Printed from https://ideas.repec.org/s/wly/jforec4.html
Content
January 2016, Volume 35, Issue 1
- 1-12 Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data‐Snooping Bias
by Georgios Sermpinis & Thanos Verousis & Konstantinos Theofilatos - 13-33 How to Finance Pensions: Optimal Strategies for Pay‐as‐You‐Go Pension Systems
by Humberto Godínez‐Olivares & María del Carmen Boado‐Penas & Athanasios A. Pantelous - 34-42 Impact of Macroeconomic Announcements on US Equity Prices: 2009–2013
by Daniel Nadler & Anatoly B. Schmidt - 43-53 The Information Content of Equity Block Trades on the Warsaw Stock Exchange: Conventional and Bootstrap Approaches
by Bartosz Kurek - 54-69 Forecasting Latent Volatility through a Markov Chain Approximation Filter
by Chia Chun Lo & Konstantinos Skindilias & Andreas Karathanasopoulos - 70-85 Signal Diffusion Mapping: Optimal Forecasting with Time‐Varying Lags
by Paul Gaskell & Frank McGroarty & Thanassis Tiropanis - 86-92 Forecasting Government Bond Yields with Neural Networks Considering Cointegration
by Christoph Wegener & Christian Spreckelsen & Tobias Basse & Hans‐Jörg Mettenheim
December 2015, Volume 34, Issue 8
- 619-648 Dynamic Model Averaging and CPI Inflation Forecasts: A Comparison between the Euro Area and the United States
by Gabriele Di Filippo - 649-660 Do US Macroeconomic Forecasters Exaggerate their Differences?
by Michael P. Clements - 661-674 Forecasting Longevity Gains Using a Seemingly Unrelated Time Series Model
by César Neves & Cristiano Fernandes & Álvaro Veiga - 675-693 A Time‐Simultaneous Prediction Box for a Multivariate Time Series
by Dag Kolsrud - 694-707 Time Series of Zero‐Inflated Counts and their Coherent Forecasting
by Raju Maiti & Atanu Biswas & Samarjit Das
November 2015, Volume 34, Issue 7
- 523-532 Augmented Half‐Life Estimation Based on High‐Frequency Data
by Mao‐Lung Huang & Shu‐Yi Liao & Kuo‐Chin Lin - 533-542 Monetary Aggregates to Improve Early Output Gap Estimates in the Euro Area: An Empirical Assessment
by Jens Boysen‐Hogrefe - 543-559 A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates
by Tzuling Lin & Cary Chi‐liang Tsai - 560-573 Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques
by Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas - 574-587 ECB Projections as a Tool for Understanding Policy Decisions
by Paul Hubert - 588-603 Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach
by JÖrg Breitung & Christoph Roling - 604-618 Efficient Multistep Forecast Procedures for Multivariate Time Series
by Tarek Jouini
September 2015, Volume 34, Issue 6
- 427-440 Predictability of Equity Models
by Rodrigo Chicaroli & Pedro L. Valls Pereira - 441-454 A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis
by Wai‐Sum Chan & Siu Hung Cheung & Wai Kit Chow & Li‐Xin Zhang - 455-471 Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle
by Travis J. Berge - 472-477 Self‐Restraining Bass Models
by Xiaoying Liang & Lei Xie & Houmin Yan - 478-491 Forecasting Core Business Transformation Risk Using the Optimal Rough Set and the Neural Network
by Delu Wang & Xuefeng Song & Wenying Yin & Jingying Yuan
August 2015, Volume 34, Issue 5
- 337-353 The Predictive Power of Survey‐Based Exchange Rate Forecasts: Is there a Role for Dispersion?
