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Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*.
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- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 636, doi. 10.1093/jjfinec/nbad014
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Assessing the economy using faster indicators.
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- Journal of Forecasting, 2024, v. 43, n. 1, p. 208, doi. 10.1002/for.3026
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Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects.
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- Empirical Economics, 2023, v. 64, n. 6, p. 2611, doi. 10.1007/s00181-023-02390-1
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- Article
How did consumers react to the COVID‐19 pandemic over time?
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- Oxford Bulletin of Economics & Statistics, 2022, v. 84, n. 5, p. 961, doi. 10.1111/obes.12507
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Making text count: Economic forecasting using newspaper text.
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- Journal of Applied Econometrics, 2022, v. 37, n. 5, p. 896, doi. 10.1002/jae.2907
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Investigating the predictive ability of ONS big data‐based indicators.
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- Journal of Forecasting, 2022, v. 41, n. 2, p. 252, doi. 10.1002/for.2805
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- Article
Hierarchical Time-Varying Estimation of Asset Pricing Models.
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- Journal of Risk & Financial Management, 2022, v. 15, n. 1, p. 14, doi. 10.3390/jrfm15010014
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ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS.
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- Econometric Theory, 2021, v. 37, n. 6, p. 1100, doi. 10.1017/S0266466620000535
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Measurement of factor strength: Theory and practice.
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- Journal of Applied Econometrics, 2021, v. 36, n. 5, p. 587, doi. 10.1002/jae.2830
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Corrigendum to "A Generalised Fractional Differencing Bootstrap for Long Memory Processes" Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460.
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- Journal of Time Series Analysis, 2021, v. 42, n. 4, p. 492, doi. 10.1111/jtsa.12591
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Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models.
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- Journal of Applied Econometrics, 2021, v. 36, n. 1, p. 125, doi. 10.1002/jae.2799
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Large time‐varying parameter VARs: A nonparametric approach.
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- Journal of Applied Econometrics, 2019, v. 34, n. 7, p. 1027, doi. 10.1002/jae.2722
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- Article
A Generalised Fractional Differencing Bootstrap for Long Memory Processes.
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- Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 467, doi. 10.1111/jtsa.12460
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- Article
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models.
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- Journal of Time Series Analysis, 2018, v. 39, n. 2, p. 129, doi. 10.1111/jtsa.12271
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- Article
Exponent of Cross-Sectional Dependence: Estimation and Inference.
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- Journal of Applied Econometrics, 2016, v. 31, n. 6, p. 929, doi. 10.1002/jae.2476
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On the estimation of short memory components in long memory time series models.
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- Studies in Nonlinear Dynamics & Econometrics, 2016, v. 20, n. 4, p. 365, doi. 10.1515/snde-2015-0120
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Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market.
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- Journal of Applied Econometrics, 2016, v. 31, n. 1, p. 58, doi. 10.1002/jae.2457
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A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS.
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- Actualité économique - Revue d'analyse économique, 2015, v. 91, n. 1/2, p. 67, doi. 10.7202/1036914ar
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Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change.
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- Empirical Economics, 2014, v. 47, n. 1, p. 305, doi. 10.1007/s00181-013-0743-0
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- Article
Robust Forecast Methods and Monitoring during Structural Change.
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- Manchester School (1463-6786), 2013, v. 81, p. 3, doi. 10.1111/manc.12011
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Estimation and inference for impulse response functions from univariate strongly persistent processes.
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- Econometrics Journal, 2013, v. 16, n. 3, p. 373, doi. 10.1111/j.1368-423X.2012.00395.x
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HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF-LIFE MEASURE OF CONVERGENCE TO PPP.
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- Journal of Applied Econometrics, 2013, v. 28, n. 3, p. 435, doi. 10.1002/jae.2261
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MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE.
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- Journal of Applied Econometrics, 2013, v. 28, n. 2, p. 250, doi. 10.1002/jae.1272
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Model Selection Criteria for Factor-Augmented Regressions<sup>*</sup> Model Selection Criteria for Factor-Augmented Regressions.
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- Oxford Bulletin of Economics & Statistics, 2013, v. 75, n. 1, p. 37, doi. 10.1111/j.1468-0084.2012.00721.x
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Assessing the Economy-wide Effects of Quantitative Easing*.
