Printed from https://ideas.repec.org/s/wly/jforec4.html
Content
March 2019, Volume 38, Issue 2
- 136-153 An analysis on the predictability of CAPM beta for momentum returns
by Tolga Cenesizoglu & Nicolas Papageorgiou & Jonathan J. Reeves & Haifeng Wu
January 2019, Volume 38, Issue 1
- 1-10 Valuable information in early sales proxies: The use of Google search ranks in portfolio optimization
by Alexander Kupfer & Josef Zorn - 11-28 Financial volatility modeling: The feedback asymmetric conditional autoregressive range model
by Haibin Xie - 29-38 Adaptive learning from model space
by Jan Prüser - 39-62 Mortality effects of economic fluctuations in selected eurozone countries
by Malgorzata Seklecka & Norazliani Md. Lazam & Athanasios A. Pantelous & Colin O'Hare - 63-72 Modeling eBay price using stochastic differential equations
by Wei Wei Liu & Yan Liu & Ngai Hang Chan
December 2018, Volume 37, Issue 8
- 781-789 Volatility forecasting of crude oil market: A new hybrid method
by Yue‐Jun Zhang & Jin‐Liang Zhang - 790-804 Value‐at‐risk under market shifts through highly flexible models
by Ahmed BenSaïda & Sabri Boubaker & Duc Khuong Nguyen & Skander Slim - 805-831 Understanding the interplay between covariance forecasting factor models and risk‐based portfolio allocations in currency carry trades
by Matthew Ames & Guillaume Bagnarosa & Gareth W. Peters & Pavel V. Shevchenko - 832-851 Forecasting electricity spot price for Nord Pool market with a hybrid k‐factor GARMA–LLWNN model
by Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem - 852-866 Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods
by Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis
November 2018, Volume 37, Issue 7
- 705-719 The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions
by Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman - 720-728 Particle filtering of volatility dynamics for KOSPI200 and its sequential prediction
by Tae Yeon Kwon - 729-738 Modeling and forecasting intraday VaR of an exchange rate portfolio
by Omar Abbara & Mauricio Zevallos - 739-753 Workforce forecasting models: A systematic review
by Anahita Safarishahrbijari - 754-766 A separate reduced‐form volatility forecasting model for nonferrous metal market: Evidence from copper and aluminum
by Hongwei Zhang & Xuehong Zhu & Yaoqi Guo & Haibo Liu - 767-780 Forecasting accident frequency of an urban road network: A comparison of four artificial neural network techniques
by Hamid Behbahani & Amir Mohamadian Amiri & Reza Imaninasab & Meysam Alizamir
September 2018, Volume 37, Issue 6
- 627-640 Predicting crypto‐currencies using sparse non‐Gaussian state space models
by Christian Hotz‐Behofsits & Florian Huber & Thomas Otto Zörner - 641-649 Low and high prices can improve covariance forecasts: The evidence based on currency rates
by Piotr Fiszeder - 650-665 Do IMF fiscal forecasts add value?
by Zidong An & João Tovar Jalles & Prakash Loungani & Ricardo M. Sousa - 666-675 Macroeconomic forecasting with mixed data sampling frequencies: Evidence from a small open economy
by Albert K. Tsui & Cheng Yang Xu & Zhaoyong Zhang - 676-690 Robust model rankings of forecasting performance
by Prasad Sankar Bhattacharya & Dimitrios D. Thomakos - 691-704 Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates
by Ji‐Eun Choi & Dong Wan Shin
August 2018, Volume 37, Issue 5
- 519-540 Exchange rate forecasting and the performance of currency portfolios
by Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova - 541-559 Forecasting US GNP growth: The role of uncertainty
by Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar - 560-572 A test of the joint efficiency of macroeconomic forecasts using multivariate random forests
by Christoph Behrens & Christian Pierdzioch & Marian Risse - 573-588 Enhancing momentum investment strategy using leverage
by Carlos Forner & Yaz Gülnur Muradoglu & Sheeja Sivaprasad - 589-603 Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes
by Ricardo Crisóstomo & Lorena Couso - 604-626 Out‐of‐sample equity premium prediction: A scenario analysis approach
by Xiaoxiao Tang & Feifang Hu & Peiming Wang
July 2018, Volume 37, Issue 4
- 419-436 Forecasting realized volatility of oil futures market: A new insight
by Feng Ma & Yu Wei & Li Liu & Dengshi Huang - 437-456 Restructuring performance prediction with a rebalanced and clustered support vector machine
by Hui Li & Lu†Yao Hong & Yu†Chang Mo & Bang†Zhu Zhu & Pei†Chann Chang - 457-474 The influence of transparency on budget forecast deviations in municipal governments
by Ana†MarÃa RÃos & MarÃa†Dolores Guillamón & Bernardino Benito & Francisco Bastida - 475-488 Forecasting the duration of short†term deflation episodes
by Wojciech Charemza & Svetlana Makarova & Yinkai Wu - 489-505 Scenario planning: An investigation of the construct and its measurement
by Arafet Bouhalleb & Ali Smida - 506-516 What does the tail of the distribution of current stock prices tell us about future economic activity?
by José Vicente & Gustavo Araujo
April 2018, Volume 37, Issue 3
- 259-268 Robust forecast aggregation: Fourier L2E regression
by Daniel Cross & Jaime Ramos & Barbara Mellers & Philip E. Tetlock & David W. Scott - 269-280 Time series forecasting using functional partial least square regression with stochastic volatility, GARCH, and exponential smoothing
by Jong†Min Kim & Hojin Jung - 281-302 Methods for backcasting, nowcasting and forecasting using factor†MIDAS: With an application to Korean GDP
by Hyun Hak Kim & Norman R. Swanson - 303-315 Google Trends and the forecasting performance of exchange rate models
by Levent Bulut - 316-326 Extracting information shocks from the Bank of England inflation density forecasts
by Carlos DÃaz - 327-339 The versatility of spectrum analysis for forecasting financial time series
by Pierre Rostan & Alexandra Rostan - 340-351 Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium
by Fan Zhang & Zhichao Zhang - 352-370 New evidence on the robust identification of news shocks: Role of revisions in utilization†adjusted TFP series and term structure data
by Zhang Chen & Zulfiqar Ali Wagan & Hakimzadi Seelro - 371-384 Modeling European industrial production with multivariate singular spectrum analysis: A cross†industry analysis
by Emmanuel Sirimal Silva & Hossein Hassani & Saeed Heravi - 385-400 Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model
by Yudong Wang & Zhiyuan Pan & Chongfeng Wu - 401-417 Quantile estimators with orthogonal pinball loss function
by Lean Yu & Zebin Yang & Ling Tang
March 2018, Volume 37, Issue 2
- 133-150 Comparison of forecasting performances: Does normalization and variance stabilization method beat GARCH(1,1)†type models? Empirical evidence from the stock markets
by Emrah Gulay & Hamdi Emec - 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