by Nevin Cavusoglu & Andre R. Neveu - 354-363 Beating the VAR: Improving Swedish GDP Forecasts Using Error and Intercept Corrections
by Johan Lyhagen & Stefan Ekberg & Richard Eidestedt - 364-378 The Predictive Performance Evaluation of Biased Regression Predictors With Correlated Errors
by Issam Dawoud & Selahattin Kaçiranlar - 379-390 Cross‐Section Stock Return and Implied Covariance between Jump and Diffusive Volatility
by Samuel Y.M. Ze‐To - 391-404 Forecasting the Outcome of Closed‐Door Decisions: Evidence from 500 Years of Betting on Papal Conclaves
by Leighton Vaughan Williams & David Paton - 405-426 Measuring Disagreement in Qualitative Expectations
by Frieder Mokinski & Xuguang (Simon) Sheng & Jingyun Yang
July 2015, Volume 34, Issue 4
- 241-260 Forward Rates, Monetary Policy and the Economic Cycle
by Florian Ielpo - 261-274 A Method of Retail Mortgage Stress Testing: Based on Time‐Frame and Magnitude Analysis
by Chang Liu & Raja Nassar & Min Guo - 275-289 Bootstrap Replacement to Validate the Influence of the Economic Cycle on the Structure and the Accuracy Level of Business Failure Prediction Models
by Montserrat Manzaneque & Domingo GarcíA‐Pérez‐De‐Lema & Marcos Antón Renart - 290-302 Does Disagreement Amongst Forecasters Have Predictive Value?
by Rianne Legerstee & Philip Hans Franses - 303-314 Modeling Compositional Time Series with Vector Autoregressive Models
by Petra Kynčlová & Peter Filzmoser & Karel Hron - 315-336 When are Direct Multi‐step and Iterative Forecasts Identical?
by Tucker McElroy
April 2015, Volume 34, Issue 3
- 163-176 Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
by Matteo Luciani & David Veredas - 177-190 The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility
by Arjun Chatrath & Hong Miao & Sanjay Ramchander & Tianyang Wang - 191-208 Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance
by Daniele Massacci - 209-219 A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility
by Heejoon Han & Myung D. Park & Shen Zhang - 220-229 Forecasting Multivariate Time Series with the Theta Method
by Dimitrios D. Thomakos & Konstantinos Nikolopoulos - 230-239 Improving Forecast of Binary Rare Events Data: A GAM‐Based Approach
by Raffaella Calabrese & Silvia Angela Osmetti
March 2015, Volume 34, Issue 2
- 83-91 Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction
by Alessandra Amendola & Giuseppe Storti - 92-113 On the Difficulty of Measuring Forecasting Skill in Financial Markets
by Stephen E. Satchell & Oliver J. Williams - 114-132 Predictable Return Distributions
by Thomas Q. Pedersen - 133-144 Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors
by Paul Hofmarcher & Jesús Crespo Cuaresma & Bettina Grün & Kurt Hornik - 145-162 Semi‐Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve
by Johanna Posch & Fabio Rumler
January 2015, Volume 34, Issue 1
- 1-14 Dynamic Latent Class Model Averaging for Online Prediction
by Hongxia Yang & Jonathan R. M. Hosking & Yasuo Amemiya - 15-35 Empirical Bayesian Density Forecasting in Iowa and Shrinkage for the Monte Carlo Era
by Kurt F. Lewis & Charles H. Whiteman - 36-56 Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model
by Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto - 57-82 Realized Volatility Forecast of Stock Index Under Structural Breaks
by Ke Yang & Langnan Chen & Fengping Tian
December 2014, Volume 33, Issue 8
- 577-595 Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes
by Lyudmila Grigoryeva & Juan‐Pablo Ortega - 596-610 Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms
by Andreas Karatahansopoulos & Georgios Sermpinis & Jason Laws & Christian Dunis - 611-626 Application of Machine Learning Methods to Risk Assessment of Financial Statement Fraud: Evidence from China
by Xin‐Ping Song & Zhi‐Hua Hu & Jian‐Guo Du & Zhao‐Han Sheng - 627-639 Forecasting Stock Returns: Do Commodity Prices Help?
