Journal of Forecasting

2001 - 2008

Edited by Derek W. Bunn

from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().

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Volume 27, issue 3, 2008

Statistical estimation of optimal portfolios for non-Gaussian dependent returns of assets pp. 193-215

Hiroshi Shiraishi and Masanobu Taniguchi

Single-index and portfolio models for forecasting value-at-risk thresholds pp. 217-235

Michael McAleer and Bernardo da Veiga

How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach pp. 237-265

Sandra Eickmeier and Christina Ziegler

Forecasting volatility with noisy jumps: an application to the Dow Jones Industrial Average stocks pp. 267-278

Basel M. A. Awartani

Volume 27, issue 2, 2008

Linking series generated at different frequencies

This work is part of a PhD dissertation presented at the University of California, San Diego (1999).

pp. 95-108

Namwon Hyung and Clive W.J. Granger

On forecasting counts pp. 109-129

Brajendra C. Sutradhar

Linear and threshold forecasts of output and inflation using stock and housing prices pp. 131-151

Greg Tkacz and Carolyn Wilkins

Forecasting with panel data

This paper was presented at the 8th Bundesbank Spring Conference on 'New Developments in Economic Forecasting' in Eltville, Germany, 5-6 May, 2006. I would like to thank the editor Massimiliano Marcellino and three anonymous referees for their helpful comments and suggestions.

pp. 153-173

Badi H. Baltagi

Forecast covariances in the linear multiregression dynamic model pp. 175-191

Catriona M. Queen, Ben J. Wright and Casper J. Albers

Volume 27, issue 1, 2008

Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model pp. 1-19

Michael McAleer and Bernardo da Veiga

Forecasting market impact costs and identifying expensive trades pp. 21-39

Jacob Bikker, Laura Spierdijk, Roy P. M. M. Hoevenaars and Pieter Jelle van der Sluis

Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate pp. 41-51

Pär Österholm

Forecasting changes in UK interest rates pp. 53-74

Tae-Hwan Kim, Paul Mizen and Thanaset Chevapatrakul

Forecasting US employment growth using forecast combining methods pp. 75-93

David E. Rapach and Jack K. Strauss

Volume 26, issue 8, 2007

Covariance estimation for multivariate conditionally Gaussian dynamic linear models pp. 551-569

Kostas Triantafyllopoulos

Impact of corrections for dynamic selection bias on forecasts of retention behavior pp. 571-582

Yang Li and Walter J. Mayer

International equity flows and the predictability of US stock returns pp. 583-599

Daniel Hartmann and Christian Pierdzioch

Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models pp. 601-619

Ilias Lekkos, Costas Milas and Theodore Panagiotidis

Volume 26, issue 7, 2007

The extended switching regression model: allowing for multiple latent state variables pp. 457-473

Arie Preminger, Uri Ben-zion and David Wettstein

Regression-based modeling of market option prices: with application to S&P500 options pp. 475-496

Gurupdesh S. Pandher

Evaluation of correlation forecasting models for risk management pp. 497-526

Vasiliki Skintzi and Spyros Xanthopoulos-Sisinis

Forecasting the price of crude oil via convenience yield predictions pp. 527-549

Thomas A. Knetsch

Volume 26, issue 6, 2007

Predictive power and unbiasedness of implied forward charter rates pp. 385-403

Amir H. Alizadeh, Roar Os Ådland and Steen Koekebakker

Estimating and forecasting the long-memory parameter in the presence of periodicity pp. 405-427

C. Bisognin and S. R. C. Lopes

Forecasting real-time data allowing for data revisions pp. 429-444

Kosei Fukuda

Forecasting domestic liquidity during a crisis: what works best? pp. 445-455

Winston R. Moore

Volume 26, issue 5, 2007

Econometric modelling for short-term inflation forecasting in the euro area pp. 303-316

Antoni Espasa and Rebeca Albacete

A semiparametric method for predicting bankruptcy pp. 317-342

Ruey-Ching Hwang, K. F. Cheng and Jack C. Lee

Forecasting volatility by means of threshold models pp. 343-363

M. Pilar Muñoz, M. Dolores Marquez and Lesly M. Acosta

Can panel data really improve the predictability of the monetary exchange rate model? pp. 365-383

Joakim Westerlund and Syed A. Basher

Volume 26, issue 4, 2007

Optimal forecast intervals under asymmetric loss pp. 227-238

Matei Demetrescu

Order series method for forecasting non-Gaussian time series pp. 239-250

Ming-De Chuang and Gwo-Hsing Yu

Validating multiple-period density-forecasting models pp. 251-270

Kevin Dowd

Forecasting German GDP using alternative factor models based on large datasets pp. 271-302

Christian Schumacher

Volume 26, issue 3, 2007

On estimating contemporaneous quarterly regional GDP pp. 155-170

Bernardí Cabrer-Borrás and Jose Manuel Pavía-Miralles

Time-simultaneous prediction band for a time series pp. 171-188

Dag Kolsrud

Single-season heteroscedasticity in time series pp. 189-202

Jeremy Penzer and Yorghos Tripodis

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).

