Journal of Forecasting

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Editor:
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:jof:jforec

2008, Volume 27, Issue 3

• 193-215 Statistical estimation of optimal portfolios for non-Gaussian dependent returns of assets
  by Hiroshi Shiraishi & Masanobu Taniguchi [Downloadable!]
• 217-235 Single-index and portfolio models for forecasting value-at-risk thresholds
  by Michael McAleer & Bernardo da Veiga [Downloadable!]
• 237-265 How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach
  by Sandra Eickmeier & Christina Ziegler [Downloadable!]
• 267-278 Forecasting volatility with noisy jumps: an application to the Dow Jones Industrial Average stocks
  by Basel M. A. Awartani [Downloadable!]

• 95-108 Linking series generated at different frequencies

  This work is part of a PhD dissertation presented at the University of California, San Diego (1999).

  
  by Namwon Hyung & Clive W.J. Granger [Downloadable!]
• 109-129 On forecasting counts
  by Brajendra C. Sutradhar [Downloadable!]
• 131-151 Linear and threshold forecasts of output and inflation using stock and housing prices
  by Greg Tkacz & Carolyn Wilkins [Downloadable!]
• 153-173 Forecasting with panel data

  This paper was presented at the 8th Bundesbank Spring Conference on 'New Developments in Economic Forecasting' in Eltville, Germany, 5-6 May, 2006. I would like to thank the editor Massimiliano Marcellino and three anonymous referees for their helpful comments and suggestions.

  
  by Badi H. Baltagi [Downloadable!]
• 175-191 Forecast covariances in the linear multiregression dynamic model
  by Catriona M. Queen & Ben J. Wright & Casper J. Albers [Downloadable!]

• 1-19 Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
  by Michael Mcaleer & Bernardo da Veiga [Downloadable!]
• 21-39 Forecasting market impact costs and identifying expensive trades
  by Jacob A. Bikker & Laura Spierdijk & Roy P. M. M. Hoevenaars & Pieter Jelle Van der Sluis [Downloadable!]
• 41-51 Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate
  by Pär Österholm [Downloadable!]
• 53-74 Forecasting changes in UK interest rates
  by Tae-Hwan Kim & Paul Mizen & Thanaset Chevapatrakul [Downloadable!]
• 75-93 Forecasting US employment growth using forecast combining methods
  by David E. Rapach & Jack K. Strauss [Downloadable!]

• 551-569 Covariance estimation for multivariate conditionally Gaussian dynamic linear models
  by K. Triantafyllopoulos [Downloadable!]
• 571-582 Impact of corrections for dynamic selection bias on forecasts of retention behavior
  by Yang Li & Walter J. Mayer [Downloadable!]
• 583-599 International equity flows and the predictability of US stock returns
  by Daniel Hartmann & Christian Pierdzioch [Downloadable!]
• 601-619 Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models
  by Ilias Lekkos & Costas Milas & Theodore Panagiotidis [Downloadable!]

• 457-473 The extended switching regression model: allowing for multiple latent state variables
  by Arie Preminger & Uri Ben-zion & David Wettstein [Downloadable!]
• 475-496 Regression-based modeling of market option prices: with application to S&P500 options
  by Gurupdesh S. Pandher [Downloadable!]
• 497-526 Evaluation of correlation forecasting models for risk management
  by Vasiliki D. Skintzi & Spyros Xanthopoulos-Sisinis [Downloadable!]
• 527-549 Forecasting the price of crude oil via convenience yield predictions
  by Thomas A. Knetsch [Downloadable!]

• 385-403 Predictive power and unbiasedness of implied forward charter rates
  by Amir H. Alizadeh & Roar Os Ådland & Steen Koekebakker [Downloadable!]
• 405-427 Estimating and forecasting the long-memory parameter in the presence of periodicity
  by C. Bisognin & S. R. C. Lopes [Downloadable!]
• 429-444 Forecasting real-time data allowing for data revisions
  by Kosei Fukuda [Downloadable!]
• 445-455 Forecasting domestic liquidity during a crisis: what works best?
  by Winston R. Moore [Downloadable!]