by Angela J. Black & Olga Klinkowska & David G. McMillan & Fiona J. McMillan - 640-650 Forecasting Death Rates Using Exogenous Determinants
by Declan French & Colin O'Hare
November 2014, Volume 33, Issue 7
- 501-514 Forecasting Online Auctions via Self‐Exciting Point Processes
by Ngai Hang Chan & Zehang Richard Li & Chun Yip Yau - 515-531 Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations
by Yiannis Dendramis & Giles E. Spungin & Elias Tzavalis - 532-541 Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility
by Thomas Lux & Leonardo Morales‐Arias & Cristina Sattarhoff - 542-557 How Predictable Are Equity Covariance Matrices? Evidence from High‐Frequency Data for Four Markets
by Mike Buckle & Jing Chen & Julian Williams - 558-576 A Quantile Regression Approach to Equity Premium Prediction
by Loukia Meligkotsidou & Ekaterini Panopoulou & Ioannis D. Vrontos & Spyridon D. Vrontos
September 2014, Volume 33, Issue 6
- 391-408 Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures
by Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Hamad Alsayed & Frank McGroarty - 409-418 Does Mood Explain the Monday Effect?
by Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Azizah Abu Bakar & Antonios Siganos & Evangelos Vagenas‐Nanos - 419-432 Real‐Time Pricing and Hedging of Options on Currency Futures with Artificial Neural Networks
by Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Christian Spreckelsen & Hans‐Jörg Mettenheim & Michael H. Breitner - 433-454 The Information Content of Equity Block Trades on the Warsaw Stock Exchange: An Estimation of Shares' Returns with the Usage of Simple Linear Regression and Multivariate Adaptive Regression Splines
by Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Bartosz Kurek - 455-470 Pascal's Wager and Information
by Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Klaus Schredelseker - 471-487 Inflation and Unemployment Forecasting with Genetic Support Vector Regression
by Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Georgios Sermpinis & Charalampos Stasinakis & Konstantinos Theofilatos & Andreas Karathanasopoulos - 488-500 Stock Market Simulation Using Support Vector Machines
by Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Rafael Rosillo & Javier Giner & David De la Fuente
August 2014, Volume 33, Issue 5
- 315-338 Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union
by Massimiliano Marcellino & Yuliya Rychalovska - 339-349 Monthly Employment Indicators of the Euro Area and Larger Member States: Real‐Time Analysis of Indirect Estimates
by Filippo Moauro - 350-363 Forecasting the Term Structure when Short‐Term Rates are Near Zero
by James M. Steeley - 364-375 The Forecasting Performance of a Finite Mixture Regime‐Switching Model for Daily Electricity Prices
by Dipeng Chen & Derek Bunn - 376-390 Multivariate Time Series Model with Hierarchical Structure for Over‐Dispersed Discrete Outcomes
by Nobuhiko Terui & Masataka Ban
July 2014, Volume 33, Issue 4
- 231-242 Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany
by Klaus Wohlrabe & Teresa Buchen - 243-258 Overreaction in Survey Exchange Rate Forecasts
by Francesca Pancotto & Filippo Maria Pericoli & Marco Pistagnesi - 259-269 Estimating and Forecasting APARCH‐Skew‐t Model by Wavelet Support Vector Machines
by Yushu Li - 270-283 Estimating and Predicting the General Random Effects Model
by Eugene Kouassi & Alain Constant Kamdem & Mbodja Mougoué & Jean Marcelin Bosson Brou - 284-299 Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA
by Douglas G. Santos & Flavio A. Ziegelmann - 300-314 The Effects of Disaggregation on Forecasting Nonstationary Time Series
by Pilar Poncela & Antonio García‐Ferrer
April 2014, Volume 33, Issue 3
- 163-185 How Informative are the Subjective Density Forecasts of Macroeconomists?
