Philippe Goulet Coulombe

Université du Québec à Montréal - Département des Sciences Économiques

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  • Université du Québec à Montréal - Département des Sciences Économiques

SCHOLARLY PAPERS

12

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TOTAL CITATIONS
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Top 30,602

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43

Scholarly Papers (12)

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1.

The Macroeconomy as a Random Forest

Number of pages: 75 Posted: 15 Jul 2020 Last Revised: 24 May 2021
Philippe Goulet Coulombe
Université du Québec à Montréal - Département des Sciences Économiques
Downloads 1,945 (18,056)
Citation 21

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Trees, Machine Learning, Forecasting, Time-Varying Parameters, Econometrics, Phillips curve

2.

The Anatomy of Machine Learning-Based Portfolio Performance

Number of pages: 61 Posted: 29 Nov 2023 Last Revised: 19 Feb 2025
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 1,659 (23,214)

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

3.

Maximally Machine-Learnable Portfolios

Number of pages: 51 Posted: 28 Apr 2023 Last Revised: 07 Apr 2024
Philippe Goulet Coulombe and Maximilian Göbel
Université du Québec à Montréal - Département des Sciences Économiques and Brain
Downloads 1,369 (30,789)
Citation 2

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Portfolio optimization, Machine Learning, Statistical Arbitrage, Nonlinear time series

4.

A Neural Phillips Curve and a Deep Output Gap

Number of pages: 61 Posted: 23 Mar 2022 Last Revised: 29 Oct 2024
Philippe Goulet Coulombe
Université du Québec à Montréal - Département des Sciences Économiques
Downloads 1,181 (38,111)
Citation 2

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machine learning, inflation, neural networks, output gap, filtering

5.

The Anatomy of Out-of-Sample Forecasting Accuracy

Downloads 856 (59,906)
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 721 (74,237)

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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 135 (445,856)
Citation 1

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

6.

From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks

Number of pages: 57 Posted: 29 Nov 2023 Last Revised: 23 Apr 2024
Philippe Goulet Coulombe, Mikael Frenette and Karin Klieber
Université du Québec à Montréal - Département des Sciences Économiques, University of Quebec at Montreal (UQAM) - Department of Economics and Oesterreichische Nationalbank (OeNB)
Downloads 515 (115,201)
Citation 1

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neural networks, uncertainty, density forecasting, macroeconomics, maximum likelihood

7.

Dual Interpretation of Machine Learning Forecasts

Number of pages: 58 Posted: 22 Nov 2024 Last Revised: 26 Nov 2024
Philippe Goulet Coulombe, Maximilian Göbel and Karin Klieber
Université du Québec à Montréal - Département des Sciences Économiques, Brain and Oesterreichische Nationalbank (OeNB)
Downloads 338 (188,943)

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Interpretability, Machine Learning, Econometrics, Duality, Time Series

8.

Maximally Forward-Looking Core Inflation

Number of pages: 49 Posted: 16 Mar 2024 Last Revised: 18 Mar 2024
Philippe Goulet Coulombe, Karin Klieber, Christophe Barrette and Maximilian Göbel
Université du Québec à Montréal - Département des Sciences Économiques, Oesterreichische Nationalbank (OeNB), University of Quebec at Montreal (UQAM) - Department of Economics and Brain
Downloads 224 (287,611)

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inflation, machine learning, forecasting, aggregation

9.

Can Machine Learning Catch the COVID-19 Recession?

Downloads 211 (301,776)
Citation 13

Can Machine Learning Catch the COVID-19 Recession?

Number of pages: 41 Posted: 03 Mar 2021
Philippe Goulet Coulombe, Massimiliano Giuseppe Marcellino and Dalibor Stevanovic
Université du Québec à Montréal - Département des Sciences Économiques, Bocconi University - Department of Economics and Universite du Quebec a Montreal
Downloads 209 (303,375)
Citation 13

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Machine Learning, Big Data, Forecasting, COVID-19

Can Machine Learning Catch the Covid-19 Recession?

CEPR Discussion Paper No. DP15867
Number of pages: 42 Posted: 15 Mar 2021
Philippe Goulet Coulombe, Massimiliano Giuseppe Marcellino and Dalibor Stevanovic
Université du Québec à Montréal - Département des Sciences Économiques, Bocconi University - Department of Economics and affiliation not provided to SSRN
Downloads 2 (1,350,329)
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10.

An Adaptive Moving Average for Macroeconomic Monitoring

Number of pages: 39 Posted: 19 Dec 2024
Philippe Goulet Coulombe and Karin Klieber
Université du Québec à Montréal - Département des Sciences Économiques and Oesterreichische Nationalbank (OeNB)
Downloads 203 (317,362)

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moving average, time series, smoothing, forecasting, nowcasting, inflation,

11.

Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach

PIER Working Paper No. 20-012
Number of pages: 22 Posted: 02 Apr 2020
Francis X. Diebold, Maximilian Göbel, Philippe Goulet Coulombe, Glenn D. Rudebusch and Boyuan Zhang
University of Pennsylvania - Department of Economics, Brain, Université du Québec à Montréal - Département des Sciences Économiques, Federal Reserve Bank of San Francisco and University of Pennsylvania - Department of Economics
Downloads 66 (709,303)
Citation 1

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Climate modeling, nowcasting, model averaging, ensemble averaging

12.

When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume

NBER Working Paper No. w30732
Number of pages: 38 Posted: 12 Dec 2022 Last Revised: 17 Jul 2023
Francis X. Diebold, Glenn Rudebusch, Maximilian Göbel, Philippe Goulet Coulombe and Boyuan Zhang
University of Pennsylvania - Department of Economics, Brookings Institution, Brain, Université du Québec à Montréal - Département des Sciences Économiques and University of Pennsylvania
Downloads 17 (1,142,565)
Citation 2

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