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Journal of Forecasting

2001 - 2011

Current editor(s): Derek W. Bunn

from John Wiley & Sons, Ltd.

This journal is continued by Journal of Forecasting.
Series data maintained by Wiley-Blackwell Digital Licensing ().

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Volume 20, issue 8, 2001

Misspecified Prediction for Time Series pp. 543-64
In-Bong Choi and Masanobu Taniguchi
Outlier Detection in Regression Models with ARIMA Errors Using Robust Estimates pp. 565-79
Bianco, Ana Maria, et al
Forecasting with k-Factor Gegenbauer Processes: Theory and Applications pp. 581-601
Laurent Ferrara and Dominique Madeleine GUEGAN
Predicting LDC Debt Rescheduling: Performance Evaluation of OLS, Logit, and Neural Network Models pp. 603-15
Douglas K Barney and Janardhanan A Alse

Volume 20, issue 7, 2001

Model Specification and Forecasting Foreign Exchange Rates with Vector Autoregressions pp. 451-84
Nathan Lael Joseph
Modelling the Frequency and Severity of Extreme Exchange Rate Returns pp. 485-99
Ping-Hung Hsieh
Forecasting High-Frequency Financial Data with the ARFIMA-ARCH Model pp. 501-18
Michael A Hauser and Robert M. Kunst
Term Premia and the Maturity Composition of the Federal Debt: New Evidence from the Term Structure of Interest Rates pp. 519-39
Basma Bekdache
A Re-examination of the Excess Smoothness Puzzle When Consumers Estimate the Income Process: Erratum pp. 541
Anurag Narayan Banerjee and P Basu

Volume 20, issue 6, 2001

The Approximation of Long-Memory Processes by an ARMA Model pp. 367-89
Gopal K Basak, Ngai Hang Chan and Wilfredo Palma
Risk Premia and Long Rates in Ireland pp. 391-403
Keith Cuthbertson and Don Bredin
Forecasting UK Industrial Production over the Business Cycle pp. 405-24
Paul W Simpson, Denise Osborn and Marianne Sensier
Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection pp. 425-40
Norman Rasmus Swanson and Tian Zeng
Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment pp. 441-49
H Liu and Stephen George Hall

Volume 20, issue 5, 2001

Forecasting Output Growth Rates and Median Output Growth Rates: A Hierarchical Bayesian Approach pp. 297-314
Justin Tobias
A Linear Forecasting Model and Its Application to Economic Data pp. 315-28
Georg Peters
A Fractionally Integrated Exponential Model for UK Unemployment pp. 329-40
Luis Alberiko Gil-Alana
Filters for Short Non-stationary Sequences pp. 341-55
David Stephen Pollock
A Re-examination of the Excess Smoothness Puzzle When Consumers Estimate the Income Process pp. 357-66
Anurag Narayan Banerjee and Parantap Basu

Volume 20, issue 4, 2001

A Forecasting Comparison of Classical and Bayesian Methods for Modelling Logistic Diffusion pp. 231-47
Ronald Bewley and William Edward Griffiths
Modelling the Development of Supply-Restricted Telecommunications Markets pp. 249-64
Towhidul Islam and Denzil G. Fiebig
Guaranteed-Content Prediction Intervals for Non-linear Autoregressions pp. 265-72
Xavier de Luna
Identification of Asymmetric Prediction Intervals through Causal Forces pp. 273-83
J. Scott Armstrong and Fred Collopy
Robust Evaluation of Fixed-Event Forecast Rationality pp. 285-95
Michael Peter Clements and Nick Taylor

Volume 20, issue 3, 2001

Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order pp. 161-79
Lutz Kilian
Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting pp. 181-96
Chris Brooks and Melvin J. Hinich
Exponential Smoothing of Seasonal Data: A Comparison pp. 197-202
Ralph David Snyder and Roland G Shami
Sensitivity of Univariate AR(1) Time-Series Forecasts Near the Unit Root pp. 203-29
Anurag Narayan Banerjee

Volume 20, issue 2, 2001

Evaluating the Predictive Accuracy of Volatility Models pp. 87-109
Jose A. Lopez
Robust Modelling of ARCH Models pp. 111-33
Jiancheng Jiang, Quanshui Zhao and Yer Van Hui
A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate pp. 135-43
Chris Brooks
Cross-Correlations and Predictability of Stock Returns pp. 145-60
Dennis Olson and C Mossman

Volume 20, issue 1, 2001

Testing in Unobserved Components Models pp. 1-19
Andrew C. Harvey
Alternative Regime Switching Models for Forecasting Inflation pp. 21-35
Prasad V. Bidarkota
Empirical Analysis of Systematic Errors in Chilean GDP Forecasts pp. 37-45
Romulo Chumacero
Analysis of the US Business Cycle with a Vector-Markov-Switching Model pp. 47-61
Zenon G. Kontolemis
An Aggregate Sales Model for Consumer Durables Incorporating a Time-Varying Mean Replacement Age pp. 63-77
Paul R Steffens
Bounds for the Least Squares Extrapolation in Non-linear AR(1) Processes pp. 79-86
Jiri Andel
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