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Content
March 2018, Volume 37, Issue 2
- 151-169 Short†term salmon price forecasting
by Daumantas Bloznelis - 170-190 Forecasting house prices in OECD economies
by N. Kundan Kishor & Hardik A. Marfatia - 191-200 A new parsimonious recurrent forecasting model in singular spectrum analysis
by Rahim Mahmoudvand & Paulo Canas Rodrigues - 201-224 Measuring the market risk of freight rates: A forecast combination approach
by Christos Argyropoulos & Ekaterini Panopoulou - 225-234 Projection of population structure in China using least squares support vector machine in conjunction with a Leslie matrix model
by Shuang Li & Zewei Yang & Hongsheng Li & Guangwen Shu - 235-256 Predicting US bank failures: A comparison of logit and data mining models
by Zhongbo Jing & Yi Fang
January 2018, Volume 37, Issue 1
- 1-15 Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
by Henri Nyberg - 16-36 The informational content of unconventional monetary policy on precious metal markets
by Stephanos Papadamou & Vasilios Sogiakas - 37-63 Does a lot help a lot? Forecasting stock returns with pooling strategies in a data†rich environment
by Fabian Baetje - 64-82 Yield curve forecast combinations based on bond portfolio performance
by João F. Caldeira & Guilherme V. Moura & André A. P. Santos - 83-101 Direct multiperiod forecasting for algorithmic trading
by Hiroyuki Kawakatsu - 102-118 Multi†step forecasting in the presence of breaks
by Jari Hännikäinen - 119-132 Regional, individual and political determinants of FOMC members' key macroeconomic forecasts
by Stefan Eichler & Tom Lähner
December 2017, Volume 36, Issue 8
- 867-897 Nonlinearities in the CAPM: Evidence from Developed and Emerging Markets
by Serdar Neslihanoglu & Vasilios Sogiakas & John H. McColl & Duncan Lee - 898-918 A Comparison of the Forecasting Ability of Immediate Price Impact Models
by Manh Cuong Pham & Huu Nhan Duong & Paul Lajbcygier - 919-935 The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises
by Claudio Morana - 936-955 Exploiting Spillovers to Forecast Crashes
by Francine Gresnigt & Erik Kole & Philip Hans Franses - 956-973 Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter
by Yuanyuan Zhang & Taufiq Choudhry - 974-988 Modelling and Trading the English and German Stock Markets with Novelty Optimization Techniques
by Andreas Karathanasopoulos & Sovan Mitra & Konstantinos Skindilias & Chia Chun Lo - 989-1002 Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters
by Peter Nystrup & Henrik Madsen & Erik Lindström
November 2017, Volume 36, Issue 7
- 741-755 Forecasting intraday S&P 500 index returns: A functional time series approach
by Han Lin Shang - 756-775 What can we learn from the fifties?
by Fabian Gouret - 776-783 Improvement of the Liu‐type Shiller estimator for distributed lag models
by Nimet Özbay & Selahattin Kaçıranlar - 784-794 Adjusting for information content when comparing forecast performance
by Michael K Andersson & Ted Aranki & André Reslow - 795-807 PARX model for football match predictions
by Giovanni Angelini & Luca De Angelis - 808-823 The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
by David Ardia & Jeremy Kolly & Denis‐Alexandre Trottier - 824-841 Mortality effects of temperature changes in the United Kingdom
by Malgorzata Seklecka & Athanasios A. Pantelous & Colin O'Hare - 842-853 Prediction‐based adaptive compositional model for seasonal time series analysis
by Kun Chang & Rong Chen & Thomas B. Fomby - 854-858 On assessing the relative performance of default predictions
by Walter Krämer - 859-866 Prediction of α ‐stable GARCH and ARMA‐GARCH‐M models
by Mohammad Mohammadi
September 2017, Volume 36, Issue 6
- 615-628 The importance of time‐varying volatility and country interactions in forecasting economic activity
by Steven Trypsteen - 629-639 Forecast robustness in macroeconometric models
by Gunnar Bårdsen & Dag Kolsrud & Ragnar Nymoen - 640-650 Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR
by Rangan Gupta & Eric Olson & Mark E. Wohar - 651-679 Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
by Kemal Guler & Pin T. Ng & Zhijie Xiao - 680-690 Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices
by Aitor Ciarreta & Peru Muniain & Ainhoa Zarraga - 691-702 Understanding algorithm aversion: When is advice from automation discounted?
by Andrew Prahl & Lyn Van Swol - 703-717 Robust estimation of conditional variance of time series using density power divergences
by Jin‐Hong Park & T. N. Sriram - 718-740 Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
by Nima Nonejad
August 2017, Volume 36, Issue 5
- 469-482 The Role of Credit in Predicting US Recessions
by Harri Ponka - 483-496 Do Media Data Help to Predict German Industrial Production?
by Dirk Ulbricht & Konstantin A. Kholodilin & Tobias Thomas - 497-514 Incorporating the Beige Book into a Quantitative Index of Economic Activity
by Nathan S. Balke & Michael Fulmer & Ren Zhang - 515-540 Forecast Combination for Euro Area Inflation: A Cure in Times of Crisis?