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- Economic Journal, 2012, v. 122, n. 564, p. F316, doi. 10.1111/j.1468-0297.2012.02555.x
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Assessing the economy-wide effects of quantitative easing.
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- Bank of England Quarterly Bulletin, 2012, v. 52, n. 1, p. 71
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Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK.
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- Journal of Forecasting, 2011, v. 30, n. 8, p. 736, doi. 10.1002/for.1208
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ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS.
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- Journal of Economic Surveys, 2011, v. 25, n. 4, p. 737, doi. 10.1111/j.1467-6419.2009.00622.x
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- Article
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change.
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- Bank of England Quarterly Bulletin, 2011, v. 51, n. 3, p. 255
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Forecasting large datasets with Bayesian reduced rank multivariate models.
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- Journal of Applied Econometrics, 2011, v. 26, n. 5, p. 735, doi. 10.1002/jae.1150
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TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS.
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- Econometric Theory, 2010, v. 26, n. 5, p. 1363, doi. 10.1017/S0266466609990612
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Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models.
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- Journal of Applied Econometrics, 2010, v. 25, n. 5, p. 869, doi. 10.1002/jae.1121
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TESTING FOR EXOGENEITY IN THRESHOLD MODELS.
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- Econometric Theory, 2010, v. 26, n. 1, p. 231, doi. 10.1017/S0266466609090665
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A parametric estimation method for dynamic factor models of large dimensions.
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- Journal of Time Series Analysis, 2009, v. 30, n. 2, p. 208, doi. 10.1111/j.1467-9892.2009.00607.x
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Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries.
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- Oxford Bulletin of Economics & Statistics, 2008, v. 70, n. 5, p. 645, doi. 10.1111/j.1468-0084.2008.00511.x
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A REVIEW OF FORECASTING TECHNIQUES FOR LARGE DATA SETS.
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- National Institute Economic Review, 2008, v. 203, p. 109, doi. 10.1177/00279501082030011201
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A state space approach to extracting the signal from uncertain data.
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- Bank of England Quarterly Bulletin, 2007, v. 47, n. 4, p. 546
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Testing for Neglected Nonlinearity in Cointegrating Relationships.
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- Journal of Time Series Analysis, 2007, v. 28, n. 6, p. 807, doi. 10.1111/j.1467-9892.2007.00532.x
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Measuring Conditional Persistence in Nonlinear Time Series.
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- Oxford Bulletin of Economics & Statistics, 2007, v. 69, n. 3, p. 363, doi. 10.1111/j.1468-0084.2006.00437.x
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Dynamic factor extraction of cross-sectional dependence in panel unit root tests.
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- Journal of Applied Econometrics, 2007, v. 22, n. 2, p. 313, doi. 10.1002/jae.943
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The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests.
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- Bank of England Quarterly Bulletin, 2006, v. 46, n. 4, p. 417
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Unit root tests in three-regime SETAR models.
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- Econometrics Journal, 2006, v. 9, n. 2, p. 252, doi. 10.1111/j.1368-423X.2006.00184.x
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TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS.
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- Econometric Theory, 2006, v. 22, n. 2, p. 279, doi. 10.1017/S0266466606060129
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- Article
Forecasting euro area inflation using dynamic factor measures of underlying inflation.
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- Journal of Forecasting, 2005, v. 24, n. 7, p. 491, doi. 10.1002/for.964
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Forecasting using bayesian and information theoretic model averaging: an application to UK inflation.
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- Bank of England Quarterly Bulletin, 2005, v. 45, n. 3, p. 375
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Estimating the Rank of the Spectral Density Matrix.
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- Journal of Time Series Analysis, 2005, v. 26, n. 1, p. 37, doi. 10.1111/j.1467-9892.2005.00389.x
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Unit-root testing against the alternative hypothesis of up tomstructural breaks.
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- Journal of Time Series Analysis, 2005, v. 26, n. 1, p. 123, doi. 10.1111/j.1467-9892.2005.00393.x
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Forecasting with measurement errors in dynamic models.
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- Bank of England Quarterly Bulletin, 2004, v. 44, n. 4, p. 461
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- Article
Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models.
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- Bank of England Quarterly Bulletin, 2004, v. 44, n. 4, p. 462
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- Article
THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION.
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- Econometric Theory, 2004, v. 20, n. 4, p. 735, doi. 10.1017/S0266466604204066
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