• 303-316 Econometric modelling for short-term inflation forecasting in the euro area
  by Antoni Espasa & Rebeca Albacete [Downloadable!]
• 317-342 A semiparametric method for predicting bankruptcy
  by Ruey-Ching Hwang & K. F. Cheng & Jack C. Lee [Downloadable!]
• 343-363 Forecasting volatility by means of threshold models
  by M. Pilar Muñoz & M. Dolores Marquez & Lesly M. Acosta [Downloadable!]
• 365-383 Can panel data really improve the predictability of the monetary exchange rate model?
  by Joakim Westerlund & Syed A. Basher [Downloadable!]

• 227-238 Optimal forecast intervals under asymmetric loss
  by Matei Demetrescu [Downloadable!]
• 239-250 Order series method for forecasting non-Gaussian time series
  by Ming-De Chuang & Gwo-Hsing Yu [Downloadable!]
• 251-270 Validating multiple-period density-forecasting models
  by Kevin Dowd [Downloadable!]
• 271-302 Forecasting German GDP using alternative factor models based on large datasets
  by Christian Schumacher [Downloadable!]

• 155-170 On estimating contemporaneous quarterly regional GDP
  by Bernardí Cabrer-Borrás & Jose Manuel Pavía-Miralles [Downloadable!]
• 171-188 Time-simultaneous prediction band for a time series
  by Dag Kolsrud [Downloadable!]
• 189-202 Single-season heteroscedasticity in time series
  by Jeremy Penzer & Yorghos Tripodis [Downloadable!]
• 203-225 Comparing density forecast models

  Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003; see Bao et al. (2004).

  
  by Tae-Hwy Lee & Yong Bao & Burak Saltoğlu [Downloadable!]

• 77-94 The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries
  by Giuseppe Parigi & Roberto Golinelli [Downloadable!]
• 95-111 Optimal prediction with nonstationary ARFIMA model
  by Mohamed Boutahar [Downloadable!]
• 113-127 Using a heterogeneous multinomial probit model with a neural net extension to model brand choice
  by Harald Hruschka [Downloadable!]
• 129-153 Traditional versus unobserved components methods to forecast quarterly national account aggregates
  by Gustavo A. Marrero [Downloadable!]

• 1-22 Forecasting inflation using economic indicators: the case of France
  by O. De Bandt & E. Michaux & C. Bruneau & A. Flageollet [Downloadable!]
• 23-32 Measuring downside risk and severity for global output
  by Yudong Yao & Yan Wang [Downloadable!]
• 33-51 Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models

  This is a significantly revised version of our previous paper, 'Forecasting US Business Fixed Investment Spending'. The results reported in this paper were generated using GAUSS 6.0. The GAUSS programs are available at http:||pages.slu.edu|faculty|rapachde|Research.htm.

  
  by Mark E. Wohar & David E. Rapach [Downloadable!]
• 53-76 Ex post and ex ante prediction of unobserved multivariate time series: a structural-model based approach
  by Fabio H. Nieto [Downloadable!]

• 537-559 A semi-parametric time series approach in modeling hourly electricity loads
  by Rong Chen & John L. Harris & Jun M. Liu & Lon-Mu Liu [Downloadable!]
• 561-578 Garch forecasting performance under different distribution assumptions
  by Anders Wilhelmsson [Downloadable!]
• 579-600 Average conditional correlation and tree structures for multivariate GARCH models
  by Giovanni Barone-Adesi & Francesco Audrino [Downloadable!]

• 459-479 Understanding and predicting sovereign debt rescheduling: a comparison of the areas under receiver operating characteristic curves
  by Pedro N. Rodriguez & Arnulfo Rodriguez [Downloadable!]
• 481-494 Bias in the estimation of non-linear transformations of the integrated variance of returns
  by Cherif Guermat & Richard D. F. Harris [Downloadable!]
• 495-511 A markup model for forecasting inflation for the euro area
  by Anindya Banerjee & Bill Russell [Downloadable!]
• 513-527 A hybrid forecasting approach for piece-wise stationary time series
  by Ronald Bewley & Minxian Yang [Downloadable!]
• 529-536 A stochastic proportional hazard model for the force of mortality
  by Marilena Sibillo & Emilia Di Lorenzo & Gerarda Tessitore [Downloadable!]

