Forecasting economic variables with nonlinear models

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A Bias and Variance Analysis for Multistep-Ahead Time Series Forecasting (2016, unknown): “Kock and Teräsvirta [8] and Teräsvirta [27], who reviewed the literature for nonlinear forecasting models, studied both direct and recursive strategies for such nonlinear models.”
Exchange Rate Predictability (2013, unknown): “Theil, H. (1966), Applied Economic Forecasting, North Holland.”
Copula Methods for Forecasting Multivariate Time Series (2013, background): “While univariate copula-based time series models are indeed interesting, from a forecasting perspective they are essentially a particular type of nonlinear time series model, a topic covered in chapters by White (2006) and Teräsvirta (2006) in the rst edition of this Handbook.”
25 years of time series forecasting (2006, background): “A good starting point for further research in this area is Teräsvirta (2006); see also Armstrong (2001, items 12.5–12.7).”
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, methodology): “Tsay (1998) mentions testing for serial correlation and conditional heteroskedasticity, without providing any details.”
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006, unknown): “Note that when using R-S models for forecasting not only parameter estimates but also the smoothed inferences giving the probability of being in either of the regimes are needed (Teräsvirta, 2005).”