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Journal of Forecasting
2012 - 2013
Edited by Derek W. Bunn
from John Wiley & Sons, Ltd.
This journal is a continuation of Journal of Forecasting .
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Volume 32, issue 3 , 2013
Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model pp. 193-214 Peter Exterkate , Dick van Dijk , Christiaan Heij and Patrick J. F. Groenen Estimation and Prediction Tests of Cash Flow Forecast Accuracy pp. 215-225 Choong‐Yuel Yoo and Jinhan Pae Forecasting the European Credit Cycle Using Macroeconomic Variables pp. 226-246 Florian Ielpo Global Capital Flows, Time‐Varying Fundamentals and Transitional Exchange Rate Dynamics pp. 247-255 S. Hilmi Kal Constant versus Time‐Varying Beta Models: Further Forecast Evaluation pp. 256-266 Jonathan J. Reeves and Haifeng Wu International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord pp. 267-288 Michael McAleer , Juan‐Ángel Jiménez‐Martín and Teodosio Pérez‐Amaral Volume 32, issue 2 , 2013
Testing Interval Forecasts: A GMM‐Based Approach pp. 97-110 Elena‐Ivona Dumitrescu , Christophe Hurlin and Jaouad Madkour Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach pp. 111-123 Rafael B. Rezende and Mauro S. Ferreira Combining Economic Forecasts by Using a Maximum Entropy Econometric Approach pp. 124-136 Blanca Moreno and Ana Jesús López Generalised Estimators for Seasonal Forecasting by Combining Grouping with Shrinkage Approaches pp. 137-150 Kui Zhang , Huijing Chen , John Boylan and Philip Scarf Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach pp. 151-166 Andrey Vasnev , Margaret Skirtun and Laurent Pauwels A Meta‐learning Framework for Bankruptcy Prediction pp. 167-179 Chih‐Fong Tsai and Yu‐Feng Hsu Predicting Business Failure Using an RSF‐based Case‐Based Reasoning Ensemble Forecasting Method pp. 180-192 Hui Li and Jie Sun Volume 32, issue 1 , 2013
Does Information Help Intra‐Day Volatility Forecasts? pp. 1-9 David G. McMillan and Raquel Quiroga García Forecasting Private Consumption by Consumer Surveys pp. 10-18 Christian Dreger and Konstantin Arkadievich Kholodilin Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach pp. 19-31 Anders Wilhelmsson Nonlinear Forecasting Using Factor‐Augmented Models pp. 32-40 Bruno Cara Giovannetti Optimal Hedge Ratio Estimation and Effectiveness Using ARCD pp. 41-50 Eleftheria Kostika and Raphael N. Markellos Real‐Time Forecasts of Inflation: The Role of Financial Variables pp. 51-61 Libero Monteforte and Gianluca Moretti Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation pp. 62-74 Jooyoung Jeon and James W. Taylor Space‐Time Model versus VAR Model: Forecasting Electricity demand in Japan pp. 75-85 Yoshihiro Ohtsuka and Kazuhiko Kakamu Estimation and Forecasting of Locally Stationary Processes pp. 86-96 Wilfredo Palma , Ricardo Olea and Guillermo Ferreira Volume 31, issue 8 , 2012
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis pp. 661-687 Cathy W. S. Chen , Richard Gerlach , Edward Meng Hua Lin and W. C. W. Lee Break Detectability and Mean Square Forecast Error Ratios for Selecting Estimation Windows pp. 688-705 Hildegart Ahumada Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk pp. 706-720 Chang‐Cheng Changchien , Chu‐Hsiung Lin and Hsien‐Chueh Peter Yang The Accuracy of Non‐traditional versus Traditional Methods of Forecasting Lumpy Demand pp. 721-735 Somnath Mukhopadhyay , Adriano O. Solis and Rafael S. Gutierrez Are Analysts' Loss Functions Asymmetric? pp. 736-756 Mark A. Clatworthy , David A. Peel and Peter F. Pope Volume 31, issue 7 , 2012