• 381-400 Forecasting volatility
  by Athanasia Gavala & Nikolay Gospodinov & Deming Jiang [Downloadable!]
• 401-413 Are forecasters reluctant to revise their predictions? Some German evidence
  by Ulrich K. Müller & Gebhard Kirchgässner [Downloadable!]
• 415-437 Performance evaluation of the New Connecticut Leading Employment Index using lead profiles and BVAR models
  by Pami Dua & Anirvan Banerji & Stephen M. Miller [Downloadable!]
• 439-458 Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
  by Antonio Rubia & Trino-Manuel Ñíguez [Downloadable!]

• 303-324 The evolution of sales forecasting management: a 20-year longitudinal study of forecasting practices
  by Donna F. Davis & John T. Mentzer & Teresa M. Mccarthy & Susan L. Golicic [Downloadable!]
• 325-349 A non-Gaussian generalization of the Airline model for robust seasonal adjustment
  by Siem Jan Koopman & John A. D. Aston [Downloadable!]
• 351-367 Long-memory dynamic Tobit models
  by N. H. Chan & A. E. Brockwell [Downloadable!]
• 369-380 Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory
  by Benjamin J. C. Kim & David Karemera [Downloadable!]

• 227-245 Non-linear, non-parametric, non-fundamental exchange rate forecasting
  by Jing Yang & Nikola Gradojevic [Downloadable!]
• 247-273 Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter
  by Thomas M. Trimbur [Downloadable!]
• 275-290 Random walk hypothesis in exchange rate reconsidered
  by Hsin-Min Lu & Chia-Shang J. Chu [Downloadable!]
• 291-302 Long-memory forecasting of US monetary indices
  by Christopher F. Baum & John Barkoulas [Downloadable!]

• 153-171 Gamma stochastic volatility models
  by N. Balakrishna & Bovas Abraham & Ranjini Sivakumar [Downloadable!]
• 173-192 Comparison of two non-parametric models for daily traffic forecasting in Hong Kong
  by Y. F. Tang & William H. K. Lam & Mei-Lam Tam [Downloadable!]
• 193-200 Estimating the long memory granger causality effect with a spectrum estimator
  by Wen-Den Chen [Downloadable!]
• 201-207 Are 16-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts
  by Masahiro Ashiya [Downloadable!]
• 209-221 The importance of interest rates for forecasting the exchange rate
  by Håvard Hungnes & Hilde C. Bjørnland [Downloadable!]
• 223-226 Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
  by Walter Krämer [Downloadable!]

• 77-100 A Bayesian nonlinear support vector machine error correction model
  by Carine Brasseur & Marcelo Espinoza & Johan A. K. Suykens & Tony Van Gestel & Bart Baesens & Bart De Moor [Downloadable!]
• 101-128 Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
  by Tae-Hwy Lee & Yong Bao & Burak Saltoglu [Downloadable!]
• 129-152 Autoregressive gamma processes
  by Joann Jasiak & Christian Gourieroux [Downloadable!]

• 1-23 Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model
  by Fabio Busetti [Downloadable!]
• 25-36 Testing the rationality of forecast revisions made by the IMF and the OECD
  by Masahiro Ashiya [Downloadable!]
• 37-47 A cautionary note on outlier robust estimation of threshold models
  by Paolo Giordani [Downloadable!]
• 49-75 Building neural network models for time series: a statistical approach
  by Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech [Downloadable!]

• 539-556 Forecasting and signal extraction with misspecified models
  by Tommaso Proietti [Downloadable!]
• 557-574 Forecasting in the presence of level shifts
  by Aaron Smith [Downloadable!]
• 575-592 Nowcasting quarterly GDP growth in a monthly coincident indicator model
  by Luis C. Nunes [Downloadable!]
• 593-605 Currency forecasting based on an error components-seemingly unrelated nonlinear regression model
  by Winston T. Lin [Downloadable!]

