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Forecasting Time Series Subject to Multiple Structural Breaks. (2006). Pettenuzzo, Davide ; Pesaran, M ; Timmermann, Allan.
In: Review of Economic Studies.
RePEc:oup:restud:v:73:y:2006:i:4:p:1057-1084.

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  97. Forecasting in the presence of in and out of sample breaks. (2015). Perron, Pierre ; Xu, Jiawen.
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    RePEc:bos:wpaper:wp2015-012.

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  98. Forecasting in nonstationary environments: What works and what doesnt in reduced-form and structural models. (2014). Rossi, Barbara ; Giacomini, Raffaella.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1476.

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  99. Density Forecast Evaluation in Unstable Environments. (2014). Gonzalez-Rivera, Gloria ; Sun, Yingying.
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  100. Is a night better than a day: Empirical evidence. (2014). Deshkovski, A. ; Dzeshkovskaia, A..
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:doi:10.1080/23322039.2014.921575.

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  101. Dirichlet Process Hidden Markov Multiple Change-point Model. (2014). CHONG, Terence Tai Leung ; Chong, Terence T. L., ; Ghosh, Pulak ; Ko, Stanley I. M., .
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  102. Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks. (2014). Nonejad, Nima.
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  103. Specific Markov-switching behaviour for ARMA parameters. (2014). Carpantier, Jean-François.
    In: CREA Discussion Paper Series.
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  104. Investigating Multiple Changes in Persistence in International Yields. (2014). Sirichand, Kavita ; Coleman, Simeon.
    In: Discussion Paper Series.
    RePEc:lbo:lbowps:2014_04.

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  105. A new structural break model, with an application to Canadian inflation forecasting. (2014). Song, Yong ; Maheu, John.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:1:p:144-160.

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  106. Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters. (2014). Theodoridis, Konstantinos ; mumtaz, haroon ; Barnett, Alina.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:1:p:129-143.

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  107. The relationship between spot and futures oil prices: Do structural breaks matter?. (2014). Lee, Chien-Chiang ; Chen, Pei-Fen ; Zeng, Jhih-Hong .
    In: Energy Economics.
    RePEc:eee:eneeco:v:43:y:2014:i:c:p:206-217.

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  108. Level shifts in stock returns driven by large shocks. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Kapetanios, George.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:41-51.

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  109. A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models. (2014). Dufays, Arnaud ; Bauwens, Luc ; de Backer, Bruno .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:207-229.

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  110. Unpredictability in economic analysis, econometric modeling and forecasting. (2014). Mizon, Grayham ; Hendry, David.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:182:y:2014:i:1:p:186-195.

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  111. Inference on stochastic time-varying coefficient models. (2014). yates, anthony ; Kapetanios, G. ; Giraitis, L..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:179:y:2014:i:1:p:46-65.

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  112. Specific Markov-switching behaviour for ARMA parameters. (2014). Dufays, Arnaud ; Carpantier, Jean-François.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2014014.

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  113. Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models. (2014). Rossi, Barbara ; Giacomini, Raffaella.
    In: Working Papers.
    RePEc:bge:wpaper:819.

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  114. Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach. (2014). Menla Ali, Faek ; Paraskevopoulos, Alexandros ; Yfanti, Stavroula ; Karoglou, Michail ; Karanasos, Menelaos.
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    RePEc:arx:papers:1403.7179.

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  115. Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications. (2013). Niu, Linlin ; Chen, Ying.
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    RePEc:wyi:wpaper:002047.

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  116. Presidential Address: Default and liquidity regimes in the bond market during the 2002–2012 period. (2013). Dionne, Georges ; Chun, Olfa Maalaoui.
    In: Canadian Journal of Economics/Revue canadienne d'économique.
    RePEc:wly:canjec:v:46:y:2013:i:4:p:1160-1195.

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  117. Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices. (2013). van Dijk, Dick ; Bouwman, Kees E. ; Raviv, Eran .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130068.

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  118. Forecasting yield spreads under crisis-induced multiple breakpoints. (2013). Guidolin, Massimo ; Grazzini, Caterina Forti.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:20:y:2013:i:18:p:1656-1664.

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  119. Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa. (2013). GUPTA, RANGAN ; van Eyden, Renee ; Thompson, Kirsten.
    In: Working Papers.
    RePEc:pre:wpaper:201383.

