Content
March 2014, Volume 33, Issue 2
- 124-133 Nonparametric Quantile Regression‐Based Classifiers for Bankruptcy Forecasting
by Pedro Lorca & Manuel Landajo & Javier De Andrés - 134-146 A Neuro‐wavelet Model for the Short‐Term Forecasting of High‐Frequency Time Series of Stock Returns
by Luis Ortega & Khaldoun Khashanah - 147-161 Long‐Run and Cyclical Dynamics in the US Stock Market
by Guglielmo Maria Caporale & Luis Gil‐Alana
January 2014, Volume 33, Issue 1
- 1-14 US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010
by Michael P. Clements - 15-31 In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence
by Helmut Herwartz & Konstantin A. Kholodilin - 32-46 Building Scenarios of Multiple Time Series that Take into Account the Effects of an Expected Intervention
by Víctor M. Guerrero & Eliud Silva & Nicolás Gómez - 47-68 Introducing the Euro Area‐wide Leading Indicator (ALI): Real‐Time Signals of Turning Points in the Growth Cycle from 2007 to 2011
by Gabe J. Bondt & Elke Hahn - 69-79 Do Experts’ SKU Forecasts Improve after Feedback?
by Rianne Legerstee & Philip Hans Franses - 80-94 Hierarchical Shrinkage in Time‐Varying Parameter Models
by Miguel A.G. Belmonte & Gary Koop & Dimitris Korobilis
December 2013, Volume 32, Issue 8
- 673-684 Forecasting Simultaneously High‐Dimensional Time Series: A Robust Model‐Based Clustering Approach
by Yongning Wang & Ruey S. Tsay & Johannes Ledolter & Keshab M. Shrestha - 685-701 Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model
by Ioannis Vlachos & Dimitris Kugiumtzis - 702-723 Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?
by Wali Ullah & Yoshihiko Tsukuda & Yasumasa Matsuda - 724-742 Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
by Axel Groß‐KlußMann & Nikolaus Hautsch - 743-754 Forecasting Volatility with Many Predictors
by Tsung‐Han Ke & Yu‐Pin Hu - 755-768 Prediction in an Unbalanced Nested Error Components Panel Data Model
by Badi H. Baltagi & Alain Pirotte
November 2013, Volume 32, Issue 7
- 577-586 Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area
by Monica Billio & Laurent Ferrara & Dominique Guégan & Gian Luigi Mazzi - 587-599 A Dynamic Factor Approach to Mortality Modeling
by Declan French & Colin O'Hare - 600-612 The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach
by Hossein Asgharian & Ai Jun Hou & Farrukh Javed - 613-627 Weighted Empirical Likelihood Estimator for Vector Multiplicative Error Model
by Hao Ding & Kai‐pui Lam - 628-638 Forecasting Call Centre Arrivals
by David Millán‒Ruiz & J. Ignacio Hidalgo - 639-653 Forecasting the Effects of a Canada–US Currency Union on Output and Prices: A Counterfactual Analysis
by S. Mahdi Barakchian - 654-672 A Novel Credit Rating Migration Modeling Approach Using Macroeconomic Indicators
by Koen Berteloot & Wouter Verbeke & Gerd Castermans & Tony Van Gestel & David Martens & Bart Baesens
September 2013, Volume 32, Issue 6
- 481-499 Predicting Recessions with Factor Linear Dynamic Harmonic Regressions
by Marcos Bujosa & Antonio García‐Ferrer & Aránzazu Juan - 500-511 Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors
by Marie Bessec - 512-521 An Option‐Based Approach to Risk Arbitrage in Emerging Markets: Evidence from Taiwan Takeover Attempts
by Luke Lin & Li‐Huei Lan & Shuang‐shii Chuang - 522-533 Comparison of Realized Measure and Implied Volatility in Forecasting Volatility
by Heejoon Han & Myung D. Park - 534-550 Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
by Richard Gerlach & Zudi Lu & Hai Huang - 551-560 Quantile Double AR Time Series Models for Financial Returns
by Yuzhi Cai & Gabriel Montes‐Rojas & Jose Olmo - 561-576 The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting
by Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes
August 2013, Volume 32, Issue 5
- 385-394 Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
by Lutz Kilian & Bruce Hicks - 395-408 Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
by Hossein Hassani & Saeed Heravi & Anatoly Zhigljavsky - 409-422 Direction‐of‐Change Financial Time Series Forecasting using a Similarity‐Based Classification Model
by Andrew Skabar - 423-434 Comparing Small‐ and Large‐Scale Models of Multicategory Buying Behavior
by Harald Hruschka - 435-451 Long‐Term Forecasting of Global Carbon Dioxide Emissions: Reducing Uncertainties Using a Per Capita Approach
