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Journal of Forecasting
2001 - 2011
Edited by Derek W. Bunn
from John Wiley & Sons, Ltd.
This journal is continued by Journal of Forecasting .
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Volume 30, issue 8 , 2011
Estimating private information usage amongst analysts: evidence from UK earnings forecasts pp. 679-705 Svetlana Mira and Nicholas Taylor Nonparametric density forecast based on time‐ and state‐domain pp. 706-720 João Nicolau Bootstrap prediction bands for forecast paths from vector autoregressive models pp. 721-735 Staszewska‐Bystrova, Anna Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK pp. 736-752 Giovanni Caggiano , George Kapetanios and Vincent Labhard Volume 30, issue 7 , 2011
A nonparametric method for asymmetrically extending signal extraction filters pp. 597-621 Tucker Sprague McElroy How helpful are spatial effects in forecasting the growth of Chinese provinces? pp. 622-643 Eric Girardin and Konstantin Arkadievich Kholodilin Forecast accuracy and effort: The case of US inflation rates pp. 644-665 Nicholas Taylor A wavelet approach for factor‐augmented forecasting pp. 666-678 António Rua Volume 30, issue 6 , 2011
Dynamic density forecasts for multivariate asset returns pp. 523-540 Arnold Polanski and Evarist Stoja Prediction from the regression model with two‐way error components pp. 541-564 Eugene Kouassi , Joel Sango , J. M. Bosson Brou , Francis N. Teubissi and Kern O. Kymn Forecasting private consumption: survey‐based indicators vs. Google trends pp. 565-578 Simeon Vosen and Torsten Schmidt Combining forecasts based on multiple encompassing tests in a macroeconomic core system pp. 579-596 Mauro Costantini and Robert M. Kunst Volume 30, issue 5 , 2011
Forecasting time‐varying covariance with a robust Bayesian threshold model pp. 451-468 Wu, Chih‐Chiang and Jack C. Lee Testing for the usefulness of forecasts pp. 469-489 Eric S. Lin , Chou, Ping‐Hung and Chou, Ta‐Sheng Nonlinear identification of judgmental forecasts effects at SKU level pp. 490-508 Juan R. Trapero , Robert Fildes and Andrey Davydenko Cointegration rank switching model: an application to forecasting interest rates pp. 509-522 Kosei Fukuda Volume 30, issue 4 , 2011
Functional methods for time series prediction: a nonparametric approach pp. 377-392 Aneiros‐Pérez, Germán , Ricardo Cao and Vilar‐Fernández, Juan M. New proposals for the quantification of qualitative survey data pp. 393-408 Tommaso Proietti and Cecilia Frale Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty pp. 409-450 Chen, Yi‐Ting Volume 30, issue 3 , 2011
Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts pp. 303-324 Ricardo Mestre and Peter McAdam Testing for common autocorrelation in data‐rich environments pp. 325-335 Gianluca Cubadda and Alain Hecq Flow of conjunctural information and forecast of euro area economic activity pp. 336-354 Katja Drechsel and Laurent Maurin Pricing of basket options using univariate normal inverse gaussian approximations pp. 355-376 Fred Espen Benth and Pål Nicolai Henriksen Volume 30, issue 2 , 2011
On the association between IPO underpricing and reversal and Taiwan's regulatory reforms for mandatory forecasts pp. 225-248 Chin, Chen‐Lung , Lin, Hsiou‐Wei William and Syu, Yir‐Jung Emily The role of age‐structured education data for economic growth forecasts pp. 249-267 Jesus Crespo Cuaresma and Tapas Mishra Do professional forecasters believe in the Phillips curve? evidence from the G7 countries pp. 268-287 Ralf Fendel , Eliza M. Lis and Rülke, Jan‐Christoph Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models pp. 288-302 Sonali Das , Rangan Gupta and Alain Kabundi Volume 30, issue 1 , 2011
Introduction to special issue commemorating the 50th anniversary of the Kalman Filter and 40th anniversary of Box and Jenkins pp. 1-5 Terence C. Mills , Ruey S. Tsay and Peter C. Young Inference for regression models with errors from a non‐invertible MA(1) process pp. 6-30 Chen, Mei‐Ching , Richard A. Davis and Li Song Identification of TAR models using recursive estimation pp. 31-50 Miguel Ángel Bermejo , Daniel Peña and Ismael Sánchez Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes pp. 51-71 Bei Chen , Yulia R. Gel , N. Balakrishna and Bovas Abraham Random aggregation with applications in high‐frequency finance pp. 72-103 Ruey S. Tsay and Yeh, Jin‐Huei Gauss, Kalman and advances in recursive parameter estimation pp. 104-146 Peter C. Young Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra pp. 147-167 Siem Jan Koopman and Soon Yip Wong Particle filters and Bayesian inference in financial econometrics pp. 168-209 Hedibert F. Lopes and Ruey S. Tsay Distributional Kalman filters for Bayesian forecasting and closed form recurrences pp. 210-224 Jim Q. Smith and Guy Freeman Volume 29, issue 8 , 2010
