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Content
January 2013, Volume 32, Issue 1
- 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