• 465-490 Statistical surveillance of cyclical processes with application to turns in business cycles
  by David Bock & Eva Andersson & Marianne Frisén [Downloadable!]
• 491-503 Forecasting euro area inflation using dynamic factor measures of underlying inflation
  by George Kapetanios & Gonzalo Camba-Mendez [Downloadable!]
• 505-521 Development of a multifunctional sales response model with the diagnostic aid of artificial neural networks
  by Derek W. Bunn & Stefania Pantelidaki [Downloadable!]
• 523-537 The multi-chain Markov switching model
  by Edoardo Otranto [Downloadable!]

• 389-402 Stochastic models underlying Croston's method for intermittent demand forecasting
  by Rob J. Hyndman & Lydia Shenstone [Downloadable!]
• 403-420 Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations
  by Mark T. Leung & An-Sing Chen [Downloadable!]
• 421-432 A leading indicator approach to predicting short-term shifts in demand for business travel by air to and from the UK
  by Nenad Njegovan [Downloadable!]
• 433-451 Evaluating forecasts: a look at aggregate bias and accuracy measures
  by Dean W. Wichern & Benito E. Flores [Downloadable!]
• 453-464 A note on in-sample and out-of-sample tests for Granger causality
  by Shiu-Sheng Chen [Downloadable!]

• 311-324 Political manoeuvrings as sources of measurement errors in forecasts
  by Susanna-maria Paleologou [Downloadable!]
• 325-333 Regional econometric income forecast accuracy
  by Roberto Tinajero & Thomas M. Fullerton & Lawrence Waldman [Downloadable!]
• 335-351 A forecasting procedure for nonlinear autoregressive time series models
  by Yuzhi Cai [Downloadable!]
• 353-368 Long-term sales forecasting using holt-winters and neural network methods
  by Markos Papageorgiou & Apostolos Kotsialos & Antonios Poulimenos [Downloadable!]
• 369-377 Forecasting the dollar|euro exchange rate: are international parities useful?
  by Emma Garcia & Simón Sosvilla-rivero [Downloadable!]
• 379-387 Identifying the time-effect factors of multiple time series
  by Yu-pin Hu [Downloadable!]

• 155-172 Conditional volatility forecasting in a dynamic hedging model
  by Michael S. Haigh [Downloadable!]
• 173-187 Testing and forecasting the degree of integration in the US inflation rate
  by Luis A. Gil-Alana [Downloadable!]
• 189-201 Beating the random walk in Central and Eastern Europe
  by Jesús Crespo Cuaresma & Jaroslava Hlouskova [Downloadable!]
• 203-219 A common model approach to macroeconomics: using panel data to reduce sampling error
  by William T. Gavin & Athena T. Theodorou [Downloadable!]
• 221-231 Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing
  by Robert Sollis [Downloadable!]

• 77-103 Forecasting recessions using the yield curve
  by Marcelle Chauvet & Simon Potter [Downloadable!]
• 105-117 Forecasting nonlinear time series with feed-forward neural networks: a case study of Canadian lynx data
  by Yoshio Kajitani & A. Ian Mcleod & Keith W. Hipel [Downloadable!]
• 119-138 Forecast performance of nonlinear error-correction models with multiple regimes
  by Zacharias Psaradakis & Fabio Spagnolo [Downloadable!]
• 139-154 Forecasting outcomes in spread betting markets: can bettors use 'quarbs' to beat the book?
  by David Paton & Leighton Vaughan Williams [Downloadable!]

• 1-16 Forecasting time series with long memory and level shifts
  by Philip Hans Franses & Namwon Hyung [Downloadable!]
• 17-37 Prediction intervals for exponential smoothing using two new classes of state space models
  by Anne B. Koehler & Rob J. Hyndman & Ralph D. Snyder & J. Keith Ord [Downloadable!]
• 39-59 Forecasting stock prices using a hierarchical Bayesian approach
  by Lynn Kuo & Jun Ying & Gim S. Seow [Downloadable!]
• 61-75 A Bayesian threshold nonlinearity test for financial time series
  by Cathy W. S. Chen & Mike K. P. So & Ming-Tien Chen [Downloadable!]

