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Undated material is presented at the end, although it may be more recent than other items
December 2011, Volume 30, Issue 8
- 679-705 Estimating private information usage amongst analysts: evidence from UK earnings forecasts
by Svetlana Mira & Nicholas Taylor - 706-720 Nonparametric density forecast based on time‐ and state‐domain
by João Nicolau - 721-735 Bootstrap prediction bands for forecast paths from vector autoregressive models
by Anna Staszewska‐Bystrova - 736-752 Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
by Giovanni Caggiano & George Kapetanios & Vincent Labhard
November 2011, Volume 30, Issue 7
- 597-621 A nonparametric method for asymmetrically extending signal extraction filters
by Tucker McElroy - 622-643 How helpful are spatial effects in forecasting the growth of Chinese provinces?
by Eric Girardin & Konstantin A. Kholodilin - 644-665 Forecast accuracy and effort: The case of US inflation rates
by Nicholas Taylor - 666-678 A wavelet approach for factor‐augmented forecasting
by António Rua
September 2011, Volume 30, Issue 6
- 523-540 Dynamic density forecasts for multivariate asset returns
by Arnold Polanski & Evarist Stoja - 541-564 Prediction from the regression model with two‐way error components
by Eugene Kouassi & Joel Sango & J. M. Bosson Brou & Francis N. Teubissi & Kern O. Kymn - 565-578 Forecasting private consumption: survey‐based indicators vs. Google trends
by Simeon Vosen & Torsten Schmidt - 579-596 Combining forecasts based on multiple encompassing tests in a macroeconomic core system
by Mauro Costantini & Robert M. Kunst
August 2011, Volume 30, Issue 5
- 451-468 Forecasting time‐varying covariance with a robust Bayesian threshold model
by Chih‐Chiang Wu & Jack C. Lee - 469-489 Testing for the usefulness of forecasts
by Eric S. Lin & Ping‐Hung Chou & Ta‐Sheng Chou - 490-508 Nonlinear identification of judgmental forecasts effects at SKU level
by Juan R. Trapero & Robert Fildes & Andrey Davydenko - 509-522 Cointegration rank switching model: an application to forecasting interest rates
by Kosei Fukuda
July 2011, Volume 30, Issue 4
- 377-392 Functional methods for time series prediction: a nonparametric approach
by Germán Aneiros‐Pérez & Ricardo Cao & Juan M. Vilar‐Fernández - 393-408 New proposals for the quantification of qualitative survey data
by Tommaso Proietti & Cecilia Frale - 409-450 Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
by Yi‐Ting Chen
April 2011, Volume 30, Issue 3
- 303-324 Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
by Ricardo Mestre & Peter McAdam - 325-335 Testing for common autocorrelation in data‐rich environments
by Gianluca Cubadda & Alain Hecq - 336-354 Flow of conjunctural information and forecast of euro area economic activity
by Katja Drechsel & Laurent Maurin - 355-376 Pricing of basket options using univariate normal inverse gaussian approximations
by Fred Espen Benth & Pål Nicolai Henriksen
March 2011, Volume 30, Issue 2
- 225-248 On the association between IPO underpricing and reversal and Taiwan's regulatory reforms for mandatory forecasts
by Chen‐Lung Chin & Hsiou‐Wei William Lin & Yir‐Jung Emily Syu - 249-267 The role of age‐structured education data for economic growth forecasts
by Jesús Crespo Cuaresma & Tapas Mishra - 268-287 Do professional forecasters believe in the Phillips curve? evidence from the G7 countries
by Ralf Fendel & Eliza M. Lis & Jan‐Christoph Rülke - 288-302 Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
by Sonali Das & Rangan Gupta & Alain Kabundi
January 2011, Volume 30, Issue 1
- 1-5 Introduction to special issue commemorating the 50th anniversary of the Kalman Filter and 40th anniversary of Box and Jenkins