by Geoff Kenny & Thomas Kostka & Federico Masera - 186-197 The Euro‐Sting Revisited: The Usefulness of Financial Indicators to Obtain Euro Area GDP Forecasts
by Maximo Camacho & Agustin Garcia‐Serrador - 198-213 Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models
by Thomas B. Götz & Alain Hecq & Jean‐Pierre Urbain - 214-230 Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
by MÁrcio Poletti Laurini & Luiz Koodi Hotta
March 2014, Volume 33, Issue 2
- 95-107 Accounting for Word‐of‐Mouth Effects in Preference‐Based Market Forecasts
by Christian Pescher & Martin Spann - 108-123 Forecasting Forward Defaults with the Discrete‐Time Hazard Model
by Ruey‐Ching Hwang & Chih‐Kang Chu - 124-133 Nonparametric Quantile Regression‐Based Classifiers for Bankruptcy Forecasting
by Pedro Lorca & Manuel Landajo & Javier De Andrés - 134-146 A Neuro‐wavelet Model for the Short‐Term Forecasting of High‐Frequency Time Series of Stock Returns
by Luis Ortega & Khaldoun Khashanah - 147-161 Long‐Run and Cyclical Dynamics in the US Stock Market
by Guglielmo Maria Caporale & Luis Gil‐Alana
January 2014, Volume 33, Issue 1
- 1-14 US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010
by Michael P. Clements - 15-31 In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence
by Helmut Herwartz & Konstantin A. Kholodilin - 32-46 Building Scenarios of Multiple Time Series that Take into Account the Effects of an Expected Intervention
by Víctor M. Guerrero & Eliud Silva & Nicolás Gómez - 47-68 Introducing the Euro Area‐wide Leading Indicator (ALI): Real‐Time Signals of Turning Points in the Growth Cycle from 2007 to 2011
by Gabe J. Bondt & Elke Hahn - 69-79 Do Experts’ SKU Forecasts Improve after Feedback?
by Rianne Legerstee & Philip Hans Franses - 80-94 Hierarchical Shrinkage in Time‐Varying Parameter Models
by Miguel A.G. Belmonte & Gary Koop & Dimitris Korobilis
December 2013, Volume 32, Issue 8
- 673-684 Forecasting Simultaneously High‐Dimensional Time Series: A Robust Model‐Based Clustering Approach
by Yongning Wang & Ruey S. Tsay & Johannes Ledolter & Keshab M. Shrestha - 685-701 Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model
by Ioannis Vlachos & Dimitris Kugiumtzis - 702-723 Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?
by Wali Ullah & Yoshihiko Tsukuda & Yasumasa Matsuda - 724-742 Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
by Axel Groß‐KlußMann & Nikolaus Hautsch - 743-754 Forecasting Volatility with Many Predictors
by Tsung‐Han Ke & Yu‐Pin Hu - 755-768 Prediction in an Unbalanced Nested Error Components Panel Data Model
by Badi H. Baltagi & Alain Pirotte
November 2013, Volume 32, Issue 7
- 577-586 Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area
by Monica Billio & Laurent Ferrara & Dominique Guégan & Gian Luigi Mazzi - 587-599 A Dynamic Factor Approach to Mortality Modeling
by Declan French & Colin O'Hare - 600-612 The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach
by Hossein Asgharian & Ai Jun Hou & Farrukh Javed - 613-627 Weighted Empirical Likelihood Estimator for Vector Multiplicative Error Model
by Hao Ding & Kai‐pui Lam - 628-638 Forecasting Call Centre Arrivals
by David Millán‒Ruiz & J. Ignacio Hidalgo - 639-653 Forecasting the Effects of a Canada–US Currency Union on Output and Prices: A Counterfactual Analysis
by S. Mahdi Barakchian - 654-672 A Novel Credit Rating Migration Modeling Approach Using Macroeconomic Indicators
by Koen Berteloot & Wouter Verbeke & Gerd Castermans & Tony Van Gestel & David Martens & Bart Baesens
September 2013, Volume 32, Issue 6
- 481-499 Predicting Recessions with Factor Linear Dynamic Harmonic Regressions
by Marcos Bujosa & Antonio García‐Ferrer & Aránzazu Juan - 500-511 Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors
by Marie Bessec - 512-521 An Option‐Based Approach to Risk Arbitrage in Emerging Markets: Evidence from Taiwan Takeover Attempts
