Todd E. Clark

Federal Reserve Bank of Cleveland

P.O. Box 6387

Cleveland, OH 44101

United States

SCHOLARLY PAPERS

48

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458

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872

Scholarly Papers (48)

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 277 (112,785)

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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 (703,156)
Citation 2
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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

FRB of Cleveland Working Paper No. 12-18
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 214 (146,550)

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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 47 (417,868)
Citation 24

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Stochastic volatility, GARCH, forecasting

3.

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 255 (123,682)
Citation 46

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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 249 (126,675)
Citation 13

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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 223 (141,250)

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6.

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 208 (150,909)
Citation 17

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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 203 (154,404)
Citation 11

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Forecast Evaluation, Prediction, Causality

8.
Downloads 202 (155,092)
Citation 10

Advances in Forecast Evaluation

FRB of Cleveland Working Paper No. 11-20
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 137 (217,623)
Citation 8

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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 65 (357,362)
Citation 5

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Prediction, equal accuracy

9.

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 199 (157,343)
Citation 3

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Forecasts, Overfitting, Model Selection, Causality

10.
Downloads 184 (168,978)
Citation 25

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 European University Institute
Downloads 107 (262,211)
Citation 1

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Bayesian VARs, stochastic volatility, large datasets

Measuring Uncertainty and Its Impact on the Economy

FRB of Cleveland Working Paper No. 16-22
Number of pages: 63 Posted: 19 Oct 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 77 (324,729)
Citation 7

Abstract:

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Bayesian VARs, Stochastic Volatility, Large Datasets

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 171 (180,322)
Citation 31

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Phillips Curve, Forecasts, Causality, Break Test

12.

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 118 (243,245)
Citation 3

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Power, Structural Breaks, Forecast Evaluation, Model Selection

13.
Downloads 112 (252,524)
Citation 25

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 104 (267,571)
Citation 28

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

Estimating Equilibrium Real Interest Rates in Real-Time

Bundesbank Series 1 Discussion Paper No. 2004,32
Number of pages: 64 Posted: 08 Jun 2016
Todd E. Clark and Sharon Kozicki
Federal Reserve Bank of Cleveland and Bank of Canada
Downloads 8 (640,090)

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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 67 (351,694)
Citation 9

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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 (446,553)

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mean square error, prediction, reality check

15.

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 105 (264,196)
Citation 1

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Predictability, Forecast Accuracy, Testing

Bayesian VARs: Specification Choices and Forecast Accuracy

FRB of Cleveland Working Paper No. 1112
Number of pages: 52 Posted: 17 May 2011
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 95 (284,580)
Citation 4

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

Bayesian VARs: Specification Choices and Forecast Accuracy

CEPR Discussion Paper No. DP8273
Number of pages: 52 Posted: 14 Mar 2011
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 3 (678,558)
Citation 3
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Bayesian VARs, forecasting, marginal likelihood, prior specification

17.
Downloads 98 (276,875)
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 95 (284,580)
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 (678,558)
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18.

Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts

FRB of Cleveland Working Paper No. 14-39
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 97 (278,742)
Citation 2

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Forecasting, Prediction, Bayesian Analysis

19.

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 97 (278,742)
Citation 7

Abstract:

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Forecast combination, real-time data, structural change

20.

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 96 (280,700)
Citation 20

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Inflation dynamics, structural breaks, relative prices, factor models

21.

Forecasting with Small Macroeconomic VARs in the Presence of Instabilities

FEDS Working Paper No. 2007-41, FRB of Kansas City Economic Research Paper No. 06-09
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 91 (290,397)
Citation 7

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Real-time Data, Prediction, Structural Change

22.

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 89 (294,477)
Citation 72

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Forecast Evaluation, Causality, Exchange Rates

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 57 (382,481)
Citation 5

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Forecast Evaluation, Causality, Nested Models

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

NBER Working Paper No. t0326
Number of pages: 41 Posted: 17 Aug 2006 Last Revised: 17 Apr 2007
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 28 (505,646)
Citation 33

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24.

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

FRB of Cleveland Working Paper No. 1520
Number of pages: 50 Posted: 22 Oct 2015
Joshua C. C. Chan, Todd E. Clark and Gary Koop
University of Technology Sydney (UTS) - UTS Business School, Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 83 (307,572)
Citation 2

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

25.

A Bayesian Evaluation of Alternative Models of Trend Inflation

FRB of Cleveland Working Paper No. 11-34
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 75 (326,388)
Citation 3

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Likelihood, model combination, forecasting

26.