• 541-557 Comparing the accuracy of density forecasts from competing models
  by Giorgio Valente & Lucio Sarno [Downloadable!]
• 559-585 Probability distributions, trading strategies and leverage: an application of Gaussian mixture models
  by Paulo Lisboa & Christian L. Dunis & Andreas Lindemann [Downloadable!]
• 586-601 A fractal forecasting model for financial time series
  by Gordon R. Richards [Downloadable!]
• 603-620 Value at risk from econometric models and implied from currency options
  by James Chong [Downloadable!]
• 621-624 Resuscitating the cobweb cycle
  by Klaus Reiner Schenk-Hoppé [Downloadable!]

• 463-477 Monetary policy, composite leading economic indicators and predicting the 2001 recession
  by Mehdi Mostaghimi [Downloadable!]
• 479-496 Finding good predictors for inflation: a Bayesian model averaging approach
  by Sune Karlsson & Tor Jacobson [Downloadable!]
• 497-511 Unemployment variation over the business cycles: a comparison of forecasting models
  by Laura Brown & Saeed Moshiri [Downloadable!]
• 513-539 Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)
  by John L. Turner [Downloadable!]

• 385-404 Smooth transition exponential smoothing
  by James W. Taylor [Downloadable!]
• 405-430 Combination forecasts of output growth in a seven-country data set
  by Mark W. Watson & James H. Stock [Downloadable!]
• 431-447 Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation
  by Gulasekaran Rajaguru & Tilak Abeysinghe [Downloadable!]
• 449-460 Daily volatility forecasts: reassessing the performance of GARCH models
  by Alan E. H. Speight & David G. McMillan [Downloadable!]

• 315-335 Long-run forecasting in multicointegrated systems
  by Tom Engsted & Niels Haldrup & Boriss Siliverstovs [Downloadable!]
• 337-355 A comparison of temperature density forecasts from GARCH and atmospheric models
  by Roberto Buizza & James W. Taylor [Downloadable!]
• 357-371 Forecasting the Treasury's balance at the Fed
  by Daniel L. Thornton [Downloadable!]
• 373-384 Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting
  by Ioannis A. Venetis & David A. Peel & Ivan Paya [Downloadable!]

• 237-250 Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting
  by Angelos Kanas & Yue Ma [Downloadable!]
• 251-274 Forecast accuracy after pretesting with an application to the stock market
  by Jan R. Magnus & Dmitry Danilov [Downloadable!]
• 275-296 Updating ARMA predictions for temporal aggregates
  by Yue Fang & Sergio G. Koreisha [Downloadable!]
• 297-314 Human judgments in New York state sales and use tax forecasting
  by Kuo-Yuan Liang & Yu-Ying Kuo [Downloadable!]

• 155-171 Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH
  by Jan G. De Gooijer & Kurt Brännäs [Downloadable!]
• 173-196 Vector smooth transition regression models for US GDP and the composite index of leading indicators
  by Maximo Camacho [Downloadable!]
• 197-214 A classifying procedure for signalling turning points
  by Lars-Erik Öller & Lasse Koskinen [Downloadable!]
• 215-231 Robustness of alternative non-linearity tests for SETAR models
  by Man-Wai Ng & Wai-Sum Chan [Downloadable!]
• 233-235 Review of 'Principles of Forecasting', J. Scott Armstrong (ed.), Kluwer Academic Publishers, 2001, ISBN 0-7923-7930-6
  by Lilian M. de Menezes [Downloadable!]

• 77-88 Do seasonal unit roots matter for forecasting monthly industrial production?
  by Philip Hans Franses & Yoshinori Kawasaki [Downloadable!]
• 89-98 Which survey indicators are useful for monitoring consumption? Evidence from European countries
  by W. Jos Jansen & Niek J. Nahuis [Downloadable!]
• 99-114 An outlier robust hierarchical Bayes model for forecasting: the case of Hong Kong
  by William W. Chow [Downloadable!]
• 115-139 Can out-of-sample forecast comparisons help prevent overfitting?
  by Todd E. Clark [Downloadable!]
• 141-154 Bias-corrected bootstrap prediction regions for vector autoregression
  by Jae H. Kim [Downloadable!]

