Journal of Forecasting

2001 - 2011

Continued by Journal of Forecasting.

Current editor(s): Derek W. Bunn

From John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

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Volume 28, issue 8, 2009

Retail default prediction by using sequential minimal optimization technique pp. 651-666

Yu-Chiang Hu and Jake Ansell

Are household subjective forecasts of personal finances accurate and useful? A directional analysis of the British Household Panel Survey pp. 667-680

Joshy Easaw and Saeed Heravi

Volatility forecasting with double Markov switching GARCH models pp. 681-697

Cathy W. S. Chen, Mike K. P. So and Edward Lin

Can consumer sentiment and its components forecast Australian GDP and consumption? pp. 698-711

Chew Chua and Sarantis Tsiaplias

A threshold factor multivariate stochastic volatility model pp. 712-735

Mike K. P. So and C. Y. Choi

Evaluating volatility dynamics and the forecasting ability of Markov switching models pp. 736-744

George S. Parikakis and Anna Merika

Volume 28, issue 7, 2009

Modelling time series with season-dependent autocorrelation structure pp. 559-574

Yorghos Tripodis and Jeremy Penzer

Adaptive forecasting of the EURIBOR swap term structure pp. 575-594

Oliver Blaskowitz and Helmut Herwartz

Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise pp. 595-611

Gerhard Rünstler, Karim Barhoumi, Szilard Benk, Riccardo Cristadoro, Ard Reijer, Audrone Jakaitiene, P. Jelonek, António Rua, K. Ruth and C. Van Nieuwenhuyze

Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity pp. 612-630

Theologos Pantelidis and Nikitas Pittis

Forecasting in large cointegrated processes pp. 631-650

Hiroaki Chigira and Taku Yamamoto

Volume 28, issue 6, 2009

Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures pp. 465-486

David T. L. Siu and John Okunev

Residual income, non-earnings information, and information content pp. 487-511

Ruey S. Tsay, Yi-Mien Lin and Hsiao-Wen Wang

Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies pp. 512-534

Wolfgang Härdle, Yuh-Jye Lee, Dorothea Schäfer and Yi-Ren Yeh

Mortality forecasting using neural networks and an application to cause-specific data for insurance purposes pp. 535-548

Paras Shah and Allon Guez

Risk factor beta conditional value-at-risk pp. 549-558

Andrei Semenov

Volume 28, issue 5, 2009

Forecasting using high-frequency data: a comparison of asymmetric financial duration models pp. 371-386

Qi Zhang, Charlie X Cai and Kevin Keasey

A New-Keynesian DSGE model for forecasting the South African economy pp. 387-404

Guangling Liu, Rangan Gupta and Eric Schaling

Forecasting growth and inflation in an enlarged euro area pp. 405-425

Thomas Flavin, Ekaterini Panopoulou and Theologos Pantelidis

How efficient is the European football betting market? Evidence from arbitrage and trading strategies pp. 426-444

Nikolaos Vlastakis, George Dotsis and Raphael Markellos

On a robust test for SETAR-type nonlinearity in time series analysis pp. 445-464

King Chi Hung, Siu Hung Cheung, Wai-Sum Chan and Li-Xin Zhang

Volume 28, issue 4, 2009

Stock market volatility and the forecasting performance of stock index futures pp. 277-292

Janchung Wang

Discrete Euler processes and their applications pp. 293-315

Chu-Ping C. Vijverberg and Henry L. Gray

Modelling and forecasting time series sampled at different frequencies pp. 316-342

José Casals, Miguel Jerez and Sonia Sotoca

Related-variables selection in temporal disaggregation pp. 343-357

Kosei Fukuda

P|E changes: some new results pp. 358-370

Thomas Zorn, Donna Dudney and Benjamas Jirasakuldech

Volume 28, issue 3, 2009

Real-time or current vintage: does the type of data matter for forecasting and model selection? pp. 183-193

Hui Feng

Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank pp. 194-217

Alberto Cabrero Bravo, Gonzalo Camba-Mendez, Astrid Hirsch and Fernando Nieto

A new Bayesian formulation for Holt's exponential smoothing pp. 218-234

Robert R. Andrawis and Amir Atiya

Simultaneous prediction intervals for ARMA processes with stable innovations pp. 235-246

John P. Nolan and Nalini Ravishanker

On a dynamic mixture GARCH model pp. 247-265

Xixin Cheng, Philip Yu and W. K. Li

A robust Cusum test for SETAR-type nonlinearity in time series pp. 266-276

Joseph D. Petruccelli, Alina Onofrei and Jayson D. Wilbur

Volume 28, issue 2, 2009

ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process pp. 89-101

K. S. Man and G. C. Tiao

A high-low model of daily stock price ranges pp. 103-119

Yan-Leung Cheung, Yin-Wong Cheung and Alan Wan

Strategic bias and professional affiliations of macroeconomic forecasters pp. 120-130

