Journal: Journal of Forecasting

Found 273 papers in total
Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
2010,
Clusters of cyclical turning points in the coincident indicators help us identify and...
Combining inflation density forecasts
Combining inflation density forecasts
2010,
In this paper, we empirically evaluate competing approaches for combining inflation...
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real‐time application to the Euro area
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real‐time application to the Euro area
2010,
We propose a new approach for detecting turning points and forecasting the level of...
Retail default prediction by using sequential minimal optimization technique
Retail default prediction by using sequential minimal optimization technique
2009,
This paper employed sequential minimal optimization (SMO) to develop default...
Are household subjective forecasts of personal finances accurate and useful