Todd E. Clark

Federal Reserve Bank of Cleveland

P.O. Box 6387

Cleveland, OH 44101

United States

SCHOLARLY PAPERS

55

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Scholarly Papers (55)

Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts

FRB of Kansas City Working Paper No. RWP 04-10, FRB of St. Louis Working Paper No. 2008-028A
Number of pages: 53 Posted: 08 Nov 2004
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 304 (127,297)

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Structural breaks, forecasting, model averaging

Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts

International Economic Review, Vol. 50, Issue 2, pp. 363-395, May 2009
Number of pages: 33 Posted: 27 Apr 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 1 (837,300)
Citation 5
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2.

Tests of Equal Forecast Accuracy and Encompassing for Nested Models

Federal Reserve Bank of Kansas City, Research Working Paper No. 99-11
Number of pages: 54 Posted: 09 Nov 1999
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 301 (129,329)
Citation 84

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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

Number of pages: 46 Posted: 20 Sep 2012
Todd E. Clark and Francesco Ravazzolo
Federal Reserve Bank of Cleveland and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 236 (164,945)

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Stochastic volatility, GARCH, forecasting

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

Norges Bank Working Paper 2012/09
Number of pages: 46 Posted: 07 May 2013
Todd E. Clark and Francesco Ravazzolo
Federal Reserve Bank of Cleveland and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 53 (480,290)
Citation 47

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Stochastic volatility, GARCH, forecasting

4.

The Sources of Fluctuations within and Across Countries

FRB Kansas City Research Working Paper No. 98-04
Number of pages: 85 Posted: 09 Feb 1999
Todd E. Clark and Kwanho Shin
Federal Reserve Bank of Cleveland and Korea University
Downloads 253 (154,608)
Citation 17

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5.

Finite-Sample Properties of Tests for Forecast Equivalence

Number of pages: 33 Posted: 26 Nov 1996
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 238 (164,114)
Citation 1

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6.
Downloads 232 (168,201)
Citation 16

Advances in Forecast Evaluation

Number of pages: 83 Posted: 08 Sep 2011
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 150 (248,269)
Citation 10

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Prediction, equal accuracy

Advances in Forecast Evaluation

Federal Reserve Bank of St. Louis Working Paper No. 2011-025B
Number of pages: 105 Posted: 13 Jun 2012 Last Revised: 24 Oct 2012
Michael W. McCracken and Todd E. Clark
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of Cleveland
Downloads 82 (380,714)
Citation 8

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Prediction, equal accuracy

7.

Evaluating Long-Horizon Forecasts

FRB of Kansas City Research Working Paper No. 01-14
Number of pages: 35 Posted: 16 Apr 2002
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 227 (171,733)
Citation 16

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Forecast Evaluation, Prediction, Causality

8.
Downloads 210 (184,800)
Citation 55

Measuring Uncertainty and Its Impact on the Economy

BAFFI CAREFIN Centre Research Paper No. 2016-39
Number of pages: 62 Posted: 19 Oct 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 122 (291,808)
Citation 3

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Bayesian VARs, stochastic volatility, large datasets

Measuring Uncertainty and Its Impact on the Economy

Number of pages: 63 Posted: 19 Oct 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 88 (364,436)
Citation 31

Abstract:

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Bayesian VARs, Stochastic Volatility, Large Datasets

9.

Borders and Business Cycles

FRB of Kansas City Working Paper No. 99-07, FRB of New York Staff Report No. 91
Number of pages: 39 Posted: 27 Nov 1999
Todd E. Clark and Eric van Wincoop
Federal Reserve Bank of Cleveland and University of Virginia - Department of Economics
Downloads 210 (184,800)
Citation 30

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10.

Can Out-of-Sample Forecast Comparisons Help Prevent Overfitting?

FRB of Kansas City Research Working Paper No. 00-05
Number of pages: 35 Posted: 02 Jun 2001
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 201 (192,492)
Citation 4

Abstract:

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Forecasts, Overfitting, Model Selection, Causality

11.

The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence

FRB of Kansas City Working Paper No. 03-06
Number of pages: 54 Posted: 15 Jun 2004
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 177 (215,427)
Citation 34

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Phillips Curve, Forecasts, Causality, Break Test

12.

