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 24, issue 8, 2005

Forecasting and signal extraction with misspecified models pp. 539-556

Tommaso Proietti

Forecasting in the presence of level shifts pp. 557-574

Aaron Smith

Nowcasting quarterly GDP growth in a monthly coincident indicator model pp. 575-592

Luis Nunes

Currency forecasting based on an error components-seemingly unrelated nonlinear regression model pp. 593-605

Winston T. Lin

Volume 24, issue 7, 2005

Statistical surveillance of cyclical processes with application to turns in business cycles pp. 465-490

David Bock, Eva Andersson and Marianne Frisén

Forecasting euro area inflation using dynamic factor measures of underlying inflation pp. 491-503

George Kapetanios and Gonzalo Camba-Mendez

Development of a multifunctional sales response model with the diagnostic aid of artificial neural networks pp. 505-521

Derek W. Bunn and Stefania Pantelidaki

The multi-chain Markov switching model pp. 523-537

Edoardo Otranto

Volume 24, issue 6, 2005

Stochastic models underlying Croston's method for intermittent demand forecasting pp. 389-402

Rob Hyndman and Lydia Shenstone

Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations pp. 403-420

Mark T. Leung and An-Sing Chen

A leading indicator approach to predicting short-term shifts in demand for business travel by air to and from the UK pp. 421-432

Nenad Njegovan

Evaluating forecasts: a look at aggregate bias and accuracy measures pp. 433-451

Dean W. Wichern and Benito E. Flores

A note on in-sample and out-of-sample tests for Granger causality pp. 453-464

Shiu-Sheng Chen

Volume 24, issue 5, 2005

Political manoeuvrings as sources of measurement errors in forecasts pp. 311-324

Susanna-maria Paleologou

Regional econometric income forecast accuracy pp. 325-333

Roberto Tinajero, Thomas Fullerton and Lawrence Waldman

A forecasting procedure for nonlinear autoregressive time series models pp. 335-351

Yuzhi Cai

Long-term sales forecasting using holt-winters and neural network methods pp. 353-368

Markos Papageorgiou, Apostolos Kotsialos and Antonios Poulimenos

Forecasting the dollar|euro exchange rate: are international parities useful? pp. 369-377

Emma García and Simon Sosvilla-Rivero

Identifying the time-effect factors of multiple time series pp. 379-387

Yu-pin Hu

Volume 24, issue 3, 2005

Conditional volatility forecasting in a dynamic hedging model pp. 155-172

Michael S. Haigh

Testing and forecasting the degree of integration in the US inflation rate pp. 173-187

Luis Gil-Alana

Beating the random walk in Central and Eastern Europe pp. 189-201

Jesus Crespo Cuaresma and Jaroslava Hlouskova

A common model approach to macroeconomics: using panel data to reduce sampling error pp. 203-219

William Gavin and Athena T. Theodorou

Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing pp. 221-231

Robert Sollis

Volume 24, issue 2, 2005

Forecasting recessions using the yield curve pp. 77-103

Marcelle Chauvet and Simon Potter

Forecasting nonlinear time series with feed-forward neural networks: a case study of Canadian lynx data pp. 105-117

Yoshio Kajitani, A. Ian Mcleod and Keith W. Hipel

Forecast performance of nonlinear error-correction models with multiple regimes pp. 119-138

Zacharias Psaradakis and Fabio Spagnolo

Forecasting outcomes in spread betting markets: can bettors use 'quarbs' to beat the book? pp. 139-154

David Paton and Leighton Vaughan Williams

Volume 24, issue 1, 2005

Forecasting time series with long memory and level shifts pp. 1-16

Philip Hans Franses and Namwon Hyung

Prediction intervals for exponential smoothing using two new classes of state space models pp. 17-37

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

Forecasting stock prices using a hierarchical Bayesian approach pp. 39-59

Lynn Kuo, Jun Ying and Gim S. Seow

A Bayesian threshold nonlinearity test for financial time series pp. 61-75

Cathy W. S. Chen, Mike K. P. So and Ming-Tien Chen

Volume 23, issue 8, 2004

Comparing the accuracy of density forecasts from competing models pp. 541-557

Giorgio Valente and Lucio Sarno

Probability distributions, trading strategies and leverage: an application of Gaussian mixture models pp. 559-585