by Luke Lin & Li‐Huei Lan & Shuang‐shii Chuang - 522-533 Comparison of Realized Measure and Implied Volatility in Forecasting Volatility
by Heejoon Han & Myung D. Park - 534-550 Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
by Richard Gerlach & Zudi Lu & Hai Huang - 551-560 Quantile Double AR Time Series Models for Financial Returns
by Yuzhi Cai & Gabriel Montes‐Rojas & Jose Olmo - 561-576 The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting
by Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes
August 2013, Volume 32, Issue 5
- 385-394 Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
by Lutz Kilian & Bruce Hicks - 395-408 Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
by Hossein Hassani & Saeed Heravi & Anatoly Zhigljavsky - 409-422 Direction‐of‐Change Financial Time Series Forecasting using a Similarity‐Based Classification Model
by Andrew Skabar - 423-434 Comparing Small‐ and Large‐Scale Models of Multicategory Buying Behavior
by Harald Hruschka - 435-451 Long‐Term Forecasting of Global Carbon Dioxide Emissions: Reducing Uncertainties Using a Per Capita Approach
by Ross Mckitrick & Mark C. Strazicich & Junsoo Lee - 452-468 Early Warning with Calibrated and Sharper Probabilistic Forecasts
by Reason L. Machete - 469-480 Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range
by Manabu Asai
July 2013, Volume 32, Issue 4
- 289-298 Nowcasting with Google Trends in an Emerging Market
by Yan Carrière‐Swallow & Felipe Labbé - 299-306 Nowcasting Business Cycles Using Toll Data
by Nikolaos Askitas & Klaus F. Zimmermann - 307-332 Shrinkage‐Based Tests of Predictability
by Pablo Matias Pincheira Brown - 333-338 Prediction in the Random Effects Model with MA (q) Remainder Disturbances
by Badi H. Baltagi & Long Liu - 339-352 Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
by Massimiliano Caporin & Juliusz Preś - 353-368 On the Predictive Content of Autoregression Residuals: A Semiparametric, Copula‐Based Approach to Time Series Prediction
by Helmut Herwartz - 369-384 Hurricane Lifespan Modeling through a Semi‐Markov Parametric Approach
by Giovanni Masala
April 2013, Volume 32, Issue 3
- 193-214 Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model
by Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen - 215-225 Estimation and Prediction Tests of Cash Flow Forecast Accuracy
by Choong‐Yuel Yoo & Jinhan Pae - 226-246 Forecasting the European Credit Cycle Using Macroeconomic Variables
by Florian Ielpo - 247-255 Global Capital Flows, Time‐Varying Fundamentals and Transitional Exchange Rate Dynamics
by Suleyman H. Kal - 256-266 Constant versus Time‐Varying Beta Models: Further Forecast Evaluation
by Jonathan J. Reeves & Haifeng Wu - 267-288 International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord
by Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral
March 2013, Volume 32, Issue 2
- 97-110 Testing Interval Forecasts: A GMM‐Based Approach
by Elena‐Ivona Dumitrescu & Christophe Hurlin & Jaouad Madkour - 111-123 Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach
by Rafael B. Rezende & Mauro S. Ferreira - 124-136 Combining Economic Forecasts by Using a Maximum Entropy Econometric Approach
by Blanca Moreno & Ana Jesús López - 137-150 Generalised Estimators for Seasonal Forecasting by Combining Grouping with Shrinkage Approaches
by Kui Zhang & Huijing Chen & John Boylan & Philip Scarf - 151-166 Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach
by Andrey Vasnev & Margaret Skirtun & Laurent Pauwels - 167-179 A Meta‐learning Framework for Bankruptcy Prediction
by Chih‐Fong Tsai & Yu‐Feng Hsu - 180-192 Predicting Business Failure Using an RSF‐based Case‐Based Reasoning Ensemble Forecasting Method
by Hui Li & Jie Sun
January 2013, Volume 32, Issue 1
- 1-9 Does Information Help Intra‐Day Volatility Forecasts?
