Erik Christian Montes Schütte

Aarhus University

Associate Professor

Nordre Ringgade 1

DK-8000 Aarhus C, 8000

Denmark

Aarhus University - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

http://sites.google.com/view/christian-montes-schutte/home

DFI

SCHOLARLY PAPERS

12

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8,407

TOTAL CITATIONS
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Top 26,236

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42

Scholarly Papers (12)

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1.

The Anatomy of Machine Learning-Based Portfolio Performance

Number of pages: 60 Posted: 29 Nov 2023 Last Revised: 13 Sep 2024
Philippe Goulet Coulombe, David Rapach, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Sander Schwenk-Nebbe
Université du Québec à Montréal - Département des Sciences Économiques, Research Department, Federal Reserve Bank of Atlanta, Aarhus UniversityAarhus University - CREATES and Aarhus University - Department of Economics and Business Economics
Downloads 1,597 (24,072)

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Asset return predictability, Machine learning, Out-of-sample forecast, Portfolio construction, Economic value, Shapley value, XGBoost, Firm characteristics

2.

Global Inflation Forecasting

Number of pages: 90 Posted: 30 Jun 2022 Last Revised: 11 Feb 2025
Marcelo C. Medeiros, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Tobias Skipper Soussi
The University of Illinois at Urbana-Champaign, Aarhus UniversityAarhus University - CREATES and Aarhus University - School of Business and Social Sciences
Downloads 1,405 (29,204)

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global inflation, inflation forecasting, machine learning, random forests, neural networks, shrinkage

3.

Mixed-Frequency Machine Learning: Nowcasting and Backcasting Weekly Initial Claims with Daily Internet Search-Volume Data

International Journal of Forecasting, Forthcoming
Number of pages: 54 Posted: 13 Sep 2020 Last Revised: 13 Jun 2022
Daniel Borup, David Rapach, Erik Christian Montes Schütte and Erik Christian Montes Schütte
Aarhus University, CREATES, DFI, Research Department, Federal Reserve Bank of Atlanta and Aarhus UniversityAarhus University - CREATES
Downloads 1,093 (42,099)
Citation 8

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Mixed-frequency data, LASSO, Elastic net, Neural network, Unemployment insurance, Internet search, Variable importance

4.

In Search of a Job: Forecasting Employment Growth Using Google Trends

Journal of Business & Economic Statistics 40.1 (2022): 186-200.
Number of pages: 36 Posted: 22 Jul 2019 Last Revised: 31 Jul 2022
Daniel Borup, Erik Christian Montes Schütte and Erik Christian Montes Schütte
Aarhus University, CREATES, DFI and Aarhus UniversityAarhus University - CREATES
Downloads 937 (52,222)
Citation 16

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Google Trends, forecast comparison, US employment growth, targeting predictors, random forests, keyword search

5.

Quantifying Investor Narratives and Their Role during COVID-19

Number of pages: 94 Posted: 20 Dec 2020 Last Revised: 22 Dec 2022
Daniel Borup, Jorge Wolfgang Hansen, Benjamin Liengaard, Benjamin Liengaard, Benjamin Liengaard, Erik Christian Montes Schütte and Erik Christian Montes Schütte
Aarhus University, CREATES, DFI, Aarhus University - Department of Economics and Business Economics, Aarhus UniversityAarhus University - CREATESAarhus University - Department of Economics and Business Economics and Aarhus UniversityAarhus University - CREATES
Downloads 836 (61,077)
Citation 3

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COVID-19, textual analysis, latent Dirichlet allocation, narrative economics

6.