Masahiro Ashiya

Forecasting US inflation by Bayesian model averaging pp. 131-144

Jonathan Wright

Forecasting the FOMC's interest rate setting behavior: a further analysis pp. 145-165

Hyeongwoo Kim, John Jackson and Richard Saba

Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment pp. 167-182

Mu-Chun Wang

Volume 28, issue 1, 2009

Are all crowds equally wise? a comparison of political election forecasts by experts and the public pp. 1-18

Lennart Sjöberg

Expectations, use and judgmental adjustment of external financial and economic forecasts: an empirical investigation pp. 19-37

Sinan Gönül, Dilek Önkal and Paul Goodwin

Optimal sampling frequency for volatility forecast models for the Indian stock markets pp. 38-54

Malay Bhattacharyya, Dileep Kumar M and Ramesh Kumar

Sports forecasting: a comparison of the forecast accuracy of prediction markets, betting odds and tipsters pp. 55-72

Martin Spann and Bernd Skiera

Parsimonious modeling and forecasting of corporate yield curve pp. 73-88

Wei-Choun Yu and Donald M. Salyards

Volume 27, issue 8, 2008

Modeling regime transition in stock index futures markets and forecasting implications pp. 649-669

Angelos Kanas

Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta pp. 670-689

Taufiq Choudhry and Hao Wu

Asymptotic prediction of mean squared error for long-memory processes with estimated parameters pp. 690-720

Naoya Katayama

The predictive value of temporally disaggregated volatility: evidence from index futures markets pp. 721-742

Nick Taylor

Volume 27, issue 7, 2008

Forecasting volatility with outliers in GARCH models pp. 551-565

Amelie Charles

Quantile forecasting for credit risk management using possibly misspecified hidden Markov models pp. 566-586

Konrad Banachewicz and Andre Lucas

Power transformation models and volatility forecasting pp. 587-606

Perry Sadorsky and Michael D. McKenzie

Is it a short-memory, long-memory, or permanently Granger-causation influence? pp. 607-620

Wen-Den Chen

Tourism in the Canary Islands: forecasting using several seasonal time series models pp. 621-636

Luis Gil-Alana, Juncal Cuñado and Fernando Pérez de Gracia

Traditional versus novel forecasting techniques: how much do we gain? pp. 637-648

Viviana Fernandez

Volume 27, issue 6, 2008

Forecasting euro area variables with German pre-EMU data pp. 465-481

Ralf Brüggemann, Helmut Lütkepohl and Massimiliano Marcellino

An assessment of the EU growth forecasts under asymmetric preferences pp. 483-492

George A. Christodoulakis and Emmanuel Mamatzakis

Bankruptcy prediction using a discrete-time duration model incorporating temporal and macroeconomic dependencies pp. 493-506

Chae Woo Nam, Tong Suk Kim, Nam Jung Park and Hoe Kyung Lee

Short-term prediction of motorway travel time using ANPR and loop data pp. 507-517

Yanying Li

The geometric combination of Bayesian forecasting models pp. 519-535

A. E. Faria and E. Mubwandarikwa

Scalar BEKK and indirect DCC pp. 537-549

Massimiliano Caporin and Michael McAleer

Volume 27, issue 5, 2008

Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data pp. 371-390

Marie Diron

Seasonal prediction of European cereal prices: good forecasts using bad models? pp. 391-406

Adusei Jumah and Robert Kunst

Direction-of-change forecasting using a volatility-based recurrent neural network pp. 407-417

Stelios Bekiros and Dimitris Georgoutsos

Combining forecasts using optimal combination weight and generalized autoregression pp. 419-432

Jeong-Ryeol Kurz-Kim

Improving moving average trading rules with boosting and statistical learning methods pp. 433-449

Julian Andrada-Felix and Fernando Fernández-Rodríguez

Prediction in the two-way random-effect model with heteroskedasticity pp. 451-463

Eugene Kouassi and Kern O. Kymn

Volume 27, issue 4, 2008

Forecasting commodity prices: GARCH, jumps, and mean reversion pp. 279-291

Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian and Sebastien Mcmahon

Testing for Granger (non-)causality in a time-varying coefficient VAR model pp. 293-303

Dimitris Christopoulos and Miguel Leon-Ledesma

A linear benchmark for forecasting GDP growth and inflation? pp. 305-340

Massimiliano Marcellino

Forecasting for the LCD monitor market pp. 341-356

Shin-Lian Lo, Fu-Kwun Wang and James T. Lin

A diffusion model for products with indirect network externalities pp. 357-370

Sung Yong Chun and Minhi Hahn

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 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 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 pp. 153-173

Badi 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 Hoevenaars and Pieter 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 Strauss