Paulo Lisboa, Christian L. Dunis and Andreas Lindemann

A fractal forecasting model for financial time series pp. 586-601

Gordon R. Richards

Value at risk from econometric models and implied from currency options pp. 603-620

James Chong

Resuscitating the cobweb cycle pp. 621-624

Klaus Schenk-Hoppé

Volume 23, issue 7, 2004

Monetary policy, composite leading economic indicators and predicting the 2001 recession pp. 463-477

Mehdi Mostaghimi

Finding good predictors for inflation: a Bayesian model averaging approach pp. 479-496

Sune Karlsson and Tor Jacobson

Unemployment variation over the business cycles: a comparison of forecasting models pp. 497-511

Laura Brown and Saeed Moshiri

Local to unity, long-horizon forecasting thresholds for model selection in the AR(1) pp. 513-539

John Turner

Volume 23, issue 6, 2004

Smooth transition exponential smoothing pp. 385-404

James W. Taylor

Combination forecasts of output growth in a seven-country data set pp. 405-430

Mark Watson and James Stock

Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation pp. 431-447

Gulasekaran Rajaguru and Tilak Abeysinghe

Daily volatility forecasts: reassessing the performance of GARCH models pp. 449-460

Alan E. H. Speight and David G. McMillan

Volume 23, issue 5, 2004

Long-run forecasting in multicointegrated systems pp. 315-335

Tom Engsted, Niels Haldrup and Boriss Siliverstovs

A comparison of temperature density forecasts from GARCH and atmospheric models pp. 337-355

Roberto Buizza and James W. Taylor

Forecasting the Treasury's balance at the Fed pp. 357-371

Daniel Thornton

Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting pp. 373-384

Ioannis Venetis, David Peel and Ivan Paya

Volume 23, issue 4, 2004

Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting pp. 237-250

Angelos Kanas and Yue Ma

Forecast accuracy after pretesting with an application to the stock market pp. 251-274

Jan Magnus and Dmitry Danilov

Updating ARMA predictions for temporal aggregates pp. 275-296

Yue Fang and Sergio G. Koreisha

Human judgments in New York state sales and use tax forecasting pp. 297-314

Kuo-Yuan Liang and Yu-Ying Kuo

Volume 23, issue 3, 2004

Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH pp. 155-171

Jan G. Gooijer and Kurt Brännäs

Vector smooth transition regression models for US GDP and the composite index of leading indicators pp. 173-196

Maximo Camacho

A classifying procedure for signalling turning points pp. 197-214

Lars-Erik Öller and Lasse Koskinen

Robustness of alternative non-linearity tests for SETAR models pp. 215-231

Man-Wai Ng and Wai-Sum Chan

Review of 'Principles of Forecasting', J. Scott Armstrong (ed.), Kluwer Academic Publishers, 2001, ISBN 0-7923-7930-6 pp. 233-235

Lilian M. de Menezes

Volume 23, issue 2, 2004

Do seasonal unit roots matter for forecasting monthly industrial production? pp. 77-88

Philip Hans Franses and Yoshinori Kawasaki

Which survey indicators are useful for monitoring consumption? Evidence from European countries pp. 89-98

W. Jos Jansen and Niek Nahuis

An outlier robust hierarchical Bayes model for forecasting: the case of Hong Kong pp. 99-114

William W. Chow

Can out-of-sample forecast comparisons help prevent overfitting? pp. 115-139

Todd Clark

Bias-corrected bootstrap prediction regions for vector autoregression pp. 141-154

Jae Kim

Volume 23, issue 1, 2004

Forecasts of the seasonal fractional integrated series pp. 1-17

Vivien Guiraud, Michel Terraza and Olivier Darné

Medium-term forecasts of potential GDP and inflation using age structure information pp. 19-49

Thomas Lindh

Forecasting football results and the efficiency of fixed-odds betting pp. 51-66

Ioannis Asimakopoulos and John Goddard

Forecasting commercial paper rates pp. 67-76

William Carlson, Celia Varick and Conway Lackman