by Ross Mckitrick & Mark C. Strazicich & Junsoo Lee - 452-468 Early Warning with Calibrated and Sharper Probabilistic Forecasts
by Reason L. Machete - 469-480 Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range
by Manabu Asai
July 2013, Volume 32, Issue 4
- 289-298 Nowcasting with Google Trends in an Emerging Market
by Yan Carrière‐Swallow & Felipe Labbé - 299-306 Nowcasting Business Cycles Using Toll Data
by Nikolaos Askitas & Klaus F. Zimmermann - 307-332 Shrinkage‐Based Tests of Predictability
by Pablo Matias Pincheira Brown - 333-338 Prediction in the Random Effects Model with MA (q) Remainder Disturbances
by Badi H. Baltagi & Long Liu - 339-352 Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
by Massimiliano Caporin & Juliusz Preś - 353-368 On the Predictive Content of Autoregression Residuals: A Semiparametric, Copula‐Based Approach to Time Series Prediction
by Helmut Herwartz - 369-384 Hurricane Lifespan Modeling through a Semi‐Markov Parametric Approach
by Giovanni Masala
April 2013, Volume 32, Issue 3
- 193-214 Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model
by Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen - 215-225 Estimation and Prediction Tests of Cash Flow Forecast Accuracy
by Choong‐Yuel Yoo & Jinhan Pae - 226-246 Forecasting the European Credit Cycle Using Macroeconomic Variables
by Florian Ielpo - 247-255 Global Capital Flows, Time‐Varying Fundamentals and Transitional Exchange Rate Dynamics
by Suleyman H. Kal - 256-266 Constant versus Time‐Varying Beta Models: Further Forecast Evaluation
by Jonathan J. Reeves & Haifeng Wu - 267-288 International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord
by Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral
March 2013, Volume 32, Issue 2
- 97-110 Testing Interval Forecasts: A GMM‐Based Approach
by Elena‐Ivona Dumitrescu & Christophe Hurlin & Jaouad Madkour - 111-123 Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach
by Rafael B. Rezende & Mauro S. Ferreira - 124-136 Combining Economic Forecasts by Using a Maximum Entropy Econometric Approach
by Blanca Moreno & Ana Jesús López - 137-150 Generalised Estimators for Seasonal Forecasting by Combining Grouping with Shrinkage Approaches
by Kui Zhang & Huijing Chen & John Boylan & Philip Scarf - 151-166 Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach
by Andrey Vasnev & Margaret Skirtun & Laurent Pauwels - 167-179 A Meta‐learning Framework for Bankruptcy Prediction
by Chih‐Fong Tsai & Yu‐Feng Hsu - 180-192 Predicting Business Failure Using an RSF‐based Case‐Based Reasoning Ensemble Forecasting Method
by Hui Li & Jie Sun
January 2013, Volume 32, Issue 1
- 1-9 Does Information Help Intra‐Day Volatility Forecasts?
by David G. McMillan & Raquel Quiroga García - 10-18 Forecasting Private Consumption by Consumer Surveys
by Christian Dreger & Konstantin Arkadievich Kholodilin - 19-31 Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
by Anders Wilhelmsson - 32-40 Nonlinear Forecasting Using Factor‐Augmented Models
by Bruno Cara Giovannetti - 41-50 Optimal Hedge Ratio Estimation and Effectiveness Using ARCD
by Eleftheria Kostika & Raphael N. Markellos - 51-61 Real‐Time Forecasts of Inflation: The Role of Financial Variables
by Libero Monteforte & Gianluca Moretti - 62-74 Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation
by Jooyoung Jeon & James W. Taylor - 75-85 Space‐Time Model versus VAR Model: Forecasting Electricity demand in Japan
by Yoshihiro Ohtsuka & Kazuhiko Kakamu - 86-96 Estimation and Forecasting of Locally Stationary Processes
by Wilfredo Palma & Ricardo Olea & Guillermo Ferreira
December 2012, Volume 31, Issue 8
- 661-687 Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
by Cathy W.S. Chen & Richard Gerlach & Edward M. H. Lin & W. C. W. Lee - 688-705 Break Detectability and Mean Square Forecast Error Ratios for Selecting Estimation Windows
by Hildegart A. Ahumada - 706-720 Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk
by Chang‐Cheng Changchien & Chu‐Hsiung Lin & Hsien‐Chueh Peter Yang - 721-735 The Accuracy of Non‐traditional versus Traditional Methods of Forecasting Lumpy Demand
by Somnath Mukhopadhyay & Adriano O. Solis & Rafael S. Gutierrez - 736-756 Are Analysts' Loss Functions Asymmetric?
by Mark A. Clatworthy & David A. Peel & Peter F. Pope
November 2012, Volume 31, Issue 7
- 565-579 Can We Predict Exchange Rate Movements at Short Horizons?
