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Journal of Forecasting

2001 - 2011

Continued by Journal of Forecasting.

Current editor(s): Derek W. Bunn

From John Wiley & Sons, Ltd.
Series data maintained by Wiley-Blackwell Digital Licensing ().

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Volume 30, issue 8, 2011

Estimating private information usage amongst analysts: evidence from UK earnings forecasts pp. 679-705 Downloads
Svetlana Mira and Nick Taylor
Nonparametric density forecast based on time‐ and state‐domain pp. 706-720 Downloads
João Nicolau
Bootstrap prediction bands for forecast paths from vector autoregressive models pp. 721-735 Downloads
Anna Staszewska‐Bystrova
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 Downloads
Giovanni Caggiano, George Kapetanios and Vincent Labhard

Volume 30, issue 7, 2011

A nonparametric method for asymmetrically extending signal extraction filters pp. 597-621 Downloads
Tucker McElroy
How helpful are spatial effects in forecasting the growth of Chinese provinces? pp. 622-643 Downloads
Eric Girardin and Konstantin Kholodilin
Forecast accuracy and effort: The case of US inflation rates pp. 644-665 Downloads
Nick Taylor
A wavelet approach for factor‐augmented forecasting pp. 666-678 Downloads
António Rua

Volume 30, issue 6, 2011

Dynamic density forecasts for multivariate asset returns pp. 523-540 Downloads
Arnold Polanski and Evarist Stoja
Prediction from the regression model with two‐way error components pp. 541-564 Downloads
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 Downloads
Simeon Vosen and Torsten Schmidt
Combining forecasts based on multiple encompassing tests in a macroeconomic core system pp. 579-596 Downloads
Mauro Costantini and Robert Kunst

Volume 30, issue 5, 2011

Forecasting time‐varying covariance with a robust Bayesian threshold model pp. 451-468 Downloads
Chih‐Chiang Wu and Jack C. Lee
Testing for the usefulness of forecasts pp. 469-489 Downloads
Eric Lin, Ping‐Hung Chou and Ta‐Sheng Chou
Nonlinear identification of judgmental forecasts effects at SKU level pp. 490-508 Downloads
Juan R. Trapero, Robert Fildes and Andrey Davydenko
Cointegration rank switching model: an application to forecasting interest rates pp. 509-522 Downloads
Kosei Fukuda

Volume 30, issue 4, 2011

Functional methods for time series prediction: a nonparametric approach pp. 377-392 Downloads
Germán Aneiros‐Pérez, Ricardo Cao and Juan M. Vilar‐Fernández
New proposals for the quantification of qualitative survey data pp. 393-408 Downloads
Tommaso Proietti and Cecilia Frale
Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty pp. 409-450 Downloads
Yi‐Ting Chen

Volume 30, issue 3, 2011

Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts pp. 303-324 Downloads
Ricardo Mestre and Peter McAdam
Testing for common autocorrelation in data‐rich environments pp. 325-335 Downloads
Gianluca Cubadda and Alain Hecq
Flow of conjunctural information and forecast of euro area economic activity pp. 336-354 Downloads
Katja Drechsel and Laurent Maurin
Pricing of basket options using univariate normal inverse gaussian approximations pp. 355-376 Downloads
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 Downloads
Chen‐Lung Chin, Hsiou‐Wei William Lin and Yir‐Jung Emily Syu
The role of age‐structured education data for economic growth forecasts pp. 249-267 Downloads
Jesus Crespo Cuaresma and Tapas Mishra
Do professional forecasters believe in the Phillips curve? evidence from the G7 countries pp. 268-287 Downloads
Ralf Fendel, Eliza M. Lis and Jan‐Christoph Rülke
Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models pp. 288-302 Downloads
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 Downloads
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 Downloads
Mei‐Ching Chen, Richard A. Davis and Li Song
Identification of TAR models using recursive estimation pp. 31-50 Downloads
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 Downloads
Bei Chen, Yulia R. Gel, N. Balakrishna and Bovas Abraham
Random aggregation with applications in high‐frequency finance pp. 72-103 Downloads
Ruey S. Tsay and Jin‐Huei Yeh
Gauss, Kalman and advances in recursive parameter estimation pp. 104-146 Downloads
Peter C. Young
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra pp. 147-167 Downloads
Siem Jan Koopman and Soon Yip Wong
Particle filters and Bayesian inference in financial econometrics pp. 168-209 Downloads
Hedibert F. Lopes and Ruey S. Tsay
Distributional Kalman filters for Bayesian forecasting and closed form recurrences pp. 210-224 Downloads
Jim Q. Smith and Guy Freeman

