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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.
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Volume 26, issue 8, 2007

Covariance estimation for multivariate conditionally Gaussian dynamic linear models pp. 551-569 Downloads
Kostas Triantafyllopoulos
Impact of corrections for dynamic selection bias on forecasts of retention behavior pp. 571-582 Downloads
Yang Li and Walter J. Mayer
International equity flows and the predictability of US stock returns pp. 583-599 Downloads
Daniel Hartmann and Christian Pierdzioch
Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models pp. 601-619 Downloads
Ilias Lekkos, Costas Milas and Theodore Panagiotidis

Volume 26, issue 7, 2007

The extended switching regression model: allowing for multiple latent state variables pp. 457-473 Downloads
Arie Preminger, Uri Ben-zion and David Wettstein
Regression-based modeling of market option prices: with application to S&P500 options pp. 475-496 Downloads
Gurupdesh S. Pandher
Evaluation of correlation forecasting models for risk management pp. 497-526 Downloads
Vasiliki Skintzi and Spyros Xanthopoulos-Sisinis
Forecasting the price of crude oil via convenience yield predictions pp. 527-549 Downloads
Thomas Knetsch

Volume 26, issue 6, 2007

Predictive power and unbiasedness of implied forward charter rates pp. 385-403 Downloads
Amir Alizadeh, Roar Os Ådland and Steen Koekebakker
Estimating and forecasting the long-memory parameter in the presence of periodicity pp. 405-427 Downloads
Cleber Bisognin and S. R. C. Lopes
Forecasting real-time data allowing for data revisions pp. 429-444 Downloads
Kosei Fukuda
Forecasting domestic liquidity during a crisis: what works best? pp. 445-455 Downloads
Winston Moore

Volume 26, issue 5, 2007

Econometric modelling for short-term inflation forecasting in the euro area pp. 303-316 Downloads
Antoni Espasa and Rebeca Albacete
A semiparametric method for predicting bankruptcy pp. 317-342 Downloads
Ruey-Ching Hwang, K. F. Cheng and Jack C. Lee
Forecasting volatility by means of threshold models pp. 343-363 Downloads
M. Pilar Muñoz, M.Dolores Márquez Cebrián and Lesly M. Acosta
Can panel data really improve the predictability of the monetary exchange rate model? pp. 365-383 Downloads
Joakim Westerlund and Syed Basher

Volume 26, issue 4, 2007

Optimal forecast intervals under asymmetric loss pp. 227-238 Downloads
Matei Demetrescu
Order series method for forecasting non-Gaussian time series pp. 239-250 Downloads
Ming- De Chuang and Gwo-Hsing Yu
Validating multiple-period density-forecasting models pp. 251-270 Downloads
Kevin Dowd
Forecasting German GDP using alternative factor models based on large datasets pp. 271-302 Downloads
Christian Schumacher

Volume 26, issue 3, 2007

On estimating contemporaneous quarterly regional GDP pp. 155-170 Downloads
Bernardí Cabrer-Borrás and Jose Manuel Pavía-Miralles
Time-simultaneous prediction band for a time series pp. 171-188 Downloads
Dag Kolsrud
Single-season heteroscedasticity in time series pp. 189-202 Downloads
Jeremy Penzer and Yorghos Tripodis
Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003; see Bao et al. (2004) pp. 203-225 Downloads
Tae Hwy Lee, Yong Bao and Burak Saltoğlu

Volume 26, issue 2, 2007

The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries pp. 77-94 Downloads
Giuseppe Parigi and Roberto Golinelli
Optimal prediction with nonstationary ARFIMA model pp. 95-111 Downloads
Mohamed Boutahar
Using a heterogeneous multinomial probit model with a neural net extension to model brand choice pp. 113-127 Downloads
Harald Hruschka
Traditional versus unobserved components methods to forecast quarterly national account aggregates pp. 129-153 Downloads
Gustavo Marrero

Volume 26, issue 1, 2007

Forecasting inflation using economic indicators: the case of France pp. 1-22 Downloads
Olivier de Bandt, E. Michaux, C. Bruneau and A. Flageollet
Measuring downside risk and severity for global output pp. 23-32 Downloads
Yudong Yao and Yan Wang
Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models This is a significantly revised version of our previous paper, 'Forecasting US Business Fixed Investment Spending'. The results reported in this paper were generated using GAUSS 6.0. The GAUSS programs are available at http:|||faculty|rapachde|Research.htm pp. 33-51 Downloads
Mark Wohar and David E. Rapach
Ex post and ex ante prediction of unobserved multivariate time series: a structural-model based approach pp. 53-76 Downloads
Fabio H. Nieto