The Anatomy of Out-of-Sample Forecasting Accuracy

Downloads 825 (62,168)
Citation 1

The Anatomy of Out-of-Sample Forecasting Accuracy

FRB Atlanta Working Paper No. 2022-16
Number of pages: 54 Posted: 16 Nov 2022
Daniel Borup, Philippe Goulet Coulombe, David Rapach, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Sander Schwenk-Nebbe
Aarhus University, CREATES, DFI, Université du Québec à Montréal - Département des Sciences Économiques, Research Department, Federal Reserve Bank of Atlanta, Aarhus UniversityAarhus University - CREATES and Aarhus University - Department of Economics and Business Economics
Downloads 699 (76,193)

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variable importance, out-of-sample performance, Shapley value, loss function, machine learning, inflation

The Anatomy of Out-of-Sample Forecasting Accuracy

FRB Atlanta Working Paper No. 2022-16B
Number of pages: 36 Posted: 23 Feb 2024
Daniel Borup, Philippe Goulet Coulombe, David Rapach, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Sander Schwenk-Nebbe
Aarhus University, CREATES, DFI, Université du Québec à Montréal - Département des Sciences Économiques, Research Department, Federal Reserve Bank of Atlanta, Aarhus UniversityAarhus University - CREATES and Aarhus University - Department of Economics and Business Economics
Downloads 126 (464,559)
Citation 1

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model interpretation, Shapley value, predictor importance, loss function, machine learning, inflation

7.

Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations

Journal of Empirical Finance 58 (2020): 207-225.
Number of pages: 37 Posted: 14 Feb 2017 Last Revised: 13 May 2022
Thomas Quistgaard Pedersen, Erik Christian Montes Schütte and Erik Christian Montes Schütte
Aarhus University - CREATES and Aarhus UniversityAarhus University - CREATES
Downloads 534 (108,718)
Citation 9

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Right-tailed unit root tests, GSADF, size and power properties, sieve bootstrap, international housing market

8.

Search and Predictability of Prices in the Housing Market

Management Science, Forthcoming
Number of pages: 84 Posted: 22 Mar 2021 Last Revised: 19 May 2022
Stig Vinther Møller, Thomas Quistgaard Pedersen, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Allan Timmermann
Aarhus University - CREATES, Aarhus University - CREATES, Aarhus UniversityAarhus University - CREATES and UCSD
Downloads 465 (128,792)

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Internet search, housing markets, housing demand, forecasting, frictions, inelastic housing supply.

9.

Asset Pricing With Data Revisions

Journal of Financial Markets, Vol 59, Part B, 2022
Number of pages: 76 Posted: 13 Sep 2019 Last Revised: 10 Jun 2022
Daniel Borup, Erik Christian Montes Schütte and Erik Christian Montes Schütte
Aarhus University, CREATES, DFI and Aarhus UniversityAarhus University - CREATES
Downloads 408 (149,932)
Citation 4

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Data revisions, vintage data, consumption-based capital asset pricing model, NIPA personal consumption expenditures, ambiguity.

10.

House Price Bubbles under the COVID-19 Pandemic

Number of pages: 42 Posted: 28 Mar 2022 Last Revised: 25 Oct 2023
Jacob Hald Hansen, Stig Møller, Thomas Pedersen, Erik Christian Montes Schütte and Erik Christian Montes Schütte
Aarhus University - Department of Economics and Business Economics, Aarhus University - CREATES, Aarhus University - Department of Economics and Business Economics and Aarhus UniversityAarhus University - CREATES
Downloads 210 (298,875)
Citation 1

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Population density, metropolitan statistical area, right-tailed unit root tests, explosive house prices, rational bubbles.

11.

Risk aversion and asset market participation: Evidence from micro-level register data

Number of pages: 45 Posted: 16 Apr 2024 Last Revised: 24 Sep 2024
Stig Vinther Møller, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Tobias Skipper Soussi
Aarhus University - CREATES, Aarhus UniversityAarhus University - CREATES and Aarhus University - School of Business and Social Sciences
Downloads 93 (575,102)

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risk aversion, equity premium puzzle, asset market participation, consumption CAPM, heterogeneous consumption, microdata

12.

Search and Predictability of Prices in the Housing Market

CEPR Discussion Paper No. DP15875
Number of pages: 63 Posted: 15 Mar 2021
Stig Møller, Thomas Pedersen, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Allan Timmermann
Aarhus University - CREATES, Aarhus University - Department of Economics and Business Economics, Aarhus UniversityAarhus University - CREATES and University of California, San Diego (UCSD) - Rady School of Management
Downloads 4 (1,261,388)
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