by David G. McMillan & Raquel Quiroga García - 10-18 Forecasting Private Consumption by Consumer Surveys
by Christian Dreger & Konstantin Arkadievich Kholodilin - 19-31 Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
by Anders Wilhelmsson - 32-40 Nonlinear Forecasting Using Factor‐Augmented Models
by Bruno Cara Giovannetti - 41-50 Optimal Hedge Ratio Estimation and Effectiveness Using ARCD
by Eleftheria Kostika & Raphael N. Markellos - 51-61 Real‐Time Forecasts of Inflation: The Role of Financial Variables
by Libero Monteforte & Gianluca Moretti - 62-74 Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation
by Jooyoung Jeon & James W. Taylor - 75-85 Space‐Time Model versus VAR Model: Forecasting Electricity demand in Japan
by Yoshihiro Ohtsuka & Kazuhiko Kakamu - 86-96 Estimation and Forecasting of Locally Stationary Processes
by Wilfredo Palma & Ricardo Olea & Guillermo Ferreira
December 2012, Volume 31, Issue 8
- 661-687 Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
by Cathy W.S. Chen & Richard Gerlach & Edward M. H. Lin & W. C. W. Lee - 688-705 Break Detectability and Mean Square Forecast Error Ratios for Selecting Estimation Windows
by Hildegart A. Ahumada - 706-720 Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk
by Chang‐Cheng Changchien & Chu‐Hsiung Lin & Hsien‐Chueh Peter Yang - 721-735 The Accuracy of Non‐traditional versus Traditional Methods of Forecasting Lumpy Demand
by Somnath Mukhopadhyay & Adriano O. Solis & Rafael S. Gutierrez - 736-756 Are Analysts' Loss Functions Asymmetric?
by Mark A. Clatworthy & David A. Peel & Peter F. Pope
November 2012, Volume 31, Issue 7
- 565-579 Can We Predict Exchange Rate Movements at Short Horizons?
by Chongcheul Cheong & Young‐Jae Kim & Seong‐Min Yoon - 580-595 Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates
by Efthymios G. Pavlidis & Ivan Paya & David A. Peel - 596-616 Twisting the Dollar? On the Consistency of Short‐Run and Long‐Run Exchange Rate Expectations
by Michael Frenkel & Jan‐Christoph Rülke & Georg Stadtmann - 617-638 Prediction from the One‐Way Error Components Model with AR(1) Disturbances
by Eugene Kouassi & Joel Sango & J.M. Bosson Brou & Francis N. Teubissi & Kern O. Kymn - 639-660 The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks
by John F. Garvey & Liam A. Gallagher
September 2012, Volume 31, Issue 6
- 469-489 Second‐Generation Prediction Markets for Information Aggregation: A Comparison of Payoff Mechanisms
by Christian Slamka & Wolfgang Jank & Bernd Skiera - 490-503 Forecasting Stock Market Volatility in Central and Eastern European Countries
by Barry Harrison & Winston Moore - 504-523 A Robust Data‐Mining Approach to Bankruptcy Prediction
by Mehdi Divsalar & Habib Roodsaz & Farshad Vahdatinia & Ghassem Norouzzadeh & Amir Hossein Behrooz - 524-539 Exploring Survey‐Based Inflation Forecasts
by Luis Gil‐Alana & Antonio Moreno & Fernando Pérez de Gracia - 540-564 Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?