Volume 25, issue 8, 2006

A semi-parametric time series approach in modeling hourly electricity loads pp. 537-559 Downloads
Rong Chen, John L. Harris, Jun M. Liu and Lon-Mu Liu
Garch forecasting performance under different distribution assumptions pp. 561-578 Downloads
Anders Wilhelmsson
Average conditional correlation and tree structures for multivariate GARCH models pp. 579-600 Downloads
Giovanni Barone-Adesi and Francesco Audrino

Volume 25, issue 7, 2006

Understanding and predicting sovereign debt rescheduling: a comparison of the areas under receiver operating characteristic curves pp. 459-479 Downloads
Pedro Rodriguez and Arnulfo Rodriguez
Bias in the estimation of non-linear transformations of the integrated variance of returns pp. 481-494 Downloads
Cherif Guermat and Richard Harris
A markup model for forecasting inflation for the euro area pp. 495-511 Downloads
Anindya Banerjee and Bill Russell
A hybrid forecasting approach for piece-wise stationary time series pp. 513-527 Downloads
Ronald Bewley and Minxian Yang
A stochastic proportional hazard model for the force of mortality pp. 529-536 Downloads
Marilena Sibillo, Emilia Di Lorenzo and Gerarda Tessitore

Volume 25, issue 6, 2006

Forecasting volatility pp. 381-400 Downloads
Athanasia Gavala, Nikolay Gospodinov and Deming Jiang
Are forecasters reluctant to revise their predictions? Some German evidence pp. 401-413 Downloads
Ulrich K. Müller and Gebhard Kirchgässner
Performance evaluation of the New Connecticut Leading Employment Index using lead profiles and BVAR models pp. 415-437 Downloads
Pami Dua, Anirvan Banerji and Stephen Miller
Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence pp. 439-458 Downloads
Antonio Rubia and Trino Ñíguez Grau

Volume 25, issue 5, 2006

The evolution of sales forecasting management: a 20-year longitudinal study of forecasting practices pp. 303-324 Downloads
Donna F. Davis, John T. Mentzer, Teresa M. McCarthy and Susan L. Golicic
A non-Gaussian generalization of the Airline model for robust seasonal adjustment pp. 325-349 Downloads
Siem Jan Koopman and John A. D. Aston
Long-memory dynamic Tobit models pp. 351-367 Downloads
N. H. Chan and A. E. Brockwell
Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory pp. 369-380 Downloads
Benjamin J. C. Kim and David Karemera

Volume 25, issue 4, 2006

Non-linear, non-parametric, non-fundamental exchange rate forecasting pp. 227-245 Downloads
Jing Yang and Nikola Gradojevic
Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter pp. 247-273 Downloads
Thomas Trimbur
Random walk hypothesis in exchange rate reconsidered pp. 275-290 Downloads
Hsin-Min Lu and Chia-Shang J. Chu
Long-memory forecasting of US monetary indices pp. 291-302 Downloads
Christopher Baum and John Barkoulas

Volume 25, issue 3, 2006

Gamma stochastic volatility models pp. 153-171 Downloads
N. Balakrishna, Bovas Abraham and Ranjini Sivakumar
Comparison of two non-parametric models for daily traffic forecasting in Hong Kong pp. 173-192 Downloads
Y. F. Tang, William H. K. Lam and Mei-Lam Tam
Estimating the long memory granger causality effect with a spectrum estimator pp. 193-200 Downloads
Wen-Den Chen
Are 16-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts pp. 201-207 Downloads
Masahiro Ashiya
The importance of interest rates for forecasting the exchange rate pp. 209-221 Downloads
Håvard Hungnes and Hilde Bjørnland
Evaluating probability forecasts in terms of refinement and strictly proper scoring rules pp. 223-226 Downloads
Walter Krämer

Volume 25, issue 2, 2006

A Bayesian nonlinear support vector machine error correction model pp. 77-100 Downloads
Carine Brasseur, Marcelo Espinoza, Johan A. K. Suykens, Tony van Gestel, Bart Baesens and Bart De Moor
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check pp. 101-128 Downloads
Tae Hwy Lee, Yong Bao and Burak Saltoğlu
Autoregressive gamma processes pp. 129-152 Downloads
Joann Jasiak and Christian Gourieroux

Volume 25, issue 1, 2006

Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model pp. 1-23 Downloads
Fabio Busetti
Testing the rationality of forecast revisions made by the IMF and the OECD pp. 25-36 Downloads
Masahiro Ashiya
A cautionary note on outlier robust estimation of threshold models pp. 37-47 Downloads
Paolo Giordani
Building neural network models for time series: a statistical approach pp. 49-75 Downloads
Timo Teräsvirta, Marcelo Medeiros and Gianluigi Rech
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