Details about Henri Nyberg

Access statistics for papers by Henri Nyberg.

Last updated 2023-02-12. Update your information in the RePEc Author Service.

Short-id: pny15

Working Papers

2021

1. A Thousand Words Tell More Than Just Numbers: Financial Crises and Historical Headlines
   Discussion Papers, Aboa Centre for Economics

2015

2. International Sign Predictability of Stock Returns: The Role of the United States
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   See also Journal Article International sign predictability of stock returns: The role of the United States, Economic Modelling, Elsevier (2016) View citations (31) (2016)
3. Nonlinear dynamic interrelationships between real activity and stock returns
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2014

4. Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
   See also Journal Article Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2016) View citations (103) (2016)
5. Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
6. The risk of financial crises: Is it in real or financial factors?
   Working Papers, ECINEQ, Society for the Study of Economic Inequality View citations (3)

2012

7. Forecasting with a noncausal VAR model
   Bank of Finland Research Discussion Papers, Bank of Finland
   See also Journal Article Forecasting with a noncausal VAR model, Computational Statistics & Data Analysis, Elsevier (2014) View citations (11) (2014)

2011

8. Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison
   MPRA Paper, University Library of Munich, Germany View citations (4)

2010

9. QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles
   MPRA Paper, University Library of Munich, Germany

Journal Articles

2018

1. Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
   Journal of Forecasting, 2018, 37, (1), 1-15 View citations (5)

2017

2. Noncausality and the commodity currency hypothesis
   Energy Economics, 2017, 65, (C), 424-433 View citations (26)

2016

3. Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
   Oxford Bulletin of Economics and Statistics, 2016, 78, (4), 595-603 View citations (103)
   See also Working Paper Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models, CREATES Research Papers (2014) View citations (14) (2014)
4. International sign predictability of stock returns: The role of the United States
   Economic Modelling, 2016, 58, (C), 323-338 View citations (31)
   See also Working Paper International Sign Predictability of Stock Returns: The Role of the United States, CREATES Research Papers (2015) View citations (2) (2015)
5. The risk of financial crises: Is there a role for income inequality?
   Journal of International Money and Finance, 2016, 68, (C), 161-180 View citations (55)

2014

6. A BIVARIATE AUTOREGRESSIVE PROBIT MODEL: BUSINESS CYCLE LINKAGES AND TRANSMISSION OF RECESSION PROBABILITIES
   Macroeconomic Dynamics, 2014, 18, (4), 838-862 View citations (17)
7. Forecasting with a noncausal VAR model
   Computational Statistics & Data Analysis, 2014, 76, (C), 536-555 View citations (11)
   See also Working Paper Forecasting with a noncausal VAR model, Bank of Finland Research Discussion Papers (2012) (2012)

2013

8. Predicting bear and bull stock markets with dynamic binary time series models
   Journal of Banking & Finance, 2013, 37, (9), 3351-3363 View citations (46)

2012

9. Does noncausality help in forecasting economic time series?
   Economics Bulletin, 2012, 32, (4), 2849-2859 View citations (19)
10. Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle
    Journal of Financial and Quantitative Analysis, 2012, 47, (1), 137-158 View citations (44)

2011

11. Forecasting the direction of the US stock market with dynamic binary probit models
    International Journal of Forecasting, 2011, 27, (2), 561-578 View citations (62)

2010

12. Dynamic probit models and financial variables in recession forecasting
    Journal of Forecasting, 2010, 29, (1-2), 215-230 View citations (94)
13. Testing an autoregressive structure in binary time series models
    Economics Bulletin, 2010, 30, (2), 1460-1473