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Research

Working Papers:

1. “The Predictability of US Data Revisions: Comparing Surveys and Forecasting Models” with M. Clements.
2.  “ Improving real-time estimates of output gaps and inflation trends with multiple-vintage models" with M. Clements.
3. "An Endogenous Threshold VAR of the Monetary Transmission Mechanism" with M. Marcellino.
4. "Changes in Predictive Ability with Mixed Frequency Data"
5. "The Forward Premium of Euro Interest Rates" with S. Costa.

Publications:

1. “Real-time Forecasting of Inflation and Output Growth with Autoregressive Models in the Presence of Data Revisions” with M. Clements. (2012) Journal of Applied Econometrics. Forthcoming.
2. “Forecasting with Vector Autoregressive Models of Data Vintages: US output Growth and Inflation” with M. Clements. (2011). International Journal of Forecasting. Forthcoming.
3.“First Announcements and Real Economic Activity” with M. Clements. (2010) European Economic Review.
54:803-817.      
4. “Forecasting US output growth using Leading Indicators: An appraisal using MIDAS models” with M. Clements.
(2009) Journal of Applied Econometrics. 24: 1187-1206.
5.      “Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth” (with M. Clements) (2008) Journal of Business and Economic Statistics.  26: 546-554
6.      “Quantile of Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility” (with M. Clements and J. H. Kim) (2008) Journal of Empirical Finance. 15: 729-750.      
7.       “The transmission Mechanism in a changing world" (with M. Artis and M. Marcellino) (2007) Journal of Applied Econometrics. 22: 39-61.
8.      “Structural Break Threshold VARs for predicting the probability of US recessions using the spread” (2006) Journal of Applied Econometrics. 21: 463-487 
9.      "A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure”, (with M. P. Clements) (2004) International Journal of Forecasting. 20: 219-236.
10.       "Testing the expectation theory of the term structure of interest rates in threshold models” (with M. Clements) (2003) Macroeconomic Dynamics. 7: 567-85.
11.      “Can non-linear time series models generate US business cycle asymmetric shape?“ (2002) Economics Letters. 77: 187-194.
12.       “Conditional mean functions of non-linear models of US output” (with M. P.  Clements) (2002) Empirical Economics. 27, p. 569-586 (lead article).

Book Chapter:

1.      “Combining predictions versus information in modelling: Forecasting US recession probabilities and output growth” (with M. P. Clements) (2006) In: Milas, C., Rothman, P. and van Dijk. Nonlinear Time Series Analysis of Business Cycles. Elsevier. p. 55-74

Brazilian Journals:

1.     “Uma avaliação do leque das previsões de inflação do Banco Central do Brasil” (2005) Pesquisa e Planejamento Econômico. 35: 32-48. (with English summary: An Evaluation of the Inflation Fan Charts of the Banco Central do Brasil).
2.    “Multivariate Threshold Models: TVARs and TVECMs” (2003) Brazilian Review of Econometrics. vol. 23, May, 143-171.
3.       “Volatilidade e Causalidade: Evidências para o mercado à vista e futuro de índice de ações no Brasil” (with M. S. Portugal e E. P. Ribeiro) (2000) Revista Brasileira de Economia, vol. 54 n. 1, p. 38-56 (with English Summary: Volatility and causality between future and spot markets of Brazilian stock indexes)