International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

From Elsevier
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Volume 25, issue 4, 2009

Sir Clive W. J. Granger (1934-2009) pp. 639-641

Graham Elliott

Forecasting economic and financial variables with global VARs pp. 642-675

Mohammad Pesaran, Til Schuermann and L. Vanessa Smith

Comments on "Forecasting economic and financial variables with global VARs" pp. 676-679

P Allen

Comments on "Forecasting economic and financial variables with global VARs" pp. 680-683

Michael Clements

Comments on "Forecasting economic and financial variables with global VARs" pp. 684-686

Domenico Giannone and Lucrezia Reichlin

Comments on "Forecasting economic and financial variables with global VARs" pp. 687-688

Clive Granger

Comments on "Forecasting economic and financial variables with global VARs" pp. 689-692

Kajal Lahiri

Forecast evaluation of AveAve forecasts in the global VAR context pp. 693-696

Tara Sinclair and Herman Stekler

Comments on "Forecasting economic and financial variables with global VARs" pp. 697-702

Norman Swanson

Rejoinder to comments on forecasting economic and financial variables with global VARs pp. 703-715

Mohammad Pesaran, Til Schuermann and L. Vanessa Smith

Decision making and planning under low levels of predictability pp. 716-733

Spyros Makridakis and Nassim Taleb

System economics: Overcoming the pitfalls of forecasting models via a multidisciplinary approach pp. 734-743

David Orrell and Patrick McSharry

Errors, robustness, and the fourth quadrant pp. 744-759

Nassim Nicholas Taleb

Fast and frugal forecasting pp. 760-772

Daniel Goldstein and Gerd Gigerenzer

Limits to forecasting in personalized medicine: An overview pp. 773-783

John P.A. Ioannidis

Diagnoses by general practitioners: Accuracy and reliability pp. 784-793

Waltraud Fink, Vilen Lipatov and Martin Konitzer

Forecasting and uncertainty in the economic and business world pp. 794-812

Spyros Makridakis, Robin Hogarth and Anil Gaba

Decision making and planning under low levels of predictability: Enhancing the scenario method pp. 813-825

George Wright and Paul Goodwin

Validity of climate change forecasting for public policy decision making pp. 826-832

Kesten Green, J. Armstrong and Willie Soon

Diagnostics cannot have much power against general alternatives pp. 833-839

David A. Freedman

Living in a world of low levels of predictability pp. 840-844

Spyros Makridakis and Nassim Taleb

Volume 25, issue 3, 2009

Victor Zarnowitz 1919-2009 pp. 432-434

Philip A. Klein

Fleeing the Nazis, surviving the Gulag, and arriving in the free world: My life and times pp. 435-440

John B. Guerard

Mining the past to determine the future: Problems and possibilities pp. 441-451

David J. Hand

Mining the past to determine the future: Comments pp. 452-455

Simon Price

Mining the past to determine the future: Comments pp. 456-460

Sven F. Crone

Mining the past to determine the future: Rejoinder pp. 461-462

David J. Hand

Introduction to time series monitoring pp. 463-466

Wilpen L. Gorr and John Ord

How does improved forecasting benefit detection? An application to biosurveillance pp. 467-483

Thomas H. Lotze and Galit Shmueli

Empirical calibration of time series monitoring methods using receiver operating characteristic curves pp. 484-497

Jacqueline Cohen, Samuel Garman and Wilpen Gorr

Expectation-based scan statistics for monitoring spatial time series data pp. 498-517

Daniel B. Neill

Monitoring processes with changing variances pp. 518-525

John Ord, Anne B. Koehler, Ralph Snyder and Rob Hyndman

Incorporating a tracking signal into a state space model pp. 526-530

Ralph Snyder and Anne B. Koehler

Modeling tourism: A fully identified VECM approach pp. 531-549

Carl Bonham, Byron Gangnes and Ting Zhou

Bayesian portfolio selection using a multifactor model pp. 550-566

Tomohiro Ando

Optimal forecasting with heterogeneous panels: A Monte Carlo study pp. 567-586

Lorenzo Trapani and Giovanni Urga

Stock returns and the short-run predictability of health expenditure: Some empirical evidence pp. 587-601

Zijun Wang

Multi-step forecasting in emerging economies: An investigation of the South African GDP pp. 602-628

Guillaume Chevillon

Richard S. Markovits, Truth or Economics: On the Definition, Prediction, and Relevance of Economic Efficiency, Yale University Press, New Haven (2008), p. x+507 pp pp. 629-630