Endogenous Uncertainty

FRB of Cleveland Working Paper No. 18-05
Number of pages: 57 Posted: 30 Mar 2018
Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
Downloads 69 (341,899)

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Uncertainty, Endogeneity, Identification, Stochastic Volatility, Bayesian Methods

27.

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 68 (344,657)
Citation 6

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oil price shocks, monetary policy, time-varying parameters

28.

Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

FRB of Cleveland Working Paper No. 16-17
Number of pages: 55 Posted: 18 Sep 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 66 (350,077)
Citation 1

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29.

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 66 (350,077)
Citation 7

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Steady-state prior, Prediction, Bayesian methods

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

FRB of Cleveland Working Paper No. 12-27
Number of pages: 58 Posted: 15 Nov 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 61 (369,586)
Citation 2

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Prediction, forecasting, Bayesian methods, mixed frequency models

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

CEPR Discussion Paper No. DP9312
Number of pages: 59 Posted: 01 Feb 2013
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 4 (669,883)
Citation 1
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Bayesian methods, forecasting, mixed frequency models, Prediction

31.

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

FRB of Cleveland Working Paper No. 18-03R
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 European University Institute
Downloads 63 (358,641)
Citation 2

Abstract:

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Business cycle uncertainty, stochastic volatility, large datasets

32.

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 63 (358,641)
Citation 1

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Prediction, forecast evaluation, equal accuracy

33.
Downloads 56 (380,098)
Citation 11

Have Standard VARs Remained Stable Since the Crisis?

FRB of Cleveland Working Paper No. 14-11
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 European University Institute
Downloads 36 (464,536)
Citation 1

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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 European University Institute
Downloads 20 (556,101)
Citation 1

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

Have Standard VARs Remained Stable Since the Crisis?

CEPR Discussion Paper No. DP11558
Number of pages: 70 Posted: 10 Oct 2016
Norges Bank, Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
Downloads 0
Citation 2
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34.

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 55 (383,326)
Citation 6

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Forecasting, Prediction, mean square error, causality

35.

Evaluating Conditional Forecasts from Vector Autoregressions

FRB of Cleveland Working Paper No. 14-13
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 53 (389,790)
Citation 3

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prediction, forecasting, out-of-sample

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 27 (511,478)

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stochastic volatility, survey forecasts, fan charts

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

FRB St. Louis Working Paper No. 2017-26
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 12 (611,295)
Citation 3

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Stochastic volatility, survey forecasts, prediction

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

FRB of Cleveland Working Paper No. 17-15
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 9 (632,760)

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Stochastic Volatility, Survey Forecasts, Fan Charts

Tests of Equal Forecast Accuracy for Overlapping Models

FRB of Cleveland Working Paper No. 11-21
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 24 (530,067)

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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 22 (543,109)

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overlapping models, prediction, out-of-sample

38.

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 38 (445,587)
Citation 4

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predictability, forecast accuracy, in-sample

39.

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 34 (462,767)
Citation 11

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Survey-based inflation expectations, stochastic volatility, Bayesian econometrics

40.

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 33 (467,231)
Citation 1

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prediction, forecasting, out-of-sample

41.
Downloads 25 (508,240)
Citation 24

Common Drifting Volatility in Large Bayesian VARs

FRB of Cleveland Working Paper No. 12-06
Number of pages: 70 Posted: 18 Mar 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 24 (530,067)

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Bayesian VARs, stochastic volatility, forecasting, prior specification

Common Drifting Volatility in Large Bayesian Vars

CEPR Discussion Paper No. DP8894
Number of pages: 71 Posted: 04 Apr 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 1 (703,156)
Citation 4
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Bayesian VARs, forecasting, prior specification, stochastic volatility

42.

Commentary

Economic Policy Review, Vol. 3, No. 1, February 1997
Number of pages: 6 Posted: 12 Nov 2007
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 23 (519,734)

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New York City, New York City economy

43.

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

NBER Working Paper No. t0305
Number of pages: 46 Posted: 04 May 2011
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 17 (555,878)
Citation 2

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44.

Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

FRB of Cleveland Working Paper No. 20-02
Number of pages: 71 Posted: 17 Jan 2020
Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
Downloads 7 (620,261)

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forecasting, downside risk, asymmetries

45.

Assessing International Commonality in Macroeconomic Uncertainty and its Effects

CEPR Discussion Paper No. DP13970
Number of pages: 67 Posted: 07 Oct 2019
Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
Downloads 0 (687,143)
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Business cycle uncertainty, large datasets, stochastic volatility

46.

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

CEPR Discussion Paper No. DP9848
Number of pages: 58 Posted: 02 Jun 2014
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 0 (687,143)
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density forecasting, no arbitrage, stochastic volatility, Term structure

47.

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

48.

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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