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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 20, issue 8, 2001

Misspecified Prediction for Time Series pp. 543-64

In-Bong Choi and Masanobu Taniguchi

Outlier Detection in Regression Models with ARIMA Errors Using Robust Estimates pp. 565-79

Bianco, Ana Maria, et al

Forecasting with k-Factor Gegenbauer Processes: Theory and Applications pp. 581-601

Laurent Ferrara and Dominique Guegan

Predicting LDC Debt Rescheduling: Performance Evaluation of OLS, Logit, and Neural Network Models pp. 603-15

Douglas K Barney and Janardhanan A Alse

Volume 20, issue 7, 2001

Model Specification and Forecasting Foreign Exchange Rates with Vector Autoregressions pp. 451-84

Nathan Lael Joseph

Modelling the Frequency and Severity of Extreme Exchange Rate Returns pp. 485-99

Ping-Hung Hsieh

Forecasting High-Frequency Financial Data with the ARFIMA-ARCH Model pp. 501-18

Michael A Hauser and Robert Kunst

Term Premia and the Maturity Composition of the Federal Debt: New Evidence from the Term Structure of Interest Rates pp. 519-39

Basma Bekdache

A Re-examination of the Excess Smoothness Puzzle When Consumers Estimate the Income Process: Erratum pp. 541

Anurag Banerjee and P Basu

Volume 20, issue 6, 2001

The Approximation of Long-Memory Processes by an ARMA Model pp. 367-89

Gopal K Basak, Ngai Hang Chan and Wilfredo Palma

Risk Premia and Long Rates in Ireland pp. 391-403

Keith Cuthbertson and Don Bredin

Forecasting UK Industrial Production over the Business Cycle pp. 405-24

Paul W Simpson, Denise Osborn and Marianne Sensier

Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection pp. 425-40

Norman Swanson and Tian Zeng

Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment pp. 441-49

H Liu and Stephen Hall

Volume 20, issue 5, 2001

Forecasting Output Growth Rates and Median Output Growth Rates: A Hierarchical Bayesian Approach pp. 297-314

Justin Tobias

A Linear Forecasting Model and Its Application to Economic Data pp. 315-28

Georg Peters

A Fractionally Integrated Exponential Model for UK Unemployment pp. 329-40

Luis Gil-Alana

Filters for Short Non-stationary Sequences pp. 341-55

David Pollock

A Re-examination of the Excess Smoothness Puzzle When Consumers Estimate the Income Process pp. 357-66

Anurag Banerjee and Parantap Basu

Volume 20, issue 4, 2001

A Forecasting Comparison of Classical and Bayesian Methods for Modelling Logistic Diffusion pp. 231-47

Ronald Bewley and William Griffiths

Modelling the Development of Supply-Restricted Telecommunications Markets pp. 249-64

Towhidul Islam and Denzil Fiebig

Guaranteed-Content Prediction Intervals for Non-linear Autoregressions pp. 265-72

Xavier de Luna

Identification of Asymmetric Prediction Intervals through Causal Forces pp. 273-83

J. Armstrong and Fred Collopy

Robust Evaluation of Fixed-Event Forecast Rationality pp. 285-95

Michael Clements and Nick Taylor

Volume 20, issue 3, 2001

Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order pp. 161-79

Lutz Kilian

Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting pp. 181-96

Chris Brooks and Melvin Hinich

Exponential Smoothing of Seasonal Data: A Comparison pp. 197-202

Ralph Snyder and Roland G Shami

Sensitivity of Univariate AR(1) Time-Series Forecasts Near the Unit Root pp. 203-29

Anurag Banerjee

Volume 20, issue 2, 2001

Evaluating the Predictive Accuracy of Volatility Models pp. 87-109

Jose Lopez

Robust Modelling of ARCH Models pp. 111-33

Jiancheng Jiang, Quanshui Zhao and Yer Van Hui

A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate pp. 135-43

Chris Brooks

Cross-Correlations and Predictability of Stock Returns pp. 145-60

Dennis Olson and C Mossman

Volume 20, issue 1, 2001

Testing in Unobserved Components Models pp. 1-19

Andrew Harvey

Alternative Regime Switching Models for Forecasting Inflation pp. 21-35

Prasad Bidarkota

Empirical Analysis of Systematic Errors in Chilean GDP Forecasts pp. 37-45

Romulo Chumacero

Analysis of the US Business Cycle with a Vector-Markov-Switching Model pp. 47-61

Zenon Kontolemis

An Aggregate Sales Model for Consumer Durables Incorporating a Time-Varying Mean Replacement Age pp. 63-77

Paul R Steffens

Bounds for the Least Squares Extrapolation in Non-linear AR(1) Processes pp. 79-86

Jiri Andel