by Terence C. Mills & Ruey S. Tsay & Peter C. Young - 6-30 Inference for regression models with errors from a non‐invertible MA(1) process
by Mei‐Ching Chen & Richard A. Davis & Li Song - 31-50 Identification of TAR models using recursive estimation
by Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez - 51-71 Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
by Bei Chen & Yulia R. Gel & N. Balakrishna & Bovas Abraham - 72-103 Random aggregation with applications in high‐frequency finance
by Ruey S. Tsay & Jin‐Huei Yeh - 104-146 Gauss, Kalman and advances in recursive parameter estimation
by Peter C. Young - 147-167 Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra
by Siem Jan Koopman & Soon Yip Wong - 168-209 Particle filters and Bayesian inference in financial econometrics
by Hedibert F. Lopes & Ruey S. Tsay - 210-224 Distributional Kalman filters for Bayesian forecasting and closed form recurrences
by Jim Q. Smith & G. Freeman
December 2010, Volume 29, Issue 8
- 673-688 Forecasting the 10‐year US treasury rate
by Hamid Baghestani - 689-714 Assessing the value of Hermite densities for predictive distributions
by Ignacio Mauleón - 715-727 The use of encompassing tests for forecast combinations
by Turgut Kışınbay - 728-750 Variable selection in STAR models with neighbourhood effects using genetic algorithms
by Isolina Alberto & Asunción Beamonte & Pilar Gargallo & Pedro M. Mateo & Manuel Salvador
2010, Volume 29, Issue 6
- 517-522 Spreads versus professional forecasters as predictors of future output change
by Kevin Aretz & David A. Peel - 523-535 Incorporating higher moments into value-at-risk forecasting
by Arnold Polanski & Evarist Stoja - 536-555 Business failure prediction using decision trees
by Adrian Gepp & Kuldeep Kumar & Sukanto Bhattacharya - 556-572 Bananas and petrol: further evidence on the forecasting accuracy of the ABS 'headline' and 'underlying' rates of inflation
by Liam J. A. Lenten - 573-594 Forecasting inflation in Malaysia
by Jarita Duasa & Nursilah Ahmad & Mansor H. Ibrahim & Mohd Pisal Zainal
2010, Volume 29, Issue 5
- 435-441 Testing homogeneity of Japanese CPI forecasters
by Masahiro Ashiya - 442-466 The detection of earnings manipulation: the three-phase cutting plane algorithm using mathematical programming
by Burcu Dikmen & Güray Küçükkocaoğlu - 467-475 The variance ratio and trend stationary model as extensions of a constrained autoregressive model
by Shlomo Zilca - 476-485 Predicting the signs of forecast errors
by Nazaria Solferino & Robert Waldmann - 486-501 Forecasting business failure in China using case-based reasoning with hybrid case respresentation
by Hui Li & Jie Sun - 502-515 New evidence on the relation between return volatility and trading volume
by Thomas C. Chiang & Zhuo Qiao & Wing-Keung Wong
2010, Volume 29, Issue 4
- 353-366 Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates
by Zijun Wang - 367-387 Forecasting key macroeconomic variables from a large number of predictors: a state space approach
by Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen - 388-405 A monetary real-time conditional forecast of euro area inflation
by Sylvia Kaufmann & Peter Kugler - 406-433 Forecasting volatility with support vector machine-based GARCH model
by Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong
2010, Volume 29, Issue 3
- 271-284 Foreign exchange market prediction with multiple classifiers
by Bo Qian & Khaled Rasheed - 285-300 Robust forecasting with exponential and Holt-Winters smoothing
by Sarah Gelper & Roland Fried & Christophe Croux - 301-312 A simultaneous test of unit root and level change
by Duk Bin Jun & Dae Keun Park - 313-330 Nowcasting and predicting data revisions using panel survey data
by Troy D. Matheson & James Mitchell & Brian Silverstone - 331-340 Do experts' adjustments on model-based SKU-level forecasts improve forecast quality?
