Groen, G. Kapetanios and S. Price. (2010) Multivariate Methods for Monitoring Structural Change
On Top Academic Journals (since 2010):
- M. P. Clements and A. B. Galvao. (2012). Real-time Forecasting of Inflation and Output Growth with Autoregressive Models in the Presence of Data Revisions. Journal of Applied Econometrics. Forthcoming.
- M. P. Clements and A. B. Galvao. (2012). Forecasting with Vector Autoregressive Models of Data Vintages: US output Growth and Inflation. International Journal of Forecasting. Forthcoming.
- E. Hjalmarsson. (2012). New Methods for Inference in Long-Horizon Regressions. Journal of Financial and Quantitative Analysis, Forthcoming.
- J. Groen, G. Kapetanios and S. Price. (2012) Multivariate Methods for Monitoring Structural Change. Journal of Applied Econometrics. Forthcoming.
- A. Cunningham, J. Eklund, C. Jeffery, G. Kapetanios and V. Labhard. (2012). A State Space Approach to Extracting the Signal From Uncertain Data. Journal of Business and Economic Statistics. Forthcoming.
- A. Carriero and R. Giacomini. (2011). How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Journal of Econometrics, Volume 164, Issue 1, Pages 21-34.
- A. Carriero, G. Kapetanios and Marcellino, M. (2011). Forecasting large datasets with Bayesian reduced rank multivariate models. Journal of Applied Econometrics. 26: 735--761.
- A. Carriero and Marcellino, M. (2011). Sectoral Survey-basedConfidence Indicators for Europe. Oxford Bulletin of Economics and Statistics, 73: 175--206.
- A. Carriero. (2011). Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models International Economic Review. 52: 425--459.
- B. Chiquoine, A. Chaboud ,E. Hjalmarsson and M. Loretan. (2010). “Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Markets. Journal of Empirical Finance, Vol. 17, No. 2, pp. 212-240.
- A. Beber, F. Breedon, A. Buraschi. (2010) Differences in beliefs and currency risk premiums. Journal of Financial Economics. 98(3):415-438.
- F. Breedon, P. Vitale. (2010). An empirical study of portfolio-balance and information effects of order flow on exchange rates. Journal of International Money and Finance. 29(3):504-524 Apr 2010