Journal of Forecasting

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

2009, Volume 28, Issue 7

• 559-574 Modelling time series with season-dependent autocorrelation structure
  by Yorghos Tripodis & Jeremy Penzer [Downloadable!]
• 575-594 Adaptive forecasting of the EURIBOR swap term structure
  by Oliver Blaskowitz & Helmut Herwartz [Downloadable!]
• 595-611 Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise

  The opinions expressed in this paper are those of the authors and do not necessarily reflect the views of the institutions they are affiliated with.

  
  by G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze [Downloadable!]
• 612-630 Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity
  by Theologos Pantelidis & Nikitas Pittis [Downloadable!]
• 631-650 Forecasting in large cointegrated processes
  by Hiroaki Chigira & Taku Yamamoto [Downloadable!]

• 465-486 Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures
  by David T. L. Siu & John Okunev [Downloadable!]
• 487-511 Residual income, non-earnings information, and information content
  by Ruey S. Tsay & Yi-Mien Lin & Hsiao-Wen Wang [Downloadable!]
• 512-534 Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies
  by Wolfgang Härdle & Yuh-Jye Lee & Dorothea Schäfer & Yi-Ren Yeh [Downloadable!]
• 535-548 Mortality forecasting using neural networks and an application to cause-specific data for insurance purposes
  by Paras Shah & Allon Guez [Downloadable!]
• 549-558 Risk factor beta conditional value-at-risk
  by Andrei Semenov [Downloadable!]

• 371-386 Forecasting using high-frequency data: a comparison of asymmetric financial duration models
  by Qi Zhang & Charlie X Cai & Kevin Keasey [Downloadable!]
• 387-404 A New-Keynesian DSGE model for forecasting the South African economy
  by Guangling 'Dave' Liu & Rangan Gupta & Eric Schaling [Downloadable!]
• 405-425 Forecasting growth and inflation in an enlarged euro area
  by Thomas Flavin & Ekaterini Panopoulou & Theologos Pantelidis [Downloadable!]
• 426-444 How efficient is the European football betting market? Evidence from arbitrage and trading strategies
  by Nikolaos Vlastakis & George Dotsis & Raphael N. Markellos [Downloadable!]
• 445-464 On a robust test for SETAR-type nonlinearity in time series analysis
  by King Chi Hung & Siu Hung Cheung & Wai-Sum Chan & Li-Xin Zhang [Downloadable!]

• 277-292 Stock market volatility and the forecasting performance of stock index futures
  by Janchung Wang [Downloadable!]
• 293-315 Discrete Euler processes and their applications
  by Chu-Ping C. Vijverberg & Henry L. Gray [Downloadable!]
• 316-342 Modelling and forecasting time series sampled at different frequencies
  by José Casals & Miguel Jerez & Sonia Sotoca [Downloadable!]
• 343-357 Related-variables selection in temporal disaggregation
  by Kosei Fukuda [Downloadable!]
• 358-370 P|E changes: some new results
  by Thomas Zorn & Donna Dudney & Benjamas Jirasakuldech [Downloadable!]

• 183-193 Real-time or current vintage: does the type of data matter for forecasting and model selection?
  by Hui Feng [Downloadable!]
• 194-217 Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
  by Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto [Downloadable!]
• 218-234 A new Bayesian formulation for Holt's exponential smoothing
  by Robert R. Andrawis & Amir F. Atiya [Downloadable!]
• 235-246 Simultaneous prediction intervals for ARMA processes with stable innovations
  by John P. Nolan & Nalini Ravishanker [Downloadable!]
• 247-265 On a dynamic mixture GARCH model
  by Xixin Cheng & Philip L. H. Yu & W. K. Li [Downloadable!]
• 266-276 A robust Cusum test for SETAR-type nonlinearity in time series
  by Joseph D. Petruccelli & Alina Onofrei & Jayson D. Wilbur [Downloadable!]

• 89-101 ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process
  by K. S. Man & G. C. Tiao [Downloadable!]
• 103-119 A high-low model of daily stock price ranges
  by Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan [Downloadable!]
• 120-130 Strategic bias and professional affiliations of macroeconomic forecasters
  by Masahiro Ashiya [Downloadable!]
• 131-144 Forecasting US inflation by Bayesian model averaging
  by Jonathan H. Wright [Downloadable!]
• 145-165 Forecasting the FOMC's interest rate setting behavior: a further analysis
  by Hyeongwoo Kim & John Jackson & Richard Saba [Downloadable!]
• 167-182 Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment
  by Mu-Chun Wang [Downloadable!]

