(p. vii) Contributors
(p. vii) Contributors
marco aiolfi, Phd,
joined GSAM's Quantitative Investment Strategies Portfolio Management/Research team in January 2010. Prior to this, he was a principal at Platinum Grove Asset Management with research and trading responsibilities for currencies strategies. Previously he was a research scholar at the University of California, San Diego specializing in macro asset pricing and econometrics. In 2005 he was a visiting scholar for the Research Department of the International Monetary Fund. Marco has contributed articles to several academic journals including the Journal of Development Economics, the Journal of Financial Econometrics, the Journal of Econometrics, and the Journal of Forecasting. He received his PhD in economics from Bocconi University in 2006.
heather m. anderson
holds the Maureen Brunt Chair in Economics and Econometrics at Monash University in Melbourne, Australia. Her research interests include financial econometrics, nonlinear time series, macroeconometrics and forecasting. She is the coeditor of Empirical Economics and on the editorial board of several journals, including the Journal of Applied Econometrics.
is an associate professor in the Department of Economics at the University of Cyprus. Her two main research areas are financial econometrics and time series analysis. She has published several articles in the Journal of Econometrics and other top field journals. She received her PhD in economics in 1998 from the University of Manchester and has been faculty member in Tilburg University and the University of Manchester. Elena has received various grants and fellowships, including the European Union Marie Curie Fellowship and the European Research Council (ERC) grant.
is economist at the European Central Bank. She holds a PhD in economics from Université Libre de Bruxelles. Her area of research is time series econometrics with a focus on macro forecasting and structural analysis with real-time and large information sets. She has contributions in such fields as factor models, Bayesian shrinkage, and wavelet methods. She has been also involved in developing forecasting models to aid policymaking. She has written several working papers and has been published in the Journal of Applied Econometrics and the International Journal of Forecasting.
derek w. bunn
is a professor at London Business School. Author of many research papers and books in the areas of forecasting, decision analysis, and energy economics, he has been Editor of the Journal of Forecasting since 1984, a previous (p. viii) Editor of Energy Economics, and founding editor of the Journal of Energy Markets. He has advised many international companies and government agencies in this sector.
is senior research economist in the General Directorate of Economic Research at Banco de México. He has taught at universities in Mexico and the United States and has given seminars at universities and central banks around the world on economic forecasting, monetary policy, and related topics. Carlos has published various articles in international refereed journals such as the Journal of Monetary Economics and the Journal of Business and Economics Statistics. He received his PhD in economics from the University of California, San Diego in 2005.
jennifer l. castle
is an Official Fellow in Economics at Magdalen College, and a James Martin fellow at the Institute for Economic Modelling, Oxford Martin School, Oxford University and Institute for New Economic Thinking (INET). Previously, she was a British Academy postdoctoral research fellow at Nuffield College. Her research interests lie in the fields of model selection and forecasting, focusing on econometric modeling and the use of general to specific methodology in modeling economic time series. She has more than a dozen articles in journals and academic books published or forthcoming, including the Journal of Econometrics, Journal of Forecasting, Journal of Time-series Econometrics, and Journal of Macroeconomics.
is Senioreconomist at the Econometric Modeling Division in the Directorate General Research of the European Central Bank. His research interests include quantitative macroeconomics and monetary economics. His recent research has focused on the specification and estimation of dynamic stochastic general equilibrium (DSGE) models, including the modeling of labor market issues and the development of models suitable for quantitative policy analysis and forecasting.
todd e. clark
is an economist in the Economic Research Department of the Federal Reserve Bank of Cleveland. His research focuses on forecasting methods and the evaluation of forecasts.
michael p. clements
is professor of economics at the University of Warwick. His research interests include econometric modelling and forecasting, with recent publications in the areas of forecast evaluation, the analysis of high-frequency data and mixed data frequency models, real-time vintage data, and survey expectations. He currently serves as an editor for the International Journal of Forecasting.
is head of the Econometric Modeling Division in the Directorate General Research of the European Central Bank. His research interests include macroeconomics, monetary economics, as well as applied time-series econometrics. His recent research has focused on the development of large-scale dynamic stochastic general equilibrium (DSGE) models suitable for quantitative policy analysis and forecasting at policymaking institutions. Previously he worked on competing structural models of the inflation process and studied the performance and robustness of (p. ix) monetary policy rules, notably in the presence of the zero lower bound on nominal interest rates.
is currently professor of economics at the University of Warwick. She has previously held positions at the University of Pennsylvania, Queen Mary, University of London and University of Exeter. Her current research interests include forecast stability of factor models, bandwidth selection, predictive densities for volatility and partial identification. She is associate editor of the Review of Economic Studies and the Econometrics Journal. Valentina's recent work has been published in the Review of Economic Studies, International Economic Review, Journal of Econometrics, and Journal of Business Statistics and Economics.