Volume 29, issue 8, 2010

Forecasting the 10‐year US treasury rate pp. 673-688 Downloads
Hamid Baghestani
Assessing the value of Hermite densities for predictive distributions pp. 689-714 Downloads
Ignacio Mauleón
The use of encompassing tests for forecast combinations pp. 715-727 Downloads
Turgut Kisinbay
Variable selection in STAR models with neighbourhood effects using genetic algorithms pp. 728-750 Downloads
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 Downloads
Kevin Aretz and David Peel
Incorporating higher moments into value-at-risk forecasting pp. 523-535 Downloads
Arnold Polanski and Evarist Stoja
Business failure prediction using decision trees pp. 536-555 Downloads
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 Downloads
Liam Lenten
Forecasting inflation in Malaysia pp. 573-594 Downloads
Jarita Duasa, Nursilah Ahmad, Mansor Ibrahim and Mohd-Pisal Zainal

Volume 29, issue 5, 2010

Testing homogeneity of Japanese CPI forecasters pp. 435-441 Downloads
Masahiro Ashiya
The detection of earnings manipulation: the three-phase cutting plane algorithm using mathematical programming pp. 442-466 Downloads
Burcu Dikmen and Güray Küçükkocaoğlu
The variance ratio and trend stationary model as extensions of a constrained autoregressive model pp. 467-475 Downloads
Shlomo Zilca
Predicting the signs of forecast errors pp. 476-485 Downloads
Nazaria Solferino and Robert Waldmann
Forecasting business failure in China using case-based reasoning with hybrid case respresentation pp. 486-501 Downloads
Hui Li and Jie Sun
New evidence on the relation between return volatility and trading volume pp. 502-515 Downloads
Thomas 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 Downloads
Zijun Wang
Forecasting key macroeconomic variables from a large number of predictors: a state space approach pp. 367-387 Downloads
Arvid Raknerud, Terje Skjerpen and Anders Rygh Swensen
A monetary real-time conditional forecast of euro area inflation pp. 388-405 Downloads
Sylvia Kaufmann and Peter Kugler
Forecasting volatility with support vector machine-based GARCH model pp. 406-433 Downloads
Shiyi Chen, Wolfgang Härdle and Kiho Jeong

Volume 29, issue 3, 2010

Foreign exchange market prediction with multiple classifiers pp. 271-284 Downloads
Bo Qian and Khaled Rasheed
Robust forecasting with exponential and Holt-Winters smoothing pp. 285-300 Downloads
Sarah Gelper, Roland Fried and Christophe Croux
A simultaneous test of unit root and level change pp. 301-312 Downloads
Duk Bin Jun and Dae Keun Park
Nowcasting and predicting data revisions using panel survey data pp. 313-330 Downloads
Troy Matheson, James Mitchell and Brian Silverstone
Do experts' adjustments on model-based SKU-level forecasts improve forecast quality? pp. 331-340 Downloads
Philip Hans Franses and Rianne Legerstee
Forecasting using targeted diffusion indexes pp. 341-352 Downloads
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 Downloads
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 Downloads
Ataman Ozyildirim, Brian Schaitkin and Victor Zarnowitz
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 pp. 29-53 Downloads
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 Downloads
Shushanik Papanyan
The UK intranational business cycle pp. 71-93 Downloads
Michael Artis and Toshihiro Okubo
The local quadratic trend model pp. 94-108 Downloads
Andrew Harvey
Survey data as coincident or leading indicators pp. 109-131 Downloads
Cecilia Frale, Massimiliano Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Are disaggregate data useful for factor analysis in forecasting French GDP? pp. 132-144 Downloads
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 Downloads
Monica Billio and Roberto Casarin
Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models pp. 168-185 Downloads
Rangan Gupta and Alain Kabundi
GDP nowcasting with ragged-edge data: a semi-parametric modeling pp. 186-199 Downloads
Laurent Ferrara, Dominique Guegan and Patrick Rakotomarolahy
Nowcasting from disaggregates in the face of location shifts pp. 200-214 Downloads
Jennifer Castle and David Hendry
Dynamic probit models and financial variables in recession forecasting pp. 215-230 Downloads
Henri Nyberg
Combining inflation density forecasts pp. 231-250 Downloads
Christian Kascha and Francesco Ravazzolo
Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights pp. 251-269 Downloads
Lennart Hoogerheide, Richard Kleijn, Francesco Ravazzolo, Herman van Dijk and Marno Verbeek
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