Forecasting the 10‐year US treasury rate pp. 673-688 Hamid Baghestani Assessing the value of Hermite densities for predictive distributions pp. 689-714 Ignacio Mauleón The use of encompassing tests for forecast combinations pp. 715-727 Turgut Kisinbay Variable selection in STAR models with neighbourhood effects using genetic algorithms pp. 728-750 Isolina Alberto , Asunción Beamonte , Pilar Gargallo , Pedro M. Mateo and Manuel Salvador Volume 29, issue 6 , 2010
Spreads versus professional forecasters as predictors of future output change pp. 517-522 Kevin Aretz and David A. Peel Incorporating higher moments into value-at-risk forecasting pp. 523-535 Arnold Polanski and Evarist Stoja Business failure prediction using decision trees pp. 536-555 Adrian Gepp , Kuldeep Kumar and Sukanto Bhattacharya Bananas and petrol: further evidence on the forecasting accuracy of the ABS 'headline' and 'underlying' rates of inflation pp. 556-572 Liam John Anthony Lenten Forecasting inflation in Malaysia pp. 573-594 Jarita Duasa , Nursilah Ahmad , Mansor H. Ibrahim and Mohd Pisal Zainal Volume 29, issue 5 , 2010
Testing homogeneity of Japanese CPI forecasters pp. 435-441 Masahiro Ashiya The detection of earnings manipulation: the three-phase cutting plane algorithm using mathematical programming pp. 442-466 Burcu Dikmen and Güray Küçükkocaoğlu The variance ratio and trend stationary model as extensions of a constrained autoregressive model pp. 467-475 Shlomo Zilca Predicting the signs of forecast errors pp. 476-485 Nazaria Solferino and Robert Waldmann Forecasting business failure in China using case-based reasoning with hybrid case respresentation pp. 486-501 Hui Li and Jie Sun New evidence on the relation between return volatility and trading volume pp. 502-515 Thomas C. Chiang , Zhuo Qiao and Wing-Keung Wong Volume 29, issue 4 , 2010
Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates pp. 353-366 Zijun Wang Forecasting key macroeconomic variables from a large number of predictors: a state space approach pp. 367-387 Arvid Raknerud , Terje Skjerpen and Anders Rygh Swensen A monetary real-time conditional forecast of euro area inflation pp. 388-405 Sylvia Kaufmann and Peter Kugler Forecasting volatility with support vector machine-based GARCH model pp. 406-433 Shiyi Chen , Wolfgang Karl Härdle and Kiho Jeong Volume 29, issue 3 , 2010
Foreign exchange market prediction with multiple classifiers pp. 271-284 Bo Qian and Khaled Rasheed Robust forecasting with exponential and Holt-Winters smoothing pp. 285-300 Sarah Gelper , Roland Fried and Christophe Croux A simultaneous test of unit root and level change pp. 301-312 Duk Bin Jun and Dae Keun Park Nowcasting and predicting data revisions using panel survey data pp. 313-330 Troy D Matheson , James Mitchell and Brian Silverstone Do experts' adjustments on model-based SKU-level forecasts improve forecast quality? pp. 331-340 Philip Hans Franses and Rianne Legerstee Forecasting using targeted diffusion indexes pp. 341-352 Francisco Dias , Maximiano Pinheiro and António Rua Volume 29, issue 1-2 , 2010
Introduction to advances in business cycle analysis and forecasting pp. 1-5 Massimiliano Marcellino and Gian Luigi Mazzi Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators pp. 6-28 Ataman Ozyildirim , Brian Schaitkin and Victor Zarnowitz A new production function estimate of the euro area output gapThis 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.
pp. 29-53 Matthieu Lemoine , Gian Luigi Mazzi , Paola Monperrus-Veroni and Frédéric Reynès The transmission of shocks between Europe, Japan and the United States pp. 54-70 Shushanik Papanyan The UK intranational business cycle pp. 71-93 Michael Artis and Toshihiro Okubo The local quadratic trend model pp. 94-108 Andrew C. Harvey Survey data as coincident or leading indicators pp. 109-131 Cecilia Frale , Massimiliano Marcellino , Gian Luigi Mazzi and Tommaso Proietti Are disaggregate data useful for factor analysis in forecasting French GDP? pp. 132-144 Karim Barhoumi , Olivier Darné and Laurent Ferrara Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area pp. 145-167 Monica Billio and Roberto Casarin Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models pp. 168-185 Rangan Gupta and Alain Kabundi GDP nowcasting with ragged-edge data: a semi-parametric modeling pp. 186-199 Laurent Ferrara , Dominique Madeleine GUEGAN and Patrick Rakotomarolahy Nowcasting from disaggregates in the face of location shifts pp. 200-214 Jennifer L. Castle and David F. Hendry Dynamic probit models and financial variables in recession forecasting pp. 215-230 Henri Nyberg Combining inflation density forecasts pp. 231-250 Christian Jonathan Kascha and Francesco Ravazzolo Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights pp. 251-269 Lennart Hoogerheide , Richard Kleijn , Francesco Ravazzolo , Herman K. van Dijk and Marno Verbeek
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