Philippe Goulet Coulombe

Université du Québec à Montréal - Département des Sciences Économiques

PB 8888 Station DownTown

Succursale Centre Ville

Montreal, Quebec H3C3P8

Canada

  • Université du Québec à Montréal - Département des Sciences Économiques

SCHOLARLY PAPERS

9

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Top 40,132

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15

CROSSREF CITATIONS

6

Scholarly Papers (9)

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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 1,527 (21,462)
Citation 11

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

2.

A Neural Phillips Curve and a Deep Output Gap

Number of pages: 57 Posted: 23 Mar 2022
Philippe Goulet Coulombe
Université du Québec à Montréal - Département des Sciences Économiques
Downloads 795 (54,491)

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

3.

Maximally Machine-Learnable Portfolios

Number of pages: 50 Posted: 28 Apr 2023 Last Revised: 27 Nov 2023
Philippe Goulet Coulombe and Maximilian Göbel
Université du Québec à Montréal - Département des Sciences Économiques and Bocconi University
Downloads 632 (73,943)

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

4.

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

5.

The Anatomy of Machine Learning-Based Portfolio Performance

Number of pages: 56 Posted: 29 Nov 2023
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 417 (124,949)

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

6.

From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks

Number of pages: 56 Posted: 29 Nov 2023
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 200 (260,637)

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

7.

Can Machine Learning Catch the COVID-19 Recession?

Downloads 171 (299,438)
Citation 7

Can Machine Learning Catch the COVID-19 Recession?

Number of pages: 41 Posted: 03 Mar 2021
Philippe Goulet Coulombe, Massimiliano Marcellino and Dalibor Stevanovic
Université du Québec à Montréal - Département des Sciences Économiques, Bocconi University and Universite du Quebec a Montreal
Downloads 171 (299,395)
Citation 11

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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
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8.

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, Bocconi University, Université du Québec à Montréal - Département des Sciences Économiques, Federal Reserve Bank of San Francisco and University of Pennsylvania - Department of Economics
Downloads 49 (663,434)
Citation 1

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Climate modeling, nowcasting, model averaging, ensemble averaging

9.

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, Bocconi University, Université du Québec à Montréal - Département des Sciences Économiques and University of Pennsylvania
Downloads 8 (996,716)
Citation 1
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