Details about Daniel Borup

Access statistics for papers by Daniel Borup.

Last updated 2024-09-09. Update your information in the RePEc Author Service.

Short-id: pbo994

Working Papers

2024

1. The Anatomy of Out-of-Sample Forecasting Accuracy
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
   Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2022) View citations (4)

2021

2. Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2020

3. Predicting bond return predictability
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Predicting Bond Return Predictability, Management Science, INFORMS (2024) (2024)
4. Targeting predictors in random forest regression
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
   Also in Papers, arXiv.org (2020) View citations (12)
   See also Journal Article Targeting predictors in random forest regression, International Journal of Forecasting, Elsevier (2023) View citations (6) (2023)

2019

5. Assessing predictive accuracy in panel data models with long-range dependence
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
6. In search of a job: Forecasting employment growth using Google Trends
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article In Search of a Job: Forecasting Employment Growth Using Google Trends, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (14) (2022)

2017

7. Statistical tests for equal predictive ability across multiple forecasting methods
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

Journal Articles

2024

1. Predicting Bond Return Predictability
   Management Science, 2024, 70, (2), 931-951
   See also Working Paper Predicting bond return predictability, CREATES Research Papers (2020) (2020)

2023

2. Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data
   International Journal of Forecasting, 2023, 39, (3), 1122-1144 View citations (3)
3. Quantifying investor narratives and their role during COVID‐19
   Journal of Applied Econometrics, 2023, 38, (4), 512-532 View citations (1)
4. Targeting predictors in random forest regression
   International Journal of Forecasting, 2023, 39, (2), 841-868 View citations (6)
   See also Working Paper Targeting predictors in random forest regression, CREATES Research Papers (2020) View citations (13) (2020)

2022

5. Asset pricing with data revisions
   Journal of Financial Markets, 2022, 59, (PB) View citations (2)
6. In Search of a Job: Forecasting Employment Growth Using Google Trends
   Journal of Business & Economic Statistics, 2022, 40, (1), 186-200 View citations (14)
   See also Working Paper In search of a job: Forecasting employment growth using Google Trends, CREATES Research Papers (2019) (2019)

2021

7. Stock market volatility and public information flow: A non-linear perspective
   Economics Letters, 2021, 204, (C)

2019

8. Asset pricing model uncertainty
   Journal of Empirical Finance, 2019, 54, (C), 166-189 View citations (3)
9. Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
   Quantitative Finance, 2019, 19, (11), 1839-1855 View citations (20)