Nowcasting Tail Risks to Economic Activity with Many Indicators

Number of pages: 63 Posted: 14 May 2020 Last Revised: 22 Sep 2020
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 157 (238,558)
Citation 2

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forecasting, downside risk, pandemics, big data, mixed frequency, quantile regression

Bayesian VARs: Specification Choices and Forecast Accuracy

Number of pages: 52 Posted: 17 May 2011
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 133 (273,444)
Citation 4

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Bayesian VARs, forecasting, prior specification, lag length, marginal likelihood

Bayesian VARs: Specification Choices and Forecast Accuracy

Number of pages: 52 Posted: 14 Mar 2011
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 3 (813,282)
Citation 14
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Bayesian VARs, forecasting, marginal likelihood, prior specification

14.

Endogenous Uncertainty

Number of pages: 57 Posted: 30 Mar 2018
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 134 (270,871)
Citation 2

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Uncertainty, Endogeneity, Identification, Stochastic Volatility, Bayesian Methods

15.
Downloads 125 (285,386)
Citation 29

Estimating Equilibrium Real Interest Rates in Real Time

FRB of Kansas Research Paper No. RWP 04-08
Number of pages: 48 Posted: 22 Sep 2004
Todd E. Clark and Sharon Kozicki
Federal Reserve Bank of Cleveland and Bank of Canada
Downloads 113 (308,358)
Citation 31

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Real-Time-Data; Time-Varying Parameter; Kalman Filter; Trend Growth

Estimating Equilibrium Real Interest Rates in Real-Time

Number of pages: 64 Posted: 08 Jun 2016
Todd E. Clark and Sharon Kozicki
Federal Reserve Bank of Cleveland and Bank of Canada
Downloads 12 (735,849)

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real-time-data, time-varying parameter, Kalman filter, trend growth

Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy

FRB of St. Louis Working Paper No. 2009-050B
Number of pages: 61 Posted: 24 Oct 2012
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 84 (375,266)
Citation 14

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mean square error, prediction, reality check

Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy

Federal Reserve Bank of Kansas City Economic Research Working Paper No. 09-11, Federal Reserve Bank of St. Louis Working Paper No. 2009-050A
Number of pages: 56 Posted: 20 Aug 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 40 (540,741)
Citation 1

Abstract:

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mean square error, prediction, reality check

17.

Forecast-Based Model Selection in the Presence of Structural Breaks

FRB of Kansas City Working Paper No. 02-05
Number of pages: 52 Posted: 23 Nov 2002
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 124 (287,036)
Citation 6

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Power, Structural Breaks, Forecast Evaluation, Model Selection

18.

Testing for Unconditional Predictive Ability

Federal Reserve Bank of St. Louis Working Paper No. 2010-031A
Number of pages: 32 Posted: 05 Oct 2010
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 117 (299,173)
Citation 4

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Predictability, Forecast Accuracy, Testing

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

FRB of Kansas City Working Paper No. RWP 05-05
Number of pages: 45 Posted: 22 Jan 2006
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 73 (407,573)
Citation 5

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Forecast Evaluation, Causality, Nested Models

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

Number of pages: 41 Posted: 17 Aug 2006 Last Revised: 24 Nov 2021
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 40 (540,741)
Citation 102

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20.

Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts

Number of pages: 41 Posted: 24 Dec 2014
Fabian Krueger, Todd E. Clark and Francesco Ravazzolo
Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Federal Reserve Bank of Cleveland and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 102 (328,959)
Citation 2

Abstract:

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Forecasting, Prediction, Bayesian Analysis

21.

Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

Number of pages: 79 Posted: 17 Jan 2020 Last Revised: 22 Sep 2020
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 101 (331,046)
Citation 1

Abstract:

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forecasting, downside risk, asymmetries

22.

Averaging Forecasts from Vars with Uncertain Instabilities

FRB of Kansas City Working Paper No. 06-12, FEDS Working Paper No. 2007-42, FRB of St. Louis Working Paper 2008-030B
Number of pages: 25 Posted: 28 Dec 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 101 (331,046)
Citation 13

Abstract:

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Forecast combination, real-time data, structural change

23.
Downloads 100 (333,219)
Citation 2

Combining Forecasts from Nested Models

FRB of Kansas City Research Working Paper No. 06-02, FRB of St. Louis Working Paper No. 2008-037A, FEDS Working Paper No. 2007-43
Number of pages: 34 Posted: 22 Mar 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 97 (342,386)
Citation 2

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Forecast Combination, Predictability, Forecast Evaluation

Combining Forecasts from Nested Models

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 3, pp. 303-329, June 2009
Number of pages: 27 Posted: 27 Apr 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 3 (813,282)
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24.

Disaggregate Evidence on the Persistence of Consumer Price Inflation

FRB of Kansas City Working Paper No. 03-11
Number of pages: 53 Posted: 05 Aug 2004
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 99 (335,397)
Citation 23

Abstract:

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Inflation dynamics, structural breaks, relative prices, factor models

25.

