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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.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

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Volume 28, issue 8, 2009

Retail default prediction by using sequential minimal optimization technique pp. 651-666 Downloads
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 Downloads
Joshy Easaw and Saeed Heravi
Volatility forecasting with double Markov switching GARCH models pp. 681-697 Downloads
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 Downloads
Chew Chua and Sarantis Tsiaplias
A threshold factor multivariate stochastic volatility model pp. 712-735 Downloads
Mike K. P. So and C. Y. Choi
Evaluating volatility dynamics and the forecasting ability of Markov switching models pp. 736-744 Downloads
George S. Parikakis and Anna Merika

Volume 28, issue 7, 2009

Modelling time series with season-dependent autocorrelation structure pp. 559-574 Downloads
Yorghos Tripodis and Jeremy Penzer
Adaptive forecasting of the EURIBOR swap term structure pp. 575-594 Downloads
Oliver Blaskowitz and Helmut Herwartz
Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise pp. 595-611 Downloads
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 Downloads
Theologos Pantelidis and Nikitas Pittis
Forecasting in large cointegrated processes pp. 631-650 Downloads
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 Downloads
David T. L. Siu and John Okunev
Residual income, non-earnings information, and information content pp. 487-511 Downloads
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 Downloads
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 Downloads
Paras Shah and Allon Guez
Risk factor beta conditional value-at-risk pp. 549-558 Downloads
Andrei Semenov

Volume 28, issue 5, 2009

Forecasting using high-frequency data: a comparison of asymmetric financial duration models pp. 371-386 Downloads
Qi Zhang, Charlie X Cai and Kevin Keasey
A New-Keynesian DSGE model for forecasting the South African economy pp. 387-404 Downloads
Guangling Liu, Rangan Gupta and Eric Schaling
Forecasting growth and inflation in an enlarged euro area pp. 405-425 Downloads
Thomas Flavin, Ekaterini Panopoulou and Theologos Pantelidis
How efficient is the European football betting market? Evidence from arbitrage and trading strategies pp. 426-444 Downloads
Nikolaos Vlastakis, George Dotsis and Raphael Markellos
On a robust test for SETAR-type nonlinearity in time series analysis pp. 445-464 Downloads
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 Downloads
Janchung Wang
Discrete Euler processes and their applications pp. 293-315 Downloads
Chu-Ping C. Vijverberg and Henry L. Gray
Modelling and forecasting time series sampled at different frequencies pp. 316-342 Downloads
José Casals, Miguel Jerez and Sonia Sotoca
Related-variables selection in temporal disaggregation pp. 343-357 Downloads
Kosei Fukuda
P|E changes: some new results pp. 358-370 Downloads
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 Downloads
Hui Feng
Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank pp. 194-217 Downloads
Alberto Cabrero Bravo, Gonzalo Camba-Mendez, Astrid Hirsch and Fernando Nieto
A new Bayesian formulation for Holt's exponential smoothing pp. 218-234 Downloads
Robert R. Andrawis and Amir Atiya
Simultaneous prediction intervals for ARMA processes with stable innovations pp. 235-246 Downloads
John P. Nolan and Nalini Ravishanker
On a dynamic mixture GARCH model pp. 247-265 Downloads
Xixin Cheng, Philip Yu and W. K. Li
A robust Cusum test for SETAR-type nonlinearity in time series pp. 266-276 Downloads
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 Downloads
K. S. Man and G. C. Tiao
A high-low model of daily stock price ranges pp. 103-119 Downloads
Yan-Leung Cheung, Yin-Wong Cheung and Alan Wan
Strategic bias and professional affiliations of macroeconomic forecasters pp. 120-130 Downloads
Masahiro Ashiya
Forecasting US inflation by Bayesian model averaging pp. 131-144 Downloads
Jonathan Wright
Forecasting the FOMC's interest rate setting behavior: a further analysis pp. 145-165 Downloads
Hyeongwoo Kim, John Jackson and Richard Saba
Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment pp. 167-182 Downloads
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 Downloads
Lennart Sjöberg
Expectations, use and judgmental adjustment of external financial and economic forecasts: an empirical investigation pp. 19-37 Downloads
Sinan Gönül, Dilek Önkal and Paul Goodwin
Optimal sampling frequency for volatility forecast models for the Indian stock markets pp. 38-54 Downloads
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 Downloads
Martin Spann and Bernd Skiera
Parsimonious modeling and forecasting of corporate yield curve pp. 73-88 Downloads
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 Downloads
Angelos Kanas
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta pp. 670-689 Downloads
Taufiq Choudhry and Hao Wu
Asymptotic prediction of mean squared error for long-memory processes with estimated parameters pp. 690-720 Downloads
Naoya Katayama
The predictive value of temporally disaggregated volatility: evidence from index futures markets pp. 721-742 Downloads
Nick Taylor