by Chongcheul Cheong & Young‐Jae Kim & Seong‐Min Yoon - 580-595 Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates
by Efthymios G. Pavlidis & Ivan Paya & David A. Peel - 596-616 Twisting the Dollar? On the Consistency of Short‐Run and Long‐Run Exchange Rate Expectations
by Michael Frenkel & Jan‐Christoph Rülke & Georg Stadtmann - 617-638 Prediction from the One‐Way Error Components Model with AR(1) Disturbances
by Eugene Kouassi & Joel Sango & J.M. Bosson Brou & Francis N. Teubissi & Kern O. Kymn - 639-660 The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks
by John F. Garvey & Liam A. Gallagher
September 2012, Volume 31, Issue 6
- 469-489 Second‐Generation Prediction Markets for Information Aggregation: A Comparison of Payoff Mechanisms
by Christian Slamka & Wolfgang Jank & Bernd Skiera - 490-503 Forecasting Stock Market Volatility in Central and Eastern European Countries
by Barry Harrison & Winston Moore - 504-523 A Robust Data‐Mining Approach to Bankruptcy Prediction
by Mehdi Divsalar & Habib Roodsaz & Farshad Vahdatinia & Ghassem Norouzzadeh & Amir Hossein Behrooz - 524-539 Exploring Survey‐Based Inflation Forecasts
by Luis Gil‐Alana & Antonio Moreno & Fernando Pérez de Gracia - 540-564 Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?
by Ken Nyholm & Rositsa Vidova‐Koleva
August 2012, Volume 31, Issue 5
- 377-390 A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
by Farhat Iqbal & Kanchan Mukherjee - 391-400 Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach
by Christina Beneki & Bruno Eeckels & Costas Leon - 401-422 Do Long‐Run Theory Restrictions Help in Forecasting?
by S. Mahdi Barakchian - 423-442 Price–Dividend Ratios and Stock Price Predictability
by Jyh‐Lin Wu & Yu‐Hau Hu - 443-468 Multivariate GARCH Models with Correlation Clustering
by Mike K. P. So & Iris W. H. Yip
July 2012, Volume 31, Issue 4
- 281-313 Adaptive modelling and forecasting of offshore wind power fluctuations with Markov‐switching autoregressive models
by Pierre Pinson & Henrik Madsen - 314-329 Forecasting Hourly Peak Call Volume for a Rural Electric Cooperative Call Center
by Taeyoon Kim & Phil Kenkel & B. Wade Brorsen - 330-343 Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data?
by David G. Mcmillan & Alan E. H. Speight - 344-360 The Effect of Estimating Parameters on Long‐Term Forecasts for Cointegrated Systems
by Hiroaki Chigira & Taku Yamamoto - 361-376 Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis
by Martin Feldkircher
April 2012, Volume 31, Issue 3
- 189-228 Semiparametric forecast intervals
by Jason J. Wu - 229-244 A latent variable approach to forecasting the unemployment rate
by Chew Lian Chua & G. C. Lim & Sarantis Tsiaplias - 245-259 Spurious Forecasts?
by Berenice Martínez‐Rivera & Daniel Ventosa‐Santaulària & J. Eduardo Vera‐Valdés - 260-279 Using Firm‐Level Leverage as an Investment Strategy
by Yaz Gűlnur Muradoğlu & Sheeja Sivaprasad
March 2012, Volume 31, Issue 2
- 99-108 Analyzing Macroeconomic Forecastability
by Ray C. Fair - 109-123 Parameter Space Restrictions in State Space Models
by Duk Bin Jun & Dong Soo Kim & Sungho Park & Myoung Hwan Park - 124-156 Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set
by Carlo A. Favero & Linlin Niu & Luca Sala - 157-171 The Volatility and Density Prediction Performance of Alternative GARCH Models
by Teng‐Hao Huang & Yaw‐Huei Wang - 172-188 Forecasting Performance of Nonlinear Models for Intraday Stock Returns
by José M. Matías & Juan C. Reboredo
January 2012, Volume 31, Issue 1
- 1-14 Business Cycle Forecasts and their Implications for High Frequency Stock Market Returns
by Horst Entorf & Anne Gross & Christian Steiner - 15-46 The Role of Financial Variables in predicting economic activity
by Raphael Espinoza & Fabio Fornari & Marco J. Lombardi - 47-67 Predicting the Direction of the Fed's Target Rate
by Heikki Kauppi - 68-84 Henderson‐Trending of Macroeconomic Variables and Forecasting Accuracy
by Liam J. A. Lenten - 85-98 Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate
by Giacomo Sbrana
1987, Volume 6, Issue 1
- 1-19 Long‐term forecasting with innovation diffusion models: The impact of replacement purchases
by Wagner A. Kamakura & Siva K. Balasubramanian - 21-40 Structural change and the combination of forecasts
by Francis X. Diebold & Peter Pauly - 41-50 Forecasting demand in international markets: The case of correlated time series
by Chezy Ofir & Adi Raveh - 51-65 Expert judgments of political riskiness
by Jeryl L. Mumpower & Steven Livingston & Thomas J. Lee - 67-74 Software reviews
by Chris Beaumont