• 1-17 Forecasts of the seasonal fractional integrated series
  by Vivien Guiraud & Michel Terraza & Olivier Darné [Downloadable!]
• 19-49 Medium-term forecasts of potential GDP and inflation using age structure information
  by Thomas Lindh [Downloadable!]
• 51-66 Forecasting football results and the efficiency of fixed-odds betting
  by Ioannis Asimakopoulos & John Goddard [Downloadable!]
• 67-76 Forecasting commercial paper rates
  by William Carlson & Celia Varick & Conway Lackman [Downloadable!]

• 79-82 Technology foresight-past and future
  by Kerstin Cuhls & Ahti Salo [Downloadable!]
• 83-91 Forecasting options for the future-to gain foresight to select and shape them
  by Günter Clar [Downloadable!]
• 93-111 From forecasting to foresight processes-new participative foresight activities in Germany
  by Kerstin Cuhls [Downloadable!]
• 113-128 Identifying critical technologies in the United States: a review of the federal effort
  by Steven W. Popper & Caroline S. Wagner [Downloadable!]
• 129-160 Identifying emerging generic technologies at the national level: the UK experience
  by Michael Keenan [Downloadable!]
• 161-177 Twelve lessons from 'Key Technologies 2005': the French technology foresight exercise
  by Thomas Durand [Downloadable!]
• 179-201 Evolving foresight in a small transition economy
  by Attila Havas [Downloadable!]
• 203-217 Foresight in a research institution: a critical review of two exercises
  by Philippe Petithuguenin & Marie de Lattre-Gasquet & Jérôme Sainte-Beuve [Downloadable!]
• 219-233 Developing futures for agriculture in the Netherlands: a systematic exploration of the strategic value of foresight
  by Jan de Wilt & Barend van der Meulen & Hans Rutten [Downloadable!]
• 235-255 Multicriteria methods for technology foresight
  by Tommi Gustafsson & Ahti Salo & Ramakrishnan Ramanathan [Downloadable!]
• 257-276 Innovative methodologies for exploring the future of automated vehicle guidance
  by R. E. C. M. van der Heijden & V. A. W. J. Marchau [Downloadable!]

• 553-568 Evidence of long memory in short-term interest rates
  by Margaret R. Maier & Nigel Meade [Downloadable!]
• 569-586 Rough sets bankruptcy prediction models versus auditor signalling rates
  by Thomas E. McKee [Downloadable!]
• 587-602 Tentative business confidence indicators for the Italian economy
  by Giuseppe Parigi & Paolo Carnazza [Downloadable!]
• 603-617 Forecasting with leading indicators revisited
  by Chung-Shu Wu & Ruey S. Tsay [Downloadable!]

• 359-375 On SETAR non-linearity and forecasting
  by Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith [Downloadable!]
• 377-389 On seasonal error correction when the processes include different numbers of unit roots
  by Mårten Löf & Johan Lyhagen [Downloadable!]
• 391-410 Forecasting new product trial in a controlled test market environment
  by Bruce G. S. Hardie & Peter S. Fader & Robert Zeithammer [Downloadable!]
• 411-426 BBVA-ARIES: a forecasting and simulation model for EMU
  by Sonsoles Castillo & Fernando C. Ballabriga [Downloadable!]

• 277-297 In search of leading indicators of economic activity in Germany
  by Michael Funke & Harm Bandholz [Downloadable!]
• 299-315 Non-linear forecasts of stock returns
  by Angelos Kanas [Downloadable!]
• 317-335 A neural network versus Black-Scholes: a comparison of pricing and hedging performances
  by Henrik Amilon [Downloadable!]
• 337-358 Selection of Value-at-Risk models
  by Susan Thomas & Mandira Sarma & Ajay Shah [Downloadable!]