Forecasting with Small Macroeconomic VARs in the Presence of Instabilities

Number of pages: 66 Posted: 18 Jul 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 95 (344,325)
Citation 9

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Real-time Data, Prediction, Structural Change

26.

Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

Number of pages: 55 Posted: 18 Sep 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 94 (346,604)
Citation 5

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27.

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis

FRB of Kansas City Working Paper No. 04-03
Number of pages: 42 Posted: 05 Aug 2004
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 93 (349,002)
Citation 81

Abstract:

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Forecast Evaluation, Causality, Exchange Rates

28.

A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

Number of pages: 50 Posted: 22 Oct 2015
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 84 (371,810)
Citation 10

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trend inflation, inflation expectations, state space model, stochastic volatility

29.

A Bayesian Evaluation of Alternative Models of Trend Inflation

Number of pages: 60 Posted: 11 Jan 2012
Todd E. Clark and Taeyoung Doh
Federal Reserve Bank of Cleveland and Federal Reserve Bank of Kansas City
Downloads 80 (382,667)
Citation 8

Abstract:

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Likelihood, model combination, forecasting

30.

Time Variation in the Inflation Passthrough of Energy Prices

FRB of Kansas City Paper No. RWP 09-06
Number of pages: 21 Posted: 26 Feb 2009
Todd E. Clark and Stephen Terry
Federal Reserve Bank of Cleveland and Federal Reserve Bank of Kansas City
Downloads 79 (385,455)
Citation 11

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oil price shocks, monetary policy, time-varying parameters

31.

Real-Time Density Forecasts from VARs with Stochastic Volatility

Number of pages: 47 Posted: 11 Jun 2009
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 74 (399,979)
Citation 12

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Steady-state prior, Prediction, Bayesian methods

32.

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

Number of pages: 40 Posted: 26 Mar 2018 Last Revised: 10 Oct 2019
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 72 (406,064)
Citation 4

Abstract:

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Business cycle uncertainty, stochastic volatility, large datasets

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Number of pages: 58 Posted: 15 Nov 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 67 (427,394)
Citation 4

Abstract:

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Prediction, forecasting, Bayesian methods, mixed frequency models

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Number of pages: 59 Posted: 01 Feb 2013
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 4 (804,346)
Citation 7
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Bayesian methods, forecasting, mixed frequency models, Prediction

34.

Reality Checks and Nested Forecast Model Comparisons

Number of pages: 42 Posted: 05 Oct 2010
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 69 (415,520)
Citation 2

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Prediction, forecast evaluation, equal accuracy

35.

Evaluating Conditional Forecasts from Vector Autoregressions

Number of pages: 52 Posted: 04 Oct 2014
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 68 (418,773)
Citation 3

Abstract:

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prediction, forecasting, out-of-sample

36.
Downloads 61 (442,580)
Citation 18

Have Standard VARs Remained Stable Since the Crisis?

Number of pages: 57 Posted: 12 Sep 2014
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 36 (562,277)
Citation 1

Abstract:

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Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

Norges Bank Working Paper 13 | 2014
Number of pages: 57 Posted: 04 May 2015
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 25 (632,211)
Citation 1

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Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

Number of pages: 70 Posted: 10 Oct 2016
Norges Bank, Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0
Citation 7
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Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

Number of pages: 51 Posted: 03 Feb 2021 Last Revised: 10 Aug 2021
Federal Reserve Bank of Cleveland, Queen Mary, University of London, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 60 (452,591)

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Bayesian VARs, stochastic volatility, outliers, pandemics, forecasts

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

Number of pages: 130 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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38.

Tail Forecasting with Multivariate Bayesian Additive Regression Trees

Number of pages: 69 Posted: 22 Mar 2021
Federal Reserve Bank of Cleveland, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Bocconi University and University of Salzburg - Department of Economics and Social Sciences
Downloads 58 (453,515)
Citation 1

Abstract:

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nonparametric VAR, regression trees, macroeconomic forecasting

39.