by Philip Hans Franses & Rianne Legerstee - 341-352 Forecasting using targeted diffusion indexes
by Francisco Dias & Maximiano Pinheiro & António Rua
2010, Volume 29, Issue 1-2
- 1-5 Introduction to advances in business cycle analysis and forecasting
by Massimiliano Marcellino & Gian Luigi Mazzi - 6-28 Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
by Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz - 29-53 A new production function estimate of the euro area output gap This paper is based on a report for Eurostat: 'Real time estimation of potential output, output gap, NAIRU and Phillips curve for Euro-zone', part of the Advanced statistical and econometric techniques for the analysis of PEEIs EUROSTAT Project , December 2007
by Matthieu Lemoine & Gian Luigi Mazzi & Paola Monperrus-Veroni & Frédéric Reynes - 54-70 The transmission of shocks between Europe, Japan and the United States
by Shushanik Papanyan - 71-93 The UK intranational business cycle
by Michael Artis & Toshihiro Okubo - 94-108 The local quadratic trend model
by Andrew Harvey - 109-131 Survey data as coincident or leading indicators
by Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti - 132-144 Are disaggregate data useful for factor analysis in forecasting French GDP?
by Karim Barhoumi & Olivier Darné & Laurent Ferrara - 145-167 Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area
by Monica Billio & Roberto Casarin - 168-185 Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models
by Rangan Gupta & Alain Kabundi - 186-199 GDP nowcasting with ragged-edge data: a semi-parametric modeling
by Laurent Ferrara & Dominique Guégan & Patrick Rakotomarolahy - 200-214 Nowcasting from disaggregates in the face of location shifts
by Jennifer L. Castle & David F. Hendry - 215-230 Dynamic probit models and financial variables in recession forecasting
by Henri Nyberg - 231-250 Combining inflation density forecasts
by Christian Kascha & Francesco Ravazzolo - 251-269 Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
by Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek
2009, Volume 28, Issue 8
- 651-666 Retail default prediction by using sequential minimal optimization technique
by Yu-Chiang Hu & Jake Ansell - 667-680 Are household subjective forecasts of personal finances accurate and useful? A directional analysis of the British Household Panel Survey
by Joshy Easaw & Saeed Heravi - 681-697 Volatility forecasting with double Markov switching GARCH models
by Cathy W. S. Chen & Mike K. P. So & Edward M. H. Lin - 698-711 Can consumer sentiment and its components forecast Australian GDP and consumption?
by Chew Lian Chua & Sarantis Tsiaplias - 712-735 A threshold factor multivariate stochastic volatility model
by Mike K. P. So & C. Y. Choi - 736-744 Evaluating volatility dynamics and the forecasting ability of Markov switching models
by George S. Parikakis & Anna Merika
2009, Volume 28, Issue 7
- 559-574 Modelling time series with season-dependent autocorrelation structure
by Yorghos Tripodis & Jeremy Penzer - 575-594 Adaptive forecasting of the EURIBOR swap term structure
by Oliver Blaskowitz & Helmut Herwartz - 595-611 Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise
by G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze - 612-630 Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity
by Theologos Pantelidis & Nikitas Pittis - 631-650 Forecasting in large cointegrated processes
by Hiroaki Chigira & Taku Yamamoto
2009, Volume 28, Issue 6
- 465-486 Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures
by David T. L. Siu & John Okunev - 487-511 Residual income, non-earnings information, and information content
by Ruey S. Tsay & Yi-Mien Lin & Hsiao-Wen Wang - 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 - 535-548 Mortality forecasting using neural networks and an application to cause-specific data for insurance purposes
by Paras Shah & Allon Guez - 549-558 Risk factor beta conditional value-at-risk
by Andrei Semenov
2009, Volume 28, Issue 5
- 371-386 Forecasting using high-frequency data: a comparison of asymmetric financial duration models
by Qi Zhang & Charlie X Cai & Kevin Keasey - 387-404 A New-Keynesian DSGE model for forecasting the South African economy
by Guangling 'Dave' Liu & Rangan Gupta & Eric Schaling - 405-425 Forecasting growth and inflation in an enlarged euro area
by Thomas Flavin & Ekaterini Panopoulou & Theologos Pantelidis - 426-444 How efficient is the European football betting market? Evidence from arbitrage and trading strategies
by Nikolaos Vlastakis & George Dotsis & Raphael N. Markellos - 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
2009, Volume 28, Issue 4
- 277-292 Stock market volatility and the forecasting performance of stock index futures
by Janchung Wang - 293-315 Discrete Euler processes and their applications
by Chu-Ping C. Vijverberg & Henry L. Gray - 316-342 Modelling and forecasting time series sampled at different frequencies
by José Casals & Miguel Jerez & Sonia Sotoca - 343-357 Related-variables selection in temporal disaggregation
by Kosei Fukuda - 358-370 P|E changes: some new results
by Thomas Zorn & Donna Dudney & Benjamas Jirasakuldech
2009, Volume 28, Issue 3
- 183-193 Real-time or current vintage: does the type of data matter for forecasting and model selection?