Volume 27, issue 7, 2008

Forecasting volatility with outliers in GARCH models pp. 551-565 Downloads
Amelie Charles
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models pp. 566-586 Downloads
Konrad Banachewicz and Andre Lucas
Power transformation models and volatility forecasting pp. 587-606 Downloads
Perry Sadorsky and Michael D. McKenzie
Is it a short-memory, long-memory, or permanently Granger-causation influence? pp. 607-620 Downloads
Wen-Den Chen
Tourism in the Canary Islands: forecasting using several seasonal time series models pp. 621-636 Downloads
Luis Gil-Alana, Juncal Cuñado and Fernando Pérez de Gracia
Traditional versus novel forecasting techniques: how much do we gain? pp. 637-648 Downloads
Viviana Fernandez

Volume 27, issue 6, 2008

Forecasting euro area variables with German pre-EMU data pp. 465-481 Downloads
Ralf Brüggemann, Helmut Lütkepohl and Massimiliano Marcellino
An assessment of the EU growth forecasts under asymmetric preferences pp. 483-492 Downloads
George A. Christodoulakis and Emmanuel Mamatzakis
Bankruptcy prediction using a discrete-time duration model incorporating temporal and macroeconomic dependencies pp. 493-506 Downloads
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 Downloads
Yanying Li
The geometric combination of Bayesian forecasting models pp. 519-535 Downloads
A. E. Faria and E. Mubwandarikwa
Scalar BEKK and indirect DCC pp. 537-549 Downloads
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 Downloads
Marie Diron
Seasonal prediction of European cereal prices: good forecasts using bad models? pp. 391-406 Downloads
Adusei Jumah and Robert Kunst
Direction-of-change forecasting using a volatility-based recurrent neural network pp. 407-417 Downloads
Stelios Bekiros and Dimitris Georgoutsos
Combining forecasts using optimal combination weight and generalized autoregression pp. 419-432 Downloads
Jeong-Ryeol Kurz-Kim
Improving moving average trading rules with boosting and statistical learning methods pp. 433-449 Downloads
Julian Andrada-Felix and Fernando Fernández-Rodríguez
Prediction in the two-way random-effect model with heteroskedasticity pp. 451-463 Downloads
Eugene Kouassi and Kern O. Kymn

Volume 27, issue 4, 2008

Forecasting commodity prices: GARCH, jumps, and mean reversion pp. 279-291 Downloads
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 Downloads
Dimitris Christopoulos and Miguel Leon-Ledesma
A linear benchmark for forecasting GDP growth and inflation? pp. 305-340 Downloads
Massimiliano Marcellino
Forecasting for the LCD monitor market pp. 341-356 Downloads
Shin-Lian Lo, Fu-Kwun Wang and James T. Lin
A diffusion model for products with indirect network externalities pp. 357-370 Downloads
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 Downloads
Hiroshi Shiraishi and Masanobu Taniguchi
Single-index and portfolio models for forecasting value-at-risk thresholds pp. 217-235 Downloads
Michael McAleer and Bernardo da Veiga
How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach pp. 237-265 Downloads
Sandra Eickmeier and Christina Ziegler
Forecasting volatility with noisy jumps: an application to the Dow Jones Industrial Average stocks pp. 267-278 Downloads
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 Downloads
Namwon Hyung and Clive Granger
On forecasting counts pp. 109-129 Downloads
Brajendra C. Sutradhar
Linear and threshold forecasts of output and inflation using stock and housing prices pp. 131-151 Downloads
Greg Tkacz and Carolyn Wilkins
Forecasting with panel data pp. 153-173 Downloads
Badi Baltagi
Forecast covariances in the linear multiregression dynamic model pp. 175-191 Downloads
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 Downloads
Michael McAleer and Bernardo da Veiga
Forecasting market impact costs and identifying expensive trades pp. 21-39 Downloads
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 Downloads
Pär Österholm
Forecasting changes in UK interest rates pp. 53-74 Downloads
Tae-Hwan Kim, Paul Mizen and Thanaset Chevapatrakul
Forecasting US employment growth using forecast combining methods pp. 75-93 Downloads
David E. Rapach and Jack Strauss
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