• 1-18 Are all crowds equally wise? a comparison of political election forecasts by experts and the public
  by Lennart Sjöberg [Downloadable!]
• 19-37 Expectations, use and judgmental adjustment of external financial and economic forecasts: an empirical investigation
  by Sinan Gönül & Dilek Önkal & Paul Goodwin [Downloadable!]
• 38-54 Optimal sampling frequency for volatility forecast models for the Indian stock markets
  by Malay Bhattacharyya & Dileep Kumar M & Ramesh Kumar [Downloadable!]
• 55-72 Sports forecasting: a comparison of the forecast accuracy of prediction markets, betting odds and tipsters
  by Martin Spann & Bernd Skiera [Downloadable!]
• 73-88 Parsimonious modeling and forecasting of corporate yield curve
  by Wei-Choun Yu & Donald M. Salyards [Downloadable!]

• 649-669 Modeling regime transition in stock index futures markets and forecasting implications
  by Angelos Kanas [Downloadable!]
• 670-689 Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
  by Taufiq Choudhry & Hao Wu [Downloadable!]
• 690-720 Asymptotic prediction of mean squared error for long-memory processes with estimated parameters
  by Naoya Katayama [Downloadable!]
• 721-742 The predictive value of temporally disaggregated volatility: evidence from index futures markets
  by Nicholas Taylor [Downloadable!]

• 551-565 Forecasting volatility with outliers in GARCH models
  by Amélie Charles [Downloadable!]
• 566-586 Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
  by Konrad Banachewicz & André Lucas [Downloadable!]
• 587-606 Power transformation models and volatility forecasting
  by Perry Sadorsky & Michael D. McKenzie [Downloadable!]
• 607-620 Is it a short-memory, long-memory, or permanently Granger-causation influence?
  by Wen-Den Chen [Downloadable!]
• 621-636 Tourism in the Canary Islands: forecasting using several seasonal time series models
  by Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia [Downloadable!]
• 637-648 Traditional versus novel forecasting techniques: how much do we gain?
  by Viviana Fernandez [Downloadable!]

• 465-481 Forecasting euro area variables with German pre-EMU data
  by Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino [Downloadable!]
• 483-492 An assessment of the EU growth forecasts under asymmetric preferences
  by George A. Christodoulakis & Emmanuel C. Mamatzakis [Downloadable!]
• 493-506 Bankruptcy prediction using a discrete-time duration model incorporating temporal and macroeconomic dependencies
  by Chae Woo Nam & Tong Suk Kim & Nam Jung Park & Hoe Kyung Lee [Downloadable!]
• 507-517 Short-term prediction of motorway travel time using ANPR and loop data
  by Yanying Li [Downloadable!]
• 519-535 The geometric combination of Bayesian forecasting models
  by A. E. Faria & E. Mubwandarikwa [Downloadable!]
• 537-549 Scalar BEKK and indirect DCC
  by Massimiliano Caporin & Michael McAleer [Downloadable!]

• 371-390 Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data
  by Marie Diron [Downloadable!]
• 391-406 Seasonal prediction of European cereal prices: good forecasts using bad models?
  by Adusei Jumah & Robert M. Kunst [Downloadable!]
• 407-417 Direction-of-change forecasting using a volatility-based recurrent neural network
  by S. D. Bekiros & D. A. Georgoutsos [Downloadable!]
• 419-432 Combining forecasts using optimal combination weight and generalized autoregression
  by Jeong-Ryeol Kurz-Kim [Downloadable!]
• 433-449 Improving moving average trading rules with boosting and statistical learning methods
  by Julián Andrada-Félix & Fernando Fernández-Rodríguez [Downloadable!]
• 451-463 Prediction in the two-way random-effect model with heteroskedasticity
  by Eugene Kouassi & Kern O. Kymn [Downloadable!]

• 279-291 Forecasting commodity prices: GARCH, jumps, and mean reversion
  by Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon [Downloadable!]
• 293-303 Testing for Granger (non-)causality in a time-varying coefficient VAR model
  by Dimitris K. Christopoulos & Miguel A. León-Ledesma [Downloadable!]
• 305-340 A linear benchmark for forecasting GDP growth and inflation?
  by Massimiliano Marcellino [Downloadable!]
• 341-356 Forecasting for the LCD monitor market
  by Shin-Lian Lo & Fu-Kwun Wang & James T. Lin [Downloadable!]
• 357-370 A diffusion model for products with indirect network externalities
  by Sung Yong Chun & Minhi Hahn [Downloadable!]

• 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
  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!]

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Did you know? IDEAS was launched in September 1997.

This page was last updated on 2009-11-1.