P Allen

The Art of Modeling Dynamic Systems. Forecasting for Chaos, Randomness and Determinism. Foster Morrison, Dover Publications, Inc. (2008), p. 385 Paperback. US$ 22.95, ISBN-10, 0-486-46295-1 pp. 630-631

Robert Samohyl

Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi, Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 978-0-471-92083-0 (hardcover), $95, 329 pages pp. 632-634

Carlos Maté

Volume 25, issue 2, 2009

Forecasting returns and risk in financial markets using linear and nonlinear models pp. 215-217

Michael Clements, Costas Milas and Dick van Dijk

Optimal combinations of realised volatility estimators pp. 218-238

Andrew Patton and Kevin Sheppard

Joint modeling of call and put implied volatility pp. 239-258

Katja Ahoniemi and Markku Lanne

On forecasting daily stock volatility: The role of intraday information and market conditions pp. 259-281

Ana-Maria Fuertes, Marwan Izzeldin and Elena Kalotychou

Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements pp. 282-303

Martin Martens, Dick van Dijk and Michiel De Pooter

Asymmetric effects and long memory in the volatility of Dow Jones stocks pp. 304-327

Marcel Scharth and Marcelo Medeiros

On the macroeconomic causes of exchange rate volatility pp. 328-350

Claudio Morana

Differences in housing price forecastability across US states pp. 351-372

David E. Rapach and Jack Strauss

Non-linear predictability in stock and bond returns: When and where is it exploitable? pp. 373-399

Massimo Guidolin, Stuart Hyde, David McMillan and Sadayuki Ono

Forecasting exchange rates with a large Bayesian VAR pp. 400-417

Andrea Carriero, George Kapetanios and Massimiliano Marcellino

Testing for threshold effect in ARFIMA models: Application to US unemployment rate data pp. 418-428

Amine Lahiani and Olivier Scaillet

Volume 25, issue 1, 2009

A change of editors pp. 1-2

Rob Hyndman

Effective forecasting and judgmental adjustments: an empirical evaluation and strategies for improvement in supply-chain planning pp. 3-23

Robert Fildes, Paul Goodwin, Michael Lawrence and Konstantinos Nikolopoulos

Comments on "Effective forecasting and judgmental adjustments: An empirical evaluation and strategies for improvement in supply-chain planning" pp. 24-26

Nada R. Sanders

Comments on "Effective forecasting and judgmental adjustments: An empirical evaluation and strategies for improvement in supply-chain planning" pp. 27-29

Benito E. Flores

Comments on "Effective forecasting and judgmental adjustments: An empirical evaluation and strategies for improvement in supply-chain planning" pp. 30-31

Dilek Önkal

Reply to Commentaries by Flores, Önkal and Sanders pp. 32-34

Robert Fildes, Paul Goodwin, Michael Lawrence and Konstantinos Nikolopoulos

Properties of expert adjustments on model-based SKU-level forecasts pp. 35-47

Philip Hans Franses and Rianne Legerstee

Forecast accuracy measures for exception reporting using receiver operating characteristic curves pp. 48-61

Wilpen L. Gorr

On the importance of verifying forecasting results pp. 62-73

A. Talha Yalta and Olaf Jenal

A real time evaluation of Bank of England forecasts of inflation and growth pp. 74-80

Jan Groen, George Kapetanios and Simon Price

Real time representation of the UK output gap in the presence of model uncertainty pp. 81-102

Anthony Garratt, Kevin Lee, Emi Mise and Kalvinder Shields

Forecasting European industrial production with singular spectrum analysis pp. 103-118

Hossein Hassani, Saeed Heravi and Anatoly Zhigljavsky

The cyclical component factor model pp. 119-127

Christian Dahl, Henrik Hansen and John Smidt

A time deformation model and its time-varying autocorrelation: An application to US unemployment data pp. 128-145

Chu-Ping C. Vijverberg

Hierarchical forecasts for Australian domestic tourism pp. 146-166

George Athanasopoulos, Roman A. Ahmed and Rob Hyndman

The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach pp. 167-181

Philipp Ager, M. Kappler and Steffen Osterloh

Measuring consensus in binary forecasts: NFL game predictions pp. 182-191

ChiUng Song, Bryan Boulier and Herman Stekler

Forecasting histogram time series with k-nearest neighbours methods pp. 192-207

Javier Arroyo and Carlos Maté

Book review pp. 208-209

Paul Goodwin

Douglas C. Montgomery, Cheryl L. Jennings and Murat Kulahci, Introduction to Time Series Analysis and Forecasting, Wiley (2008) ISBN 978-0-471-65397-4, p. 446 $115 pp. 209-211

Brian Sloboda`