• 1-22 Volatility forecasting for risk management
  by Gita Persand & Chris Brooks [Downloadable!]
• 23-33 Market risk management of banks: implications from the accuracy of Value-at-Risk forecasts
  by Wai Yan Cheng & Michael Chak Sham Wong & Clement Yuk Pang Wong [Downloadable!]
• 35-47 Modelling trends in central England temperatures
  by Terence C. Mills & David I. Harvey [Downloadable!]
• 49-66 Subset threshold autoregression
  by Cathy W. S. Chen & Mike K. P. So [Downloadable!]
• 67-77 Strategic bias, herding behaviour and economic forecasts
  by Jordi Pons-Novell [Downloadable!]

• 543-58 Forecasting Trend Output in the Euro Area
  by Schumacher, Christian
• 559-77 Neural Network Pruning Applied to Real Exchange Rate Analysis
  by Kaashoek, Johan F & van Dijk, Herman K
• 579-94 Multivariate Bayesian Regression Applied to the Problem of Network Security
  by Triantafyllopoulos, Kostas & Pikoulas, John
• 595-99 Selection of the Relevant Information Set for Predictive Relationships Analysis between Time Series
  by Triacca, Umberto

• 473-500 A Threshold Stochastic Volatility Model
  by So, Mike K P & Li, W K & Lam, K
• 501-11 Forecasting Daily Foreign Exchange Rates Using Genetically Optimized Neural Networks
  by Nag, Ashok K & Mitra, Amit
• 513-42 The Performance of Non-linear Exchange Rate Models: A Forecasting Comparison
  by Boero, Gianna & Marrocu, Emanuela

• 395-416 Portfolio Managers' and Novices' Forecasts of Risk and Return: Are There Predictable Forecast Errors?
  by Muradoglu, Gulnur
• 417-33 Guesstimation
  by Charemza, Wojciech W
• 435-49 Accurate Forecasting of the Undecided Population in a Public Opinion Poll
  by Monterola, Christopher, et al
• 451-72 A Ground-Level Ozone Forecasting Model for Santiago, Chile
  by Jorquera, Hector & Palma, Wilfredo & Tapia, Jose

• 301-15 Conditional Predictability of Daily Exchange Rates
  by Tambakis, Demosthenes N & Van Royen, Anne-Sophie
• 317-54 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination
  by Dunis, Christian L & Huang, Xuehuan
• 355-80 Can Cointegration-Based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates
  by McCrae, Michael, et al
• 381-93 An Outlier Robust GARCH Model and Forecasting Volatility of Exchange Rate Returns
  by Park, Beum-Jo

• 225-44 Forecasting European GNP Data through Common Factor Models and Other Procedures
  by Garcia-Ferrer, Antonio & Poncela, Pilar
• 245-64 The Data Measurement Process for UK GNP: Stochastic Trends, Long Memory, and Unit Roots
  by Patterson, Kerry
• 265-80 Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order
  by Kim, Jae H
• 281-300 Forecasting Multivariate Time Series with Linear Restrictions Using Constrained Structural State-Space Models
  by Pandher, Gurupdesh S

• 151-66 Forecasting Exchange Rates Using Cointegration Models and Inra-day Data
  by Trapletti, Adrian & Geyer, Alois & Leisch, Friedrich
• 167-80 Bayesian Forecasts for Cointegrated Models
  by Liu, Shu-Ing
• 181-92 Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency
  by Okunev, John & Wilson, Patrick & Zurbruegg, Ralf
• 193-206 The Homogeneity Restriction and Forecasting Performance of VAR-Type Demand Systems: An Empirical Examination of US Meat Consumption
  by Wang, Zijun & Bessler, David A
• 207-23 Unit Roots versus Other Types of Time Heterogeneity, Parameter Time Dependence and Superexogeneity
  by Caporale, Guglielmo Maria & Pittis, Nikitas

• 81-105 Testing for (Common) Stochastic Trends in the Presence of Structural Breaks
  by Busetti, Fabio
• 107-24 A Non-linear Dynamic Model for Multiplicative Seasonal-Trend Decomposition
  by Ozaki, Tohru & Thomson, Peter

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This page was last updated on 2008-5-14.