Can We Predict Exchange Rate Movements at Short Horizons? pp. 565-579 Chongcheul Cheong , Young‐Jae Kim and Seong-Min Yoon Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates pp. 580-595 Efthymios G. Pavlidis , Ivan Paya and David A. Peel Twisting the Dollar? On the Consistency of Short‐Run and Long‐Run Exchange Rate Expectations pp. 596-616 Michael Frenkel , Jan‐Christoph Rülke and Georg Stadtmann Prediction from the One‐Way Error Components Model with AR(1) Disturbances pp. 617-638 Eugene Kouassi , Joel Sango , J.M. Bosson Brou , Francis N. Teubissi and Kern O. Kymn The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks pp. 639-660 John F. Garvey and Liam A. Gallagher Volume 31, issue 6 , 2012
Second‐Generation Prediction Markets for Information Aggregation: A Comparison of Payoff Mechanisms pp. 469-489 Christian Slamka , Wolfgang Jank and Bernd Skiera Forecasting Stock Market Volatility in Central and Eastern European Countries pp. 490-503 Barry Harrison and Winston Ricardo Moore A Robust Data‐Mining Approach to Bankruptcy Prediction pp. 504-523 Mehdi Divsalar , Habib Roodsaz , Farshad Vahdatinia , Ghassem Norouzzadeh and Amir Hossein Behrooz Exploring Survey‐Based Inflation Forecasts pp. 524-539 Luis Gil‐Alana , Antonio Moreno and Fernando Pérez de Gracia Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting? pp. 540-564 Ken Nyholm and Rositsa Vidova‐Koleva Volume 31, issue 5 , 2012
A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models pp. 377-390 Farhat Iqbal and Kanchan Mukherjee Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach pp. 391-400 Christina Beneki , Bruno Eeckels and Costas Leon Do Long‐Run Theory Restrictions Help in Forecasting? pp. 401-422 S. Mahdi Barakchian Price–Dividend Ratios and Stock Price Predictability pp. 423-442 Jyh-lin Wu and Yu‐Hau Hu Multivariate GARCH Models with Correlation Clustering pp. 443-468 Mike K. P. So and Iris W. H. Yip Volume 31, issue 4 , 2012
Adaptive modelling and forecasting of offshore wind power fluctuations with Markov‐switching autoregressive models pp. 281-313 Pierre Pinson and Henrik Madsen Forecasting Hourly Peak Call Volume for a Rural Electric Cooperative Call Center pp. 314-329 Taeyoon Kim , Phil Kenkel and B Wade Brorsen Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data? pp. 330-343 David G. Mcmillan and Alan E. H. Speight The Effect of Estimating Parameters on Long‐Term Forecasts for Cointegrated Systems pp. 344-360 Hiroaki Chigira and Taku Yamamoto Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis pp. 361-376 Martin Feldkircher Volume 31, issue 3 , 2012
Semiparametric forecast intervals pp. 189-228 Jason J. Wu A latent variable approach to forecasting the unemployment rate pp. 229-244 Chew Lian Chua , Guay C. Lim and Sarantis Tsiaplias Spurious Forecasts? pp. 245-259 Berenice Martínez‐Rivera , Daniel Ventosa‐Santaulària and J. Eduardo Vera‐Valdés Using Firm‐Level Leverage as an Investment Strategy pp. 260-279 Yaz Gulnur Muradoglu and Sheeja Sivaprasad Volume 31, issue 2 , 2012
Analyzing Macroeconomic Forecastability pp. 99-108 Ray C. Fair Parameter Space Restrictions in State Space Models pp. 109-123 Duk Bin Jun , Dong Soo Kim , Sungho Park and Myoung Hwan Park Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set pp. 124-156 Carlo Favero , Linlin Niu and Luca Sala The Volatility and Density Prediction Performance of Alternative GARCH Models pp. 157-171 Teng‐Hao Huang and Yaw‐Huei Wang Forecasting Performance of Nonlinear Models for Intraday Stock Returns pp. 172-188 José M. Matías and Juan C. Reboredo Volume 31, issue 1 , 2012
Business Cycle Forecasts and their Implications for High Frequency Stock Market Returns pp. 1-14 Horst Entorf , Anne Gross and Christian Steiner The Role of Financial Variables in predicting economic activity pp. 15-46 Raphael A Espinoza , Fabio Fornari and Marco Jacopo Lombardi Predicting the Direction of the Fed's Target Rate pp. 47-67 Heikki Kauppi Henderson‐Trending of Macroeconomic Variables and Forecasting Accuracy pp. 68-84 Liam John Anthony Lenten Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate pp. 85-98 Giacomo Sbrana
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