by Ken Nyholm & Rositsa Vidova‐Koleva
August 2012, Volume 31, Issue 5
- 377-390 A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
by Farhat Iqbal & Kanchan Mukherjee - 391-400 Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach
by Christina Beneki & Bruno Eeckels & Costas Leon - 401-422 Do Long‐Run Theory Restrictions Help in Forecasting?
by S. Mahdi Barakchian - 423-442 Price–Dividend Ratios and Stock Price Predictability
by Jyh‐Lin Wu & Yu‐Hau Hu - 443-468 Multivariate GARCH Models with Correlation Clustering
by Mike K. P. So & Iris W. H. Yip
July 2012, Volume 31, Issue 4
- 281-313 Adaptive modelling and forecasting of offshore wind power fluctuations with Markov‐switching autoregressive models
by Pierre Pinson & Henrik Madsen - 314-329 Forecasting Hourly Peak Call Volume for a Rural Electric Cooperative Call Center
by Taeyoon Kim & Phil Kenkel & B. Wade Brorsen - 330-343 Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data?
by David G. Mcmillan & Alan E. H. Speight - 344-360 The Effect of Estimating Parameters on Long‐Term Forecasts for Cointegrated Systems
by Hiroaki Chigira & Taku Yamamoto - 361-376 Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis
by Martin Feldkircher
April 2012, Volume 31, Issue 3
- 189-228 Semiparametric forecast intervals
by Jason J. Wu - 229-244 A latent variable approach to forecasting the unemployment rate
by Chew Lian Chua & G. C. Lim & Sarantis Tsiaplias - 245-259 Spurious Forecasts?
by Berenice Martínez‐Rivera & Daniel Ventosa‐Santaulària & J. Eduardo Vera‐Valdés - 260-279 Using Firm‐Level Leverage as an Investment Strategy
by Yaz Gűlnur Muradoğlu & Sheeja Sivaprasad
March 2012, Volume 31, Issue 2
- 99-108 Analyzing Macroeconomic Forecastability
by Ray C. Fair - 109-123 Parameter Space Restrictions in State Space Models
by Duk Bin Jun & Dong Soo Kim & Sungho Park & Myoung Hwan Park - 124-156 Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set
by Carlo A. Favero & Linlin Niu & Luca Sala - 157-171 The Volatility and Density Prediction Performance of Alternative GARCH Models
by Teng‐Hao Huang & Yaw‐Huei Wang - 172-188 Forecasting Performance of Nonlinear Models for Intraday Stock Returns
by José M. Matías & Juan C. Reboredo
January 2012, Volume 31, Issue 1
- 1-14 Business Cycle Forecasts and their Implications for High Frequency Stock Market Returns
by Horst Entorf & Anne Gross & Christian Steiner - 15-46 The Role of Financial Variables in predicting economic activity
by Raphael Espinoza & Fabio Fornari & Marco J. Lombardi - 47-67 Predicting the Direction of the Fed's Target Rate
by Heikki Kauppi - 68-84 Henderson‐Trending of Macroeconomic Variables and Forecasting Accuracy
by Liam J. A. Lenten - 85-98 Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate
by Giacomo Sbrana
1987, Volume 6, Issue 1
- 1-19 Long‐term forecasting with innovation diffusion models: The impact of replacement purchases
by Wagner A. Kamakura & Siva K. Balasubramanian - 21-40 Structural change and the combination of forecasts
by Francis X. Diebold & Peter Pauly - 41-50 Forecasting demand in international markets: The case of correlated time series
by Chezy Ofir & Adi Raveh - 51-65 Expert judgments of political riskiness
by Jeryl L. Mumpower & Steven Livingston & Thomas J. Lee - 67-74 Software reviews
by Chris Beaumont