Tests of Equal Predictive Ability With Real-Time Data

FRB of St. Louis Working Paper No. 2008-029
Number of pages: 32 Posted: 10 Aug 2007
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 58 (453,515)
Citation 7

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Forecasting, Prediction, mean square error, causality

Measuring Uncertainty and Its Effects in the COVID-19 Era

Number of pages: 35 Posted: 26 Oct 2020
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 54 (476,072)

Abstract:

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Bayesian VARs, stochastic volatility, pandemics

Measuring Uncertainty and its Effects in the COVID-19 Era

Number of pages: 40 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

BIS Working Paper No. 667
Number of pages: 58 Posted: 10 Nov 2017
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 30 (597,789)

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stochastic volatility, survey forecasts, fan charts

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

Number of pages: 44 Posted: 07 Sep 2017 Last Revised: 05 Jan 2019
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 13 (727,292)
Citation 10

Abstract:

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Stochastic volatility, survey forecasts, prediction

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

Number of pages: 57 Posted: 27 Sep 2017
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 10 (752,949)

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Stochastic Volatility, Survey Forecasts, Fan Charts

Tests of Equal Forecast Accuracy for Overlapping Models

Number of pages: 32 Posted: 08 Sep 2011
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 29 (604,346)

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overlapping models, prediction, out-of-sample

Tests of Equal Forecast Accuracy for Overlapping Models

Number of pages: 31 Posted: 12 Apr 2012
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 24 (639,634)
Citation 1

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overlapping models, prediction, out-of-sample

43.

In-Sample Tests of Predictive Ability: A New Approach

Federal Reserve Bank of Kansas City, Economic Research Department Research Working Paper No. 2009-051A
Number of pages: 36 Posted: 20 Aug 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 40 (529,527)
Citation 5

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predictability, forecast accuracy, in-sample

44.

Evaluating the Accuracy of Forecasts from Vector Autoregressions

FRB of St. Louis Working Paper No. 2013-010A
Number of pages: 47 Posted: 01 Mar 2013
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 37 (544,413)
Citation 1

Abstract:

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prediction, forecasting, out-of-sample

45.

Decomposing the Declining Volatility of Long-Term Inflation Expectations

FRB of Kansas City Paper No. RWP 09-05
Number of pages: 31 Posted: 26 Feb 2009
Todd E. Clark and Troy Davig
Federal Reserve Bank of Cleveland and Federal Reserve Bank of Kansas City
Downloads 35 (554,886)
Citation 10

Abstract:

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Survey-based inflation expectations, stochastic volatility, Bayesian econometrics

46.
Downloads 27 (600,893)
Citation 36

Common Drifting Volatility in Large Bayesian VARs

Number of pages: 70 Posted: 18 Mar 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 26 (624,937)

Abstract:

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Bayesian VARs, stochastic volatility, forecasting, prior specification

Common Drifting Volatility in Large Bayesian Vars

Number of pages: 71 Posted: 04 Apr 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 1 (837,300)
Citation 17
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Bayesian VARs, forecasting, prior specification, stochastic volatility

47.

Forecasting with Shadow-Rate VARs

Number of pages: 56 Posted: 01 Apr 2021
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland, Bocconi University and Deutsche Bundesbank
Downloads 26 (607,383)

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macroeconomic forecasting, effective lower bound, term structure, censored observations

48.

No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

Number of pages: 40 Posted: 22 Sep 2020
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 26 (607,383)

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term structure, volatility, density forecasting, no arbitrage

49.

Commentary

Number of pages: 6 Posted: 12 Nov 2007
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 24 (620,887)

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New York City, New York City economy

50.

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference

Number of pages: 46 Posted: 04 May 2011 Last Revised: 03 Nov 2021
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 23 (627,764)
Citation 5

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51.

Nowcasting Tail Risk to Economic Activity at a Weekly Frequency

Number of pages: 58 Posted: 22 Sep 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0 (818,037)
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Big Data, Downside risk, Forecasting, Mixed frequency, Pandemics, Quantile regression

52.

Assessing International Commonality in Macroeconomic Uncertainty and its Effects

Number of pages: 67 Posted: 07 Oct 2019
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0 (818,037)
Citation 1
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Business cycle uncertainty, large datasets, stochastic volatility

53.

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

Number of pages: 58 Posted: 02 Jun 2014
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0 (818,037)
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density forecasting, no arbitrage, stochastic volatility, Term structure

54.

An Empirical Assessment of the Relationships Among Inflation and Short- and Long-Term Expectations

Posted: 18 Nov 2008
Todd E. Clark and Troy Davig
Federal Reserve Bank of Cleveland and Federal Reserve Bank of Kansas City

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Expectation, trend inflation, inflation dynamics

55.

The Responses of Prices at Different Stages of Production to Monetary Policy Shocks

Federal Reserve Bank of Kansas City Research Working Paper No. 96-12
Posted: 20 Jan 1997
Todd E. Clark
Federal Reserve Bank of Cleveland

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