by Kirstin Hubrich & Frauke Skudelny - 541-556 Short‐Term Stock Price Prediction Based on Limit Order Book Dynamics
by Yang An & Ngai Hang Chan - 557-565 New Evidence on the Ability of Asset Prices and Real Economic Activity Forecast Errors to Predict Inflation Forecast Errors
by Nicholas Apergis - 566-580 Time‐Varying Parameter Realized Volatility Models
by Yudong Wang & Zhiyuan Pan & Chongfeng Wu - 581-596 Forecasting with Specification‐Switching VARs
by Youngjin Hwang - 597-613 Backtesting Value‐at‐Risk: A Generalized Markov Test
by Thor Pajhede
July 2017, Volume 36, Issue 4
- 325-336 Integrating Quarterly Data into a Dynamic Factor Model of US Monthly GDP
by Firmin Vlavonou & Stephen Gordon - 337-344 Heterogeneous Forecast Adjustment
by Bert De Bruijn & Philip Hans Franses - 345-356 On the Predictive Information of Futures' Prices: A Wavelet‐Based Assessment
by Helmut Herwartz & Stephan Schlüter - 357-367 A Flexible Functional Form Approach To Mortality Modeling: Do We Need Additional Cohort Dummies?
by Han Li & Colin O'hare & Farshid Vahid - 368-381 Analysts’ Dynamic Decisions: Timeliness versus Accuracy
by Steven J. Jordan & Byungjin Kwak & Changhee Lee - 382-394 Benchmark Forecast and Error Modeling
by Zhao‐Guo Chen & Ka Ho Wu - 395-406 Multi‐model Forecasts of the West Texas Intermediate Crude Oil Spot Price
by Laura Ryan & Bronwen Whiting - 407-420 An Inhomogeneous Hidden Markov Model for Efficient Virtual Machine Placement in Cloud Computing Environments
by Hugo Lewi Hammer & Anis Yazidi & Kyrre Begnum - 421-430 Realized Volatility Forecasting of Agricultural Commodity Futures Using Long Memory and Regime Switching
by Fengping Tian & Ke Yang & Langnan Chen - 431-453 Forecasting Inflation Across Euro Area Countries and Sectors: A Panel VAR Approach
by Stéphane Dées & Jochen Güntner - 454-467 Can We Predict the Financial Markets Based on Google's Search Queries?
by Marcelo S. Perlin & João F. Caldeira & André A. P. Santos & Martin Pontuschka
April 2017, Volume 36, Issue 3
- 217-229 Bayesian Forecasting for Time Series of Categorical Data
by Jean‐François Angers & Atanu Biswas & Raju Maiti - 230-240 Multicategory Purchase Incidence Models for Partitions of Product Categories
by Harald Hruschka - 241-256 Adaptive Interest Rate Modelling
by Mengmeng Guo & Wolfgang Karl Härdle - 257-272 Two Tales of Return Predictability: The Case of Asia–Pacific Equity Markets
by Andrei Shynkevich - 273-290 Identifying Expensive Trades by Monitoring the Limit Order Book
by Benoit Detollenaere & Catherine D'hondt - 291-304 Validating Policy‐Induced Economic Change Using Sequential General Equilibrium SAMs
by M. Alejandro Cardenete & M. Carmen Lima & Ferran Sancho - 305-324 Forecast Combinations in a DSGE‐VAR Lab
by Mauro Costantini & Ulrich Gunter & Robert M. Kunst
March 2017, Volume 36, Issue 2
- 109-121 The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach
by Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta - 122-138 Ensemble Forecasting for Complex Time Series Using Sparse Representation and Neural Networks
by Lean Yu & Yang Zhao & Ling Tang - 139-155 Stochastic Multivariate Mixture Covariance Model
by Mike K. P. So & Raymond W. M. Li & Manabu Asai & Yue Jiang - 156-164 Modeling and Forecasting Online Auction Prices: A Semiparametric Regression Analysis
by Ngai Hang Chan & Wei Wei Liu - 165-180 Treed Avalanche Forecasting: Mitigating Avalanche Danger Utilizing Bayesian Additive Regression Trees
by Gail Blattenberger & Richard Fowles - 181-206 On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
by František Čech & Jozef Baruník - 207-216 Revisiting Targeted Factors
by Jack Fosten
January 2017, Volume 36, Issue 1
- 1-15 Forecasting with Micro Panels: The Case of Health Care Costs
by Denzil G. Fiebig & Meliyanni Johar - 16-25 Predicting Systemic Risk with Entropic Indicators
by Nikola Gradojevic & Marko Caric - 26-42 Detecting and Predicting Economic Accelerations, Recessions, and Normal Growth Periods in Real‐Time
by Christian R. Proaño - 43-55 Forecasting Ability of a Periodic Component Extracted from Large‐Cap Index Time Series
by Michael J. O'Shea - 56-73 Forecasting the US Term Structure of Interest Rates Using Nonparametric Functional Data Analysis
by JoÃo Caldeira & Hudson Torrent - 74-90 Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?