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  120. Forecasting with Factor Models: A Bayesian Model Averaging Perspective. (2013). Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:52724.

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  121. Unpredictability in Economic Analysis, Econometric Modeling and Forecasting. (2013). Hendry, David ; Mizon, Grayham E..
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:2013-w04.

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  122. Dynamic Persistence of Primary Commodity Prices. (2013). Ghoshray, Atanu.
    In: American Journal of Agricultural Economics.
    RePEc:oup:ajagec:v:95:y:2013:i:1:p:153-164.

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  123. Unpredictability in Economic Analysis, Econometric Modeling and Forecasting. (2013). Mizon, Grayham ; Hendry, David.
    In: Economics Papers.
    RePEc:nuf:econwp:1304.

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  124. Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period. (2013). Dionne, Georges ; Chun, Olfa Maalaoui .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1322.

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  125. Consistent Factor Estimation in Dynamic Factor Models with Structural Instability. (2013). Watson, Mark ; Plagborg-Mller, Mikkel ; Bates, Brandon J ; Stock, James H.
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    RePEc:hrv:faseco:28469786.

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  126. Inflation Persistence: Revisited. (2013). Smith, Julie ; Gamber, Edward N. ; Liebner, Jeffrey P..
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    RePEc:gwc:wpaper:2013-002.

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  127. Trends, cycles and structural breaks. (2013). Mills, Terence C..
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  128. Forecasting in macroeconomics. (2013). Rossi, Barbara ; Giacomini, Raffaella.
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  129. Very short-term wind speed forecasting with Bayesian structural break model. (2013). Kusiak, Andrew ; Song, Zhe ; Jiang, YU.
    In: Renewable Energy.
    RePEc:eee:renene:v:50:y:2013:i:c:p:637-647.

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  130. Forecasting by factors, by variables, by both or neither?. (2013). Hendry, David ; Clements, Michael ; Castle, Jennifer.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:305-319.

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  131. Consistent factor estimation in dynamic factor models with structural instability. (2013). Watson, Mark ; Plagborg-Moller, Mikkel ; Bates, Brandon J. ; Stock, James H..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:289-304.

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  132. Optimal forecasts in the presence of structural breaks. (2013). Pesaran, M ; Pick, Andreas ; Pranovich, Mikhail .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:134-152.

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  133. Forecasting with Bayesian Vector Autoregression. (2013). Karlsson, Sune .
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-791.

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  134. Advances in Forecasting under Instability. (2013). Rossi, Barbara.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-1203.

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  135. Methods for Measuring Expectations and Uncertainty in Markov-Switching Models. (2013). Bianchi, Francesco.
    In: CEPR Discussion Papers.
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  136. Heterogeneous Agents and Long Horizon Features of Asset Prices. (2013). Lebaron, Blake.
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  137. A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory. (2013). Nonejad, Nima.
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  138. Out-of-sample forecast tests robust to the choice of window size. (2012). Rossi, Barbara ; Inoue, Atsushi.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1404.

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  139. A New Structural Break Model with Application to Canadian Inflation Forecasting. (2012). Song, Yong ; Maheu, John.
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  140. Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?. (2012). Kim, Chang-Jin ; Eo, Yunjong.
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  141. Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model. (2012). Song, Yong.
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  142. A New Structural Break Model with Application to Canadian Inflation Forecasting. (2012). Song, Yong ; Maheu, John.
    In: Working Paper series.
    RePEc:rim:rimwps:27_12.

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  143. Identifying Speculative Bubbles with an Infinite Hidden Markov Model. (2012). Song, Yong ; Shi, Shuping.
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  144. Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen. (2012). Czinkota, Thomas .
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  145. A new structural break model with application to Canadian inflation forecasting. (2012). Song, Yong ; Maheu, John.
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    RePEc:pra:mprapa:36870.

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  146. Forecasting inflation in Asian economies. (2012). Liew, Freddy.
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  147. Identifying speculative bubbles with an in finite hidden Markov model. (2012). Song, Yong ; Shi, Shuping.
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  148. Forecasting by factors, by variables, or both?. (2012). Hendry, David ; Clements, Michael ; Castle, Jennifer.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:600.

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  149. Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence.. (2012). Coleman, Simeon ; Simeon Coleman Author name: Vitor Leone, .
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  150. Forecasting with Bayesian Vector Autoregressions. (2012). Karlsson, Sune.
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    RePEc:hhs:oruesi:2012_012.