pp. 203-225

Tae-Hwy Lee, Yong Bao and Burak Saltoğlu

Volume 26, issue 2, 2007

The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries pp. 77-94

Giuseppe Parigi and Roberto Golinelli

Optimal prediction with nonstationary ARFIMA model pp. 95-111

Mohamed Boutahar

Using a heterogeneous multinomial probit model with a neural net extension to model brand choice pp. 113-127

Harald Hruschka

Traditional versus unobserved components methods to forecast quarterly national account aggregates pp. 129-153

Gustavo A. Marrero

Volume 26, issue 1, 2007

Forecasting inflation using economic indicators: the case of France pp. 1-22

Olivier de Bandt, E. Michaux, C. Bruneau and A. Flageollet

Measuring downside risk and severity for global output pp. 23-32

Yudong Yao and Yan Wang

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.

pp. 33-51

Mark E. Wohar and David E. Rapach

Ex post and ex ante prediction of unobserved multivariate time series: a structural-model based approach pp. 53-76

Fabio H. Nieto

Volume 25, issue 8, 2006

A semi-parametric time series approach in modeling hourly electricity loads pp. 537-559

Rong Chen, John L. Harris, Jun M. Liu and Lon-Mu Liu

Garch forecasting performance under different distribution assumptions pp. 561-578

Anders Wilhelmsson

Average conditional correlation and tree structures for multivariate GARCH models pp. 579-600

Giovanni Barone-Adesi and Francesco Audrino

Volume 25, issue 7, 2006

Understanding and predicting sovereign debt rescheduling: a comparison of the areas under receiver operating characteristic curves pp. 459-479

Pedro N. Rodriguez and Arnulfo Rodriguez

Bias in the estimation of non-linear transformations of the integrated variance of returns pp. 481-494

Cherif Guermat and Richard D. F. Harris

A markup model for forecasting inflation for the euro area pp. 495-511

Anindya Banerjee and Bill Russell

A hybrid forecasting approach for piece-wise stationary time series pp. 513-527

Ronald Bewley and Minxian Yang

A stochastic proportional hazard model for the force of mortality pp. 529-536

Marilena Sibillo, Emilia Di Lorenzo and Gerarda Tessitore

Volume 25, issue 6, 2006

Forecasting volatility pp. 381-400

Athanasia Gavala, Nikolay Gospodinov and Deming Jiang

Are forecasters reluctant to revise their predictions? Some German evidence pp. 401-413

Ulrich K. Müller and Gebhard Kirchgässner

Performance evaluation of the New Connecticut Leading Employment Index using lead profiles and BVAR models pp. 415-437

Pami Dua, Anirvan Banerji and Stephen M. Miller

Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence pp. 439-458

Antonio Rubia and Trino-Manuel Ñíguez

Volume 25, issue 5, 2006

The evolution of sales forecasting management: a 20-year longitudinal study of forecasting practices pp. 303-324

Donna F. Davis, John T. Mentzer, Teresa M. Mccarthy and Susan L. Golicic

A non-Gaussian generalization of the Airline model for robust seasonal adjustment pp. 325-349

Siem Jan Koopman and John A. D. Aston

Long-memory dynamic Tobit models pp. 351-367

N. H. Chan and A. E. Brockwell

Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory pp. 369-380

Benjamin J. C. Kim and David Karemera

Volume 25, issue 4, 2006

Non-linear, non-parametric, non-fundamental exchange rate forecasting pp. 227-245

Jing Yang and Nikola Gradojevic

Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter pp. 247-273

Thomas M. Trimbur

Random walk hypothesis in exchange rate reconsidered pp. 275-290

Hsin-Min Lu and Chia-Shang J. Chu

Long-memory forecasting of US monetary indices pp. 291-302

Christopher Baum and John Barkoulas

Volume 25, issue 3, 2006

Gamma stochastic volatility models pp. 153-171

N. Balakrishna, Bovas Abraham and Ranjini Sivakumar

Comparison of two non-parametric models for daily traffic forecasting in Hong Kong pp. 173-192

Y. F. Tang, William H. K. Lam and Mei-Lam Tam

Estimating the long memory granger causality effect with a spectrum estimator pp. 193-200

Wen-Den Chen

Are 16-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts pp. 201-207

Masahiro Ashiya

The importance of interest rates for forecasting the exchange rate pp. 209-221

Håvard Hungnes and Hilde Christiane Bjørnland

Evaluating probability forecasts in terms of refinement and strictly proper scoring rules pp. 223-226

Walter Krämer

Volume 25, issue 2, 2006

A Bayesian nonlinear support vector machine error correction model pp. 77-100

Carine Brasseur, Marcelo Espinoza, Johan A. K. Suykens, Tony van Gestel, Bart Baesens and Bart De Moor

Evaluating predictive performance of value-at-risk models in emerging markets: a reality check pp. 101-128

Tae-Hwy Lee, Yong Bao and Burak Saltoglu

Autoregressive gamma processes pp. 129-152

Joann Jasiak and Christian S. Gourieroux

Volume 25, issue 1, 2006

Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model pp. 1-23

Fabio Busetti

Testing the rationality of forecast revisions made by the IMF and the OECD pp. 25-36

Masahiro Ashiya

A cautionary note on outlier robust estimation of threshold models pp. 37-47

Paolo Giordani

Building neural network models for time series: a statistical approach pp. 49-75

Timo Teräsvirta, Marcelo C. Medeiros and Gianluigi Rech