by Jing Zeng - 91-99 Yield Curve Forecasting with the Burg Model
by Pierre Rostan & Rachid Belhachemi & François‐Eric Racicot - 100-108 Severity Prediction of Traffic Accident Using an Artificial Neural Network
by Sharaf Alkheder & Madhar Taamneh & Salah Taamneh
December 2016, Volume 35, Issue 8
- 669-689 Improving the Timeliness of Turning Signals for Business Cycles with Monthly Data
by Ta‐Sheng Chou & Ping‐Hung Chou & Eric S. Lin - 690-702 Why Do Students Leave Education Early? Theory and Evidence on High School Dropout Rates
by Sofie J. Cabus & Kristof De Witte - 703-717 Retrospective Testing of Mortality Forecasting Methods for the Projection of Very Elderly Populations in Australia
by Wilma Terblanche - 718-740 Multivariate Forecasting with BVARs and DSGE Models
by Tim Oliver Berg - 741-750 Removing Forecasting Errors with White Gaussian Noise after Square Root Transformation
by Zheng‐Ling Yang & Ya‐Di Liu & Xin‐Shan Zhu & Xi Chen & Jun Zhang - 751-764 Bayesian Assessment of Dynamic Quantile Forecasts
by Richard Gerlach & Cathy W. S. Chen & Edward M. H. Lin
November 2016, Volume 35, Issue 7
- 573-591 Prediction in a Generalized Spatial Panel Data Model with Serial Correlation
by Badi H. Baltagi & Long Liu - 592-612 LASSO‐Type Penalties for Covariate Selection and Forecasting in Time Series
by Evandro Konzen & Flavio A. Ziegelmann - 613-632 Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models
by Stelios D. Bekiros & Alessia Paccagnini - 633-651 An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting
by Bangzhu Zhu & Xuetao Shi & Julien Chevallier & Ping Wang & Yi‐Ming Wei - 652-668 Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate
by Mauro Costantini & Jesus Crespo Cuaresma & Jaroslava Hlouskova
August 2016, Volume 35, Issue 5
- 381-399 Multiple Hypothesis Testing of Market Risk Forecasting Models
by Francesco P. Esposito & Mark Cummins - 400-418 The Role of Survey Data in Nowcasting Euro Area GDP Growth
by Alessandro Girardi & Christian Gayer & Andreas Reuter - 419-433 Forecasting Based on Decomposed Financial Return Series: A Wavelet Analysis
by Theo Berger - 434-444 Modeling Realized Volatility Dynamics with a Genetic Algorithm
by Hui Qu & Ping Ji - 445-461 Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas
by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis - 462-476 Bayesian Analysis of a Threshold Stochastic Volatility Model
by Tony S. Wirjanto & Adam W. Kolkiewicz & Zhongxian Men
July 2016, Volume 35, Issue 4
- 285-307 Backtesting Aggregate Risk
by Cristina Danciulescu - 308-328 Forecasting Elections
by Leighton Vaughan Williams & J. James Reade - 329-346 Affine Term Structure Model with Macroeconomic Factors: Do No‐Arbitrage Restriction and Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?
by Wali Ullah - 347-372 Estimating the Out‐of‐Sample Predictive Ability of Trading Rules: A Robust Bootstrap Approach
by Julien Hambuckers & Cédric Heuchenne - 373-380 Combination of Forecasts across Estimation Windows: An Application to Air Travel Demand
by Andre Jungmittag
April 2016, Volume 35, Issue 3
- 189-205 Probabilistic Forecasts of Wind Power Generation by Stochastic Differential Equation Models
by Jan Kloppenborg Møller & Marco Zugno & Henrik Madsen - 206-216 Real‐Time Signal Extraction with Regularized Multivariate Direct Filter Approach
by Ginters Buss - 217-223 Comparison of Near Neighbour and Neural Network in Travel Forecasting
by Elena Olmedo - 224-249 Forecasting High‐Frequency Risk Measures
by Denisa Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi - 250-262 Bayesian Model Averaging under Regime Switching with Application to Cyclical Macro Variable Forecasting
by Jianmin Shi - 263-284 Google's MIDAS Touch: Predicting UK Unemployment with Internet Search Data
by Paul Smith
March 2016, Volume 35, Issue 2
- 93-112 Decision‐Based Forecast Evaluation of UK Interest Rate Predictability
by Kavita Sirichand & Stephen G. Hall - 113-146 Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?
by Henning Fischer & Ángela Blanco‐FERNÁndez & Peter Winker - 147-166 The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts
by Michal Franta - 167-178 The Information Content of Intraday Implied Volatility for Volatility Forecasting
by Yaw‐Huei Wang & Yun‐Yi Wang - 179-188 On Forecasting Conflict in the Sudan: 2009–2012
by David A. Bessler & Shahriar Kibriya & Junyi Chen & Edwin Price
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