by Hui Feng - 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 - 218-234 A new Bayesian formulation for Holt's exponential smoothing
by Robert R. Andrawis & Amir F. Atiya - 235-246 Simultaneous prediction intervals for ARMA processes with stable innovations
by John P. Nolan & Nalini Ravishanker - 247-265 On a dynamic mixture GARCH model
by Xixin Cheng & Philip L. H. Yu & W. K. Li - 266-276 A robust Cusum test for SETAR-type nonlinearity in time series
by Joseph D. Petruccelli & Alina Onofrei & Jayson D. Wilbur
2009, Volume 28, Issue 2
- 89-101 ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process
by K. S. Man & G. C. Tiao - 103-119 A high-low model of daily stock price ranges
by Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan - 120-130 Strategic bias and professional affiliations of macroeconomic forecasters
by Masahiro Ashiya - 131-144 Forecasting US inflation by Bayesian model averaging
by Jonathan H. Wright - 145-165 Forecasting the FOMC's interest rate setting behavior: a further analysis
by Hyeongwoo Kim & John Jackson & Richard Saba - 167-182 Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment
by Mu-Chun Wang
2009, Volume 28, Issue 1
- 1-18 Are all crowds equally wise? a comparison of political election forecasts by experts and the public
by Lennart Sjöberg - 19-37 Expectations, use and judgmental adjustment of external financial and economic forecasts: an empirical investigation
by Sinan Gönül & Dilek Önkal & Paul Goodwin - 38-54 Optimal sampling frequency for volatility forecast models for the Indian stock markets
by Malay Bhattacharyya & Dileep Kumar M & Ramesh Kumar - 55-72 Sports forecasting: a comparison of the forecast accuracy of prediction markets, betting odds and tipsters
by Martin Spann & Bernd Skiera - 73-88 Parsimonious modeling and forecasting of corporate yield curve
by Wei-Choun Yu & Donald M. Salyards
2008, Volume 27, Issue 8
- 649-669 Modeling regime transition in stock index futures markets and forecasting implications
by Angelos Kanas - 670-689 Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
by Taufiq Choudhry & Hao Wu - 690-720 Asymptotic prediction of mean squared error for long-memory processes with estimated parameters
by Naoya Katayama - 721-742 The predictive value of temporally disaggregated volatility: evidence from index futures markets
by Nicholas Taylor
2008, Volume 27, Issue 7
- 551-565 Forecasting volatility with outliers in GARCH models
by Amélie Charles - 566-586 Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
by Konrad Banachewicz & André Lucas - 587-606 Power transformation models and volatility forecasting
by Perry Sadorsky & Michael D. McKenzie - 607-620 Is it a short-memory, long-memory, or permanently Granger-causation influence?
by Wen-Den Chen - 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 - 637-648 Traditional versus novel forecasting techniques: how much do we gain?