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  151. On marginal likelihood computation in change-point models. (2012). Rombouts, Jeroen ; Bauwens, Luc ; Rombouts, Jeroen V. K., .
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  152. Markov Breaks in Regression Models. (2012). Smith, Aaron.
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  153. Impacts of Permanent and Transitory Shocks on Optimal Length of Moving Average to Predict Wheat Basis. (2012). Brorsen, B ; Lee, Yoonsuk .
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  154. A process for anticipating and shaping adversarial behavior. (2011). McKay, Shawn C ; Adams, Douglas E ; Chaturvedi, Alok.
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  155. An Alternative Bayesian Approach to Structural Breaks in Time Series Models. (2011). van Dijk, Dick ; Paap, Richard ; Dick J. C. van Dijk, ; van den Hauwe, Sjoerd .
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  156. K-state switching models with endogenous transition distributions. (2011). Kaufmann, Sylvia ; Sylvia, Kaufmann .
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  157. Hierarchical Shrinkage in Time-Varying Parameter Models. (2011). Koop, Gary ; Korobilis, Dimitris ; Miguel A. G. Belmonte, .
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  158. Hierarchical shrinkage in time-varying parameter models. (2011). Koop, Gary ; Korobilis, Dimitris ; Miguel, Belmonte .
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  159. Out-of-sample forecast tests robust to the choice of window size. (2011). Rossi, Barbara ; Inoue, Atsushi.
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  160. Forecasting in the presence of recent structural change. (2011). Price, Simon ; Eklund, Jana ; Kapetanios, George.
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  161. Structural breaks, parameter uncertainty, and term structure puzzles. (2011). Giordani, Paolo ; Bulkley, George .
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    RePEc:eee:jfinec:v:102:y:2011:i:1:p:222-232.

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  162. Markets change every day: Evidence from the memory of trade direction. (2011). Axioglou, Christos ; Skouras, Spyros .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:423-446.

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  163. Inference and prediction in a multiple-structural-break model. (2011). Geweke, John ; Jiang, YU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:172-185.

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  164. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models. (2011). Koop, Gary ; Rombouts, Jeroen V. K., ; Bauwens, Luc.
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  165. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models. (2011). Koop, Gary ; Korobilis, Dimitris ; Bauwens, Luc.
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  166. Forecasting inflation with gradual regime shifts and exogenous information. (2011). Teräsvirta, Timo ; Hubrich, Kirstin ; Gonzalez, Andres ; Terasvirta, Timo.
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  167. Advances in Forecasting Under Instability. (2011). Rossi, Barbara.
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  168. Optimal Forecasts in the Presence of Structural Breaks. (2011). Pesaran, M ; Pick, Andreas ; Pranovich, Mikhail .
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  169. Forecasting in the presence of recent structural change. (2011). Price, Simon ; Eklund, Jana ; Kapetanios, G..
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  170. Out-of-Sample Forecast Tests Robust to the Choice of Window Size. (2011). Rossi, Barbara ; Inoue, Atsushi.
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  171. Estimating and forecasting structural breaks in financial time series. (2011). Dufays, Arnaud ; Bauwens, Luc ; de Backer, Bruno .
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  172. Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011). (2011). Pesaran, M ; Pick, A. ; Pranovich, M..
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  173. Consideration of Trends in Time Series. (2011). White, Halbert ; Granger, Clive ; Clive W. J. Granger, .
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  174. Evaluating value at risk using selection criteria of the model and the information set. (2010). Miguel, Jesus ; Olave, Pilar ; Gargallo, Pilar ; Salvador, Manuel.
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  175. Crises and Recoveries in an Empirical Model of Consumption Disasters. (2010). Steinsson, Jon ; Nakamura, Emi ; Barro, Robert ; Ursua, Jose .
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  176. Long memory versus structural breaks in modeling and forecasting realized volatility. (2010). Yu, Wei-Choun ; Zivot, Eric ; Choi, Kyongwook.
    In: Journal of International Money and Finance.
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  177. Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks. (2010). Strachan, Rodney ; Koop, Gary ; Jochmann, Markus.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:2:p:326-347.

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  178. Forecasting with equilibrium-correction models during structural breaks. (2010). Hendry, David ; Fawcett, Nicholas ; Castle, Jennifer ; Fawcett, Nicholas W. P., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:158:y:2010:i:1:p:25-36.