is a professor of economics and Rigsby Fellow at the University of Richmond and serves as the chairman of the Economics Department. The focus of his research in recent years has been on forecasting and how data revisions affect monetary policy, forecasting, and macroeconomic research.
is an associate professor of economics at Duquesne University and Mercatus Affiliated Senior Scholar at George Mason University. His areas of interest include econometrics, consumer psychology, and public policy. Outside of academia, Davies has served as chief analytics officer for Parabon Computation and has founded several technology companies.
is professor of financial econometrics at the Imperial College Business School. He has previously held positions at the University of Exeter and Queen Mary, University of London. His research interests include estimation, specification testing, and prediction of financial volatility in continuous time models; analyzing macroeconomic and financial time series using long-memory models; identifying the macroeconomic determinants of stock market volatility; studying the dependence of multivariate financial time series using copulas; analyzing the features and effects of market microstructure noise. His work has been published in the Review of Economic Studies, Journal of Econometrics and Journal of Business and Economic Statistics.
nicholas w. p. fawcett
is a Fellow in Economics at Lady Margaret Hall, Oxford. His research covers time series forecasting models, and panel time series.
philip hans franses
is a professor of econometrics and professor of marketing research, affiliated with the Erasmus School of Economics, Erasmus University, Rotterdam. His research interests are time series, forecasting, marketing, and empirical finance. Currently he serves as the dean of the Erasmus School of Economics.
is the Bernstein Distinguished Professor of Economics at the University of North Carolina at Chapel Hill and professor of finance at the Kenan–Flagler Business School. His main research interests are time series econometrics and finance. He has published more than 100 articles in academic journals, including many in the majoreconomics, finance, and statistics journals, and has published (p. x) several books. He has served on the editorial boards of many academic journals and has been coeditor of the Journal of Business and Economic Statistics and is currently coeditor of the Journal of Financial Econometrics. He cofounded with Robert Engle (NYU Stern) the Society of Financial Econometrics (SoFiE). He was Resident Scholar at the Federal Reserve Bank of New York in 2008–2009. His most recent research has focused on financial econometrics, and in particular on MIDAS (mixed data sampling) regression models and related econometric methods.
is a reader (associate professor) of economics at University College, London. Her research interests are time series econometrics and forecasting, with an emphasis on forecast evaluation, model selection, and estimation of dynamic general equilibrium models with applications to macroeconomic data.
is a professor of economics at the Université Libre de Bruxelles. He is a research affiliate of the CEPR in the International Macroeconomics Programme and holds his PhD in economics from the Université Libre de Bruxelles, 2004. He has worked as an Economist at the Monetary Policy Research Division of the European Central Bank and has been scientific coordinator of the Euro Area Business Cycle Network. His research has been centered around the theme of exploiting information contained in many macroeconomic and financial variables. His research has been published in international journals, including the Journal of Monetary Economics, Journal of Econometrics, Econometric Theory, and Proceedings of the National Academy of Science.
is a professor of management science at the University of Bath, UK. His research focuses on the role of judgment in forecasting and he is interested in designing systems that aim to improve the contribution that judgment can make to the forecasting process.
peter reinhard hansen
is an assistant professor of economics at Stanford University. He holds an MSc in mathematics and economics from the University of Copenhagen and a PhD in economics from the University of California, San Diego. Before joining the Department of Economics at Stanford University in 2004, he was an assistant professor of economics at Brown University (2000–2004).His research is known for the Test for Superior Predictability, the Model Confidence Set, the Realized Kernel Estimator; and the Winner's Curse of Econometric Models. He has coauthored the book Workbook on Cointegration, published by Oxford University Press in 1998 and he has published research articles on cointegration, forecasting, high-frequency data, and financial volatility. He is associate editor for the Journal of Applied Econometrics, and a research fellow at the Center for Research in Econometric Analysis of Time Series and the Volatility Institute at Stern, NYU. His current research is concerned with the estimation of financial volatility using high-frequency data, the theory behind the “winner's curse of econometric models,” and the development of GARCH models that utilize realized measures of volatility.
(p. xi) david f. hendry
is a fellow of Nuffield College, director, Institute for Economic Modelling at the Institute for New Economic Thinking (INET) and Oxford Martin School and professor of economics at Oxford University (Chairman, 2001–2007). He was Knighted in 2009, and holds seven honorary doctorates. He is an honorary vice president and past president of the Royal Economic Society; fellow, British Academy, Royal Society of Edinburgh, Econometric Society, and Journal of Econometrics; foreign honorary member, American Economic Association and American Academy of Arts and Sciences; and an honorary fellow, International Institute of Forecasters. He is listed by the ISI as one of the world's 200 most cited economists, and has published more than 200 papers and 14 books on econometric methods, theory, modeling, and history; numerical techniques and computing; empirical economics; and both nowcasting and forecasting.
andrew m. jones
is a professor of economics at the University of York, UK, where he directs the Graduate Programme in Health Economics. He is the research director of the Health, Econometrics, and Data Group (HEDG) at the University of York and visiting professor at the University of Bergen. He researches in the areas of microeconometrics and health economics, with emphasis on the determinants of health, the economics of addiction, and socioeconomic inequalities in health and health care.
nektaria v. karakatsani
received her PhD from London Business School in 2005 and is now with the Regulatory Authority for Greece. She has published several econometric studies related to the behavior of daily electricity prices.
richard w. katz
is a senior scientist in the Institute for Mathematics Applied to Geosciences at the National Center for Atmospheric Research in Boulder, Colorado, USA. Trained in mathematical statistics, his interests focus on the application of statistics to the environmental sciences, including methods for assessing the economic impact of weather and climate.
anders bredahl kock
is a graduate student and member of CREATES, Aarhus University. His research interests include nonlinear modeling, applications of machine learning to econometrics, and high-dimensional variable selection.
siem jan koopman
received his PhD from the London School of Economics and is a professor of econometrics at the VU university in Amsterdam. His research concentrates on the econometric and statistical analysis of time series with applications in economics, finance, and other related fields. He has published in leading academic journals in statistics and econometrics. He has editorial duties at the Journal of Applied Econometrics, Journal of Forecasting, and Journal of Multivariate Analysis.
is an assistant professor of economics at the University of Cyprus. His research interests are macroeconometrics and empirical economic growth. His most recent research focuses on macroeconomic forecasting, mixed sampling frequencies, model averaging, and threshold regression. He has recently published articles in these areas in the Journal of Econometrics and Economic Journal. Andros did his undergraduate studies at the University of Cyprus and completed (p. xii) his PhD in economics at the University of Wisconsin–Madison in 2001. During the academic year 2001–2002 he visited the Virginia Tech.
is a distinguished professor of economics at the University at Albany SUNY, and honorary fellow of the International Institute of Forecasters. He has authored more than 100 research articles and books, including Introduction to Econometrics, 4th rev. ed. (with G.S. Maddala) and Transportation Indicators and Business Cycles (2010). Dr. Lahiri currently serves on the editorial boards of Journal of Econometrics, International Journal of Forecasting, Empirical Economics, and Journal of Business Cycle Measurement and Analysis.
is Emeritus Professor in the Australian School of Business at the University of New South Wales, Sydney, Australia. With a PhD in operations research from the University of California, Berkeley, his teaching field for many years has been information systems, with a research focus in forecasting, especially the effective merging of judgemental and model-based information.
jeffrey k. lazo
is director of the Societal Impacts Program (SIP) at the National Center for Atmospheric Research in Boulder, Colorado, USA. He is an economist whose current work focuses on the communication, use, and value of weather information and the economic impact of severe weather events.
michael s. lewis-beck
is F. Wendell Miller Distinguished Professor of Political Science at the University of Iowa. His interests are comparative elections, forecasting, political economy, and quantitative methodology. Professor Lewis-Beck has authored or coauthored more than 170 articles and books, including American Voter Revisited, Forecasting Elections, Economics and Elections: The Major Western Democracies, The French Voter: Before and After the 2002 Elections, and Applied Regression: An Introduction.
is a professor in laboureconomics at Linnaeus University. Växjö, Sweden, but is also affiliated with the Institute for Futures Studies in Stockholm. His research has been focused on issues of economic growth and demographic structure, including the use of demographic variables for forecasting.
holds a MA in mathematical economics and a PhD in economics from Aarhus University. He is a professor at the School of Economics and Management, Aarhus University. He is research fellow at the Center for Research in Econometric Analysis of Time Series (CREATES) in Aarhus. He is an associate member of Oxford–Man Institute of Quantitative Finance, where he has worked on construction of the institute's realized library, a Web page that contains daily nonparametric measures of how volatile financial assets or indexes were, in the past. He is also a research affiliate at the Volatility Institute at New York University. He is a founding and a council member of the Society for Financial Econometrics. He is associate editor for the International Journal of Forecasting. His current research interest addresses several aspects concerning volatility measurement and modeling. In a parallel research agenda, he investigates the effect of data mining on model evaluation and model (p. xiii) selection. His research is published in journals such as Econometrica, Journal of Business and Economic Statistics, Journal of Financial Econometrics, and Journal of Empirical Finance.
charles f. manski
is a Board of Trustees Professor in Economics at Northwestern University. His research spans econometrics, judgement and decision, and the analysis of social policy.
michael w. mccracken
is a research officer at the Federal Reserve Bank of St. Louis. Prior to this he was an economist at the Federal Reserve Board of Governors and an assistant professor at the University of Missouri–Columbia and Louisiana State University. He has published numerous papers on time series econometrics with an emphasis on forecasting.
is a professor of applied statistics and econometrics at Loughborough University. He is the author of Time Series Techniques for Economists, The Econometric Modelling of Financial Time Series, now in its third edition, and Modelling Trends and Cycles in Economic Time Series, and is coeditor of The Palgrave Handbook of Econometrics. He has published more than 170 articles in books and journals, predominantly on time series analysis and econometrics and their applications: the journals in which he has published range from Physica A, Journal of Cosmology, Journal of Climate, and Climatic Change and most majorstatistical, finance and economic journals, as well as the Journal of Economic History and Economic History Review.
is a professor of supply chain management at Brunel University, UK. Her main research interests lie in the areas of judgmental forecasting, forecasting and decision support, risk perception and risk communication.
received his PhD from Erasmus University, Rotterdam, and is an associate professor in econometrics at the VU university in Amsterdam. His current research interests include time series modeling in macroeconomics, financial markets, energy markets and crime, and econometric software development. He has published in leading academic journals in statististics and econometrics. He is editor of the econometric links of the Econometrics Journal of the Royal Economic Society.
is a professor of economics at the London Business School. Between March 2005 and September 2008 she served as director general of research at the European Central Bank and before the she held academic posts in different universities around the world. She has published numerous papers on econometrics and macroeconomics. She is an expert on forecasting, business cycle analysis, and monetary policy. One of her main areas of research has been the econometrics of large-dimensional data, where she produced some of the earliest contributions on the theory of factor models with many time series and, more recently, studied Bayesian shrinkage in that environment. Some of the methods she has developed, in particular those for nowcasting, are widely used in central banks around the world. (p. xiv) Her papers have appeared in top scientific journals, including American Economic Review, Review of Economic Studies, Review of Economics and Statistics, Journal of Econometrics, Journal of Monetary Economics, and Journal of the American Statistical Association.
is an assistant professor of economics at American University, Washington, DC. His research interests include nonstationary panels, Bayesian methodology, and economic forecasting. He has published in the Journal of Econometrics, Journal of Applied Econometrics, and International Journal of Forecasting
james h. stock
is the Harold Hitchings Burbank Professor of Political Economy in the Economics Department at Harvard University, which he chaired from 2006 to 2009, and is a research associate at the National Bureau of Economic Research. He received a master's degree in statistics and a doctoral degree in economics from the University of California, Berkeley. He has published more than 100 professional articles in the fields of econometric methods, macroeconomic forecasting, and monetary policy. He is also coauthor with Mark Watson of a leading undergraduate econometrics textbook, Introduction to Econometrics.
is a professor of economics at Aarhus University, and member of CREATES. Before joining Aarhus University he was professor of econometrics at the Stockholm School of Economics. He is coauthor of two books on nonlinear economic time series models and modeling. His research and teaching interests include nonlinear time series econometrics and volatility modeling.
is a professor and chair at Hunter College and the Graduate Center, CUNY. He has been working on U.S. presidential election forecasting since 1996. His forecasts have appeared in PS: Political Science and Politics, Research in Political Sociology, American Politics Research, and American Politics Quarterly. His current research is on American foreign policy making.
holds the Atkinson/Epstein Chair in Management Leadership at the Rady School at the University of California, San Diego, where he is also a professor of management and economics. He obtained his PhD from University of Cambridge and has written numerous papers on predictability of stock market returns, technical trading rules, and performance evaluation for mutual funds and pension funds. This work has been published in a range of journals, including the Journal of American Statistical Association, Journal of Finance, Journal of Business, Nature, Journal of Econometrics, Journal of Forecasting, and Quarterly Journal of Economics. His paper on sign predictability, coauthored with Hashem Pesaran, was awarded the “best papera ward” for a paper published in the International Journal of Forecasting over the two-year period 2004-2005.
is a professor at the Department of Econometrics and Business Statistics at Monash University, Melbourne, Australia. His research interests include econometrics, multivariate analysis, and forecasting.
(p. xv) anders warne
is a senioreconomist at the Econometric Modeling Division in the Directorate General Research of the European Central Bank. His main research interests are time series analysis for applied macroeconomics and Bayesian econometrics.
mark w. watson
is the Howard Harrison and Gabrielle Snyder Beck Professor of Economics and Public Affairs at Princeton University and research associate at the National Bureau of Economic Research. He completed his PhD in economics at the University of California, San Diego. His research focuses on time series econometrics, empirical macroeconomics, and macroeconomic forecasting. He currently serves as a coeditor of the Review of Economics and Statistics. He is also coauthor with James Stock of a leading undergraduate econometrics textbook, Introduction to Econometrics.