by Viviana Fernandez
2008, Volume 27, Issue 6
- 465-481 Forecasting euro area variables with German pre-EMU data
by Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino - 483-492 An assessment of the EU growth forecasts under asymmetric preferences
by George A. Christodoulakis & Emmanuel C. Mamatzakis - 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 - 507-517 Short-term prediction of motorway travel time using ANPR and loop data
by Yanying Li - 519-535 The geometric combination of Bayesian forecasting models
by A. E. Faria & E. Mubwandarikwa - 537-549 Scalar BEKK and indirect DCC
by Massimiliano Caporin & Michael McAleer
2008, Volume 27, Issue 5
- 371-390 Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data
by Marie Diron - 391-406 Seasonal prediction of European cereal prices: good forecasts using bad models?
by Adusei Jumah & Robert M. Kunst - 407-417 Direction-of-change forecasting using a volatility-based recurrent neural network
by S. D. Bekiros & D. A. Georgoutsos - 419-432 Combining forecasts using optimal combination weight and generalized autoregression
by Jeong-Ryeol Kurz-Kim - 433-449 Improving moving average trading rules with boosting and statistical learning methods
by Julián Andrada-Félix & Fernando Fernández-Rodríguez - 451-463 Prediction in the two-way random-effect model with heteroskedasticity
by Eugene Kouassi & Kern O. Kymn
2008, Volume 27, Issue 4
- 279-291 Forecasting commodity prices: GARCH, jumps, and mean reversion
by Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon - 293-303 Testing for Granger (non-)causality in a time-varying coefficient VAR model
by Dimitris K. Christopoulos & Miguel A. León-Ledesma - 305-340 A linear benchmark for forecasting GDP growth and inflation?
by Massimiliano Marcellino - 341-356 Forecasting for the LCD monitor market
by Shin-Lian Lo & Fu-Kwun Wang & James T. Lin - 357-370 A diffusion model for products with indirect network externalities
by Sung Yong Chun & Minhi Hahn
2008, Volume 27, Issue 3
- 193-215 Statistical estimation of optimal portfolios for non-Gaussian dependent returns of assets
by Hiroshi Shiraishi & Masanobu Taniguchi - 217-235 Single-index and portfolio models for forecasting value-at-risk thresholds
by Michael McAleer & Bernardo da Veiga - 237-265 How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach
by Sandra Eickmeier & Christina Ziegler - 267-278 Forecasting volatility with noisy jumps: an application to the Dow Jones Industrial Average stocks
by Basel M. A. Awartani
2008, Volume 27, Issue 2
- 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 - 109-129 On forecasting counts
by Brajendra C. Sutradhar - 131-151 Linear and threshold forecasts of output and inflation using stock and housing prices
by Greg Tkacz & Carolyn Wilkins - 153-173 Forecasting with panel data
by Badi H. Baltagi - 175-191 Forecast covariances in the linear multiregression dynamic model
by Catriona M. Queen & Ben J. Wright & Casper J. Albers
2008, Volume 27, Issue 1
- 1-19 Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
by Michael Mcaleer & Bernardo da Veiga - 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 - 41-51 Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate
by Pär Österholm - 53-74 Forecasting changes in UK interest rates
by Tae-Hwan Kim & Paul Mizen & Thanaset Chevapatrakul - 75-93 Forecasting US employment growth using forecast combining methods
by David E. Rapach & Jack K. Strauss
2007, Volume 26, Issue 8
- 551-569 Covariance estimation for multivariate conditionally Gaussian dynamic linear models
by K. Triantafyllopoulos - 571-582 Impact of corrections for dynamic selection bias on forecasts of retention behavior
by Yang Li & Walter J. Mayer - 583-599 International equity flows and the predictability of US stock returns
by Daniel Hartmann & Christian Pierdzioch - 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
2007, Volume 26, Issue 7
- 457-473 The extended switching regression model: allowing for multiple latent state variables
by Arie Preminger & Uri Ben-zion & David Wettstein - 475-496 Regression-based modeling of market option prices: with application to S&P500 options
by Gurupdesh S. Pandher - 497-526 Evaluation of correlation forecasting models for risk management
by Vasiliki D. Skintzi & Spyros Xanthopoulos-Sisinis - 527-549 Forecasting the price of crude oil via convenience yield predictions
by Thomas A. Knetsch
2007, Volume 26, Issue 6
- 385-403 Predictive power and unbiasedness of implied forward charter rates
by Amir H. Alizadeh & Roar Os Ådland & Steen Koekebakker - 405-427 Estimating and forecasting the long-memory parameter in the presence of periodicity
by C. Bisognin & S. R. C. Lopes - 429-444 Forecasting real-time data allowing for data revisions
by Kosei Fukuda - 445-455 Forecasting domestic liquidity during a crisis: what works best?
by Winston R. Moore
2007, Volume 26, Issue 5
- 303-316 Econometric modelling for short-term inflation forecasting in the euro area
by Antoni Espasa & Rebeca Albacete - 317-342 A semiparametric method for predicting bankruptcy
by Ruey-Ching Hwang & K. F. Cheng & Jack C. Lee - 343-363 Forecasting volatility by means of threshold models
by M. Pilar Muñoz & M. Dolores Marquez & Lesly M. Acosta - 365-383 Can panel data really improve the predictability of the monetary exchange rate model?
by Joakim Westerlund & Syed A. Basher
2007, Volume 26, Issue 4
- 227-238 Optimal forecast intervals under asymmetric loss
by Matei Demetrescu - 239-250 Order series method for forecasting non-Gaussian time series
by Ming-De Chuang & Gwo-Hsing Yu - 251-270 Validating multiple-period density-forecasting models
by Kevin Dowd - 271-302 Forecasting German GDP using alternative factor models based on large datasets
by Christian Schumacher
2007, Volume 26, Issue 3
- 155-170 On estimating contemporaneous quarterly regional GDP
by Bernardí Cabrer-Borrás & Jose Manuel Pavía-Miralles - 171-188 Time-simultaneous prediction band for a time series
by Dag Kolsrud - 189-202 Single-season heteroscedasticity in time series
by Jeremy Penzer & Yorghos Tripodis - 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
2007, Volume 26, Issue 2
- 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 - 95-111 Optimal prediction with nonstationary ARFIMA model
by Mohamed Boutahar - 113-127 Using a heterogeneous multinomial probit model with a neural net extension to model brand choice
by Harald Hruschka - 129-153 Traditional versus unobserved components methods to forecast quarterly national account aggregates
by Gustavo A. Marrero
2007, Volume 26, Issue 1
- 1-22 Forecasting inflation using economic indicators: the case of France
by O. De Bandt & E. Michaux & C. Bruneau & A. Flageollet - 23-32 Measuring downside risk and severity for global output
by Yudong Yao & Yan Wang - 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 - 53-76 Ex post and ex ante prediction of unobserved multivariate time series: a structural-model based approach
by Fabio H. Nieto
2006, Volume 25, Issue 8
- 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 - 561-578 Garch forecasting performance under different distribution assumptions
by Anders Wilhelmsson - 579-600 Average conditional correlation and tree structures for multivariate GARCH models
by Giovanni Barone-Adesi & Francesco Audrino
2006, Volume 25, Issue 7
- 459-479 Understanding and predicting sovereign debt rescheduling: a comparison of the areas under receiver operating characteristic curves
by Pedro N. Rodriguez & Arnulfo Rodriguez - 481-494 Bias in the estimation of non-linear transformations of the integrated variance of returns
by Cherif Guermat & Richard D. F. Harris - 495-511 A markup model for forecasting inflation for the euro area
by Anindya Banerjee & Bill Russell - 513-527 A hybrid forecasting approach for piece-wise stationary time series
by Ronald Bewley & Minxian Yang