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  179. Modeling structural breaks in economic relationships using large shocks. (2010). Tzavalis, Elias ; Kapetanios, G..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:3:p:417-436.

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  180. Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis. (2010). White, Halbert ; Pettenuzzo, Davide.
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  181. Forecasting output growth by the yield curve: the role of structural breaks. (2009). He, Zhongfang.
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  182. The Determinants of Stock and Bond Return Comovements. (2009). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven.
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  183. On Marginal Likelihood Computation in Change-point Models. (2009). Rombouts, Jeroen ; Bauwens, Luc ; Jeroen V. K. Rombouts, .
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  184. Time Variation in Asset Return Dependence: Strength or Structure?. (2009). van Dijk, Dick ; Kole, Erik ; Kole, H. J. W. G., ; van Dijk, D. J. C., ; Markwat, T. D..
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  185. Real-time inflation forecasting in a changing world. (2009). Paap, Richard ; Groen, Jan ; Groen, J. J. J., .
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  186. Delay times of sequential procedures for multiple time series regression models. (2009). Horvath, Lajos ; Aue, Alexander ; Reimherr, Matthew L..
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  187. On the evolution of the monetary policy transmission mechanism. (2009). Strachan, Rodney ; Leon-Gonzalez, Roberto ; Koop, Gary.
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  188. Real-Time Inflation Forecasting in a Changing World. (2009). Ravazzolo, Francesco ; Paap, Richard ; Groen, Jan ; Jan J. J. Groen, .
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  189. Forecasting inflation with gradual regime shifts and exogenous information. (2009). Teräsvirta, Timo ; Hubrich, Kirstin ; Gonzalez, Andres ; Terasvirta, Timo.
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  190. Real Time Detection of Structural Breaks in GARCH Models. (2008). Maheu, John.
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  191. On the Evolution of Monetary Policy. (2008). .
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  192. Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks. (2008). Strachan, Rodney ; Koop, Gary ; Jochmann, Markus.
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  193. Forecasting with Equilibrium-correction Models during Structural Breaks. (2008). Hendry, David ; Fawcett, Nicholas ; Castle, Jennifer ; Nicholas W. P. Fawcett, .
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  194. Learning, forecasting and structural breaks. (2008). Maheu, John ; Gordon, Stephen.
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  195. Structural breaks and GARCH models of exchange rate volatility. (2008). Strauss, Jack ; Rapach, David E..
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  196. Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations. (2008). Ardia, David.
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  201. A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices. (2008). Qu, Zhongjun ; Perron, Pierre.
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  202. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study. (2008). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
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  204. Learning, Forecasting and Structural Breaks. (2007). Maheu, John ; Gordon, Stephen.
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  205. Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows. (2007). Assenmacher, Katrin ; Pesaran, M.
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  206. Learning, structural instability and present value calculations. (2006). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
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  207. Learning, structural instability and present value calculations. (2006). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
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  208. Nonlinear dynamics of interest rate and inflation. (2006). Lanne, Markku.
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  209. Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models. (2006). Kohn, Robert ; Giordani, Paolo.
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  210. Detecting and predicting forecast breakdowns. (2006). Rossi, Barbara ; Giacomini, Raffaella.
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  212. Macroeconometric Modelling with a Global Perspective. (2006). Smith, Ronald ; Pesaran, M.
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  214. Learning, Structural Instability and Present Value Calculations. (2006). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
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  215. Model uncertainty and policy evaluation: some theory and empirics. (2005). West, Kenneth ; Durlauf, Steven ; Brock, William.
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  216. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
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  217. Model Uncertainty and Policy Evaluation: Some Theory and Empirics. (2004). West, Kenneth ; Durlauf, Steven ; Brock, William.
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  218. Learning, Forecasting and Structural Breaks. (2004). Maheu, John ; Gordon, Stephen.
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  219. Prior elicitation in multiple change-point models. (2004). Potter, Simon ; Koop, Gary.
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  220. Forecasting and estimating multiple change-point models with an unknown number of change points. (2004). Potter, Simon ; Koop, Gary.
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  221. Model uncertainty and policy evaluation : some theory and empirics. (2004). West, Kenneth ; Durlauf, Steven ; Brock, William.
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  222. Rare Events and Long-Run Risks. (). Jin, Tao ; Barro, Robert.
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