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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 24, issue 8, 2005

Forecasting and signal extraction with misspecified models pp. 539-556 Downloads
Tommaso Proietti
Forecasting in the presence of level shifts pp. 557-574 Downloads
Aaron Smith
Nowcasting quarterly GDP growth in a monthly coincident indicator model pp. 575-592 Downloads
Luis Nunes
Currency forecasting based on an error components-seemingly unrelated nonlinear regression model pp. 593-605 Downloads
Winston T. Lin

Volume 24, issue 7, 2005

Statistical surveillance of cyclical processes with application to turns in business cycles pp. 465-490 Downloads
David Bock, Eva Andersson and Marianne Frisén
Forecasting euro area inflation using dynamic factor measures of underlying inflation pp. 491-503 Downloads
George Kapetanios and Gonzalo Camba-Mendez
Development of a multifunctional sales response model with the diagnostic aid of artificial neural networks pp. 505-521 Downloads
Derek W. Bunn and Stefania Pantelidaki
The multi-chain Markov switching model pp. 523-537 Downloads
Edoardo Otranto

Volume 24, issue 6, 2005

Stochastic models underlying Croston's method for intermittent demand forecasting pp. 389-402 Downloads
Rob Hyndman and Lydia Shenstone
Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations pp. 403-420 Downloads
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 Downloads
Nenad Njegovan
Evaluating forecasts: a look at aggregate bias and accuracy measures pp. 433-451 Downloads
Dean W. Wichern and Benito E. Flores
A note on in-sample and out-of-sample tests for Granger causality pp. 453-464 Downloads
Shiu-Sheng Chen

Volume 24, issue 5, 2005

Political manoeuvrings as sources of measurement errors in forecasts pp. 311-324 Downloads
Susanna-maria Paleologou
Regional econometric income forecast accuracy pp. 325-333 Downloads
Roberto Tinajero, Thomas Fullerton and Lawrence Waldman
A forecasting procedure for nonlinear autoregressive time series models pp. 335-351 Downloads
Yuzhi Cai
Long-term sales forecasting using holt-winters and neural network methods pp. 353-368 Downloads
Markos Papageorgiou, Apostolos Kotsialos and Antonios Poulimenos
Forecasting the dollar|euro exchange rate: are international parities useful? pp. 369-377 Downloads
Emma García and Simon Sosvilla-Rivero
Identifying the time-effect factors of multiple time series pp. 379-387 Downloads
Yu-pin Hu

Volume 24, issue 3, 2005

Conditional volatility forecasting in a dynamic hedging model pp. 155-172 Downloads
Michael S. Haigh
Testing and forecasting the degree of integration in the US inflation rate pp. 173-187 Downloads
Luis Gil-Alana
Beating the random walk in Central and Eastern Europe pp. 189-201 Downloads
Jesus Crespo Cuaresma and Jaroslava Hlouskova
A common model approach to macroeconomics: using panel data to reduce sampling error pp. 203-219 Downloads
William Gavin and Athena T. Theodorou
Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing pp. 221-231 Downloads
Robert Sollis

Volume 24, issue 2, 2005

Forecasting recessions using the yield curve pp. 77-103 Downloads
Marcelle Chauvet and Simon Potter
Forecasting nonlinear time series with feed-forward neural networks: a case study of Canadian lynx data pp. 105-117 Downloads
Yoshio Kajitani, A. Ian Mcleod and Keith W. Hipel
Forecast performance of nonlinear error-correction models with multiple regimes pp. 119-138 Downloads
Zacharias Psaradakis and Fabio Spagnolo
Forecasting outcomes in spread betting markets: can bettors use 'quarbs' to beat the book? pp. 139-154 Downloads
David Paton and Leighton Vaughan Williams

Volume 24, issue 1, 2005

Forecasting time series with long memory and level shifts pp. 1-16 Downloads
Philip Hans Franses and Namwon Hyung
Prediction intervals for exponential smoothing using two new classes of state space models pp. 17-37 Downloads
Anne B. Koehler, Rob Hyndman, Ralph Snyder and Keith Ord
Forecasting stock prices using a hierarchical Bayesian approach pp. 39-59 Downloads
Lynn Kuo, Jun Ying and Gim S. Seow
A Bayesian threshold nonlinearity test for financial time series pp. 61-75 Downloads
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 Downloads
Giorgio Valente and Lucio Sarno
Probability distributions, trading strategies and leverage: an application of Gaussian mixture models pp. 559-585 Downloads
Paulo Lisboa, Christian L. Dunis and Andreas Lindemann
A fractal forecasting model for financial time series pp. 586-601 Downloads
Gordon R. Richards
Value at risk from econometric models and implied from currency options pp. 603-620 Downloads
James Chong
Resuscitating the cobweb cycle pp. 621-624 Downloads
Klaus Schenk-Hoppé

Volume 23, issue 7, 2004

Monetary policy, composite leading economic indicators and predicting the 2001 recession pp. 463-477 Downloads
Mehdi Mostaghimi
Finding good predictors for inflation: a Bayesian model averaging approach pp. 479-496 Downloads
Sune Karlsson and Tor Jacobson
Unemployment variation over the business cycles: a comparison of forecasting models pp. 497-511 Downloads
Laura Brown and Saeed Moshiri
Local to unity, long-horizon forecasting thresholds for model selection in the AR(1) pp. 513-539 Downloads
John Turner

Volume 23, issue 6, 2004

Smooth transition exponential smoothing pp. 385-404 Downloads
James W. Taylor
Combination forecasts of output growth in a seven-country data set pp. 405-430 Downloads
Mark Watson and James Stock
Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation pp. 431-447 Downloads
Gulasekaran Rajaguru and Tilak Abeysinghe
Daily volatility forecasts: reassessing the performance of GARCH models pp. 449-460 Downloads
Alan E. H. Speight and David G. McMillan

Volume 23, issue 5, 2004

Long-run forecasting in multicointegrated systems pp. 315-335 Downloads
Tom Engsted, Niels Haldrup and Boriss Siliverstovs
A comparison of temperature density forecasts from GARCH and atmospheric models pp. 337-355 Downloads
Roberto Buizza and James W. Taylor
Forecasting the Treasury's balance at the Fed pp. 357-371 Downloads
Daniel Thornton
Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting pp. 373-384 Downloads
Ioannis Venetis, David Peel and Ivan Paya

Volume 23, issue 4, 2004

Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting pp. 237-250 Downloads
Angelos Kanas and Yue Ma
Forecast accuracy after pretesting with an application to the stock market pp. 251-274 Downloads
Jan Magnus and Dmitry Danilov
Updating ARMA predictions for temporal aggregates pp. 275-296 Downloads
Yue Fang and Sergio G. Koreisha
Human judgments in New York state sales and use tax forecasting pp. 297-314 Downloads
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 Downloads
Jan G. Gooijer and Kurt Brännäs
Vector smooth transition regression models for US GDP and the composite index of leading indicators pp. 173-196 Downloads
Maximo Camacho
A classifying procedure for signalling turning points pp. 197-214 Downloads
Lars-Erik Öller and Lasse Koskinen
Robustness of alternative non-linearity tests for SETAR models pp. 215-231 Downloads
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 Downloads
Lilian M. de Menezes

Volume 23, issue 2, 2004

Do seasonal unit roots matter for forecasting monthly industrial production? pp. 77-88 Downloads
Philip Hans Franses and Yoshinori Kawasaki
Which survey indicators are useful for monitoring consumption? Evidence from European countries pp. 89-98 Downloads
W. Jos Jansen and Niek Nahuis
An outlier robust hierarchical Bayes model for forecasting: the case of Hong Kong pp. 99-114 Downloads
William W. Chow
Can out-of-sample forecast comparisons help prevent overfitting? pp. 115-139 Downloads
Todd Clark
Bias-corrected bootstrap prediction regions for vector autoregression pp. 141-154 Downloads
Jae Kim

Volume 23, issue 1, 2004

Forecasts of the seasonal fractional integrated series pp. 1-17 Downloads
Vivien Guiraud, Michel Terraza and Olivier Darné
Medium-term forecasts of potential GDP and inflation using age structure information pp. 19-49 Downloads
Thomas Lindh
Forecasting football results and the efficiency of fixed-odds betting pp. 51-66 Downloads
Ioannis Asimakopoulos and John Goddard
Forecasting commercial paper rates pp. 67-76 Downloads
William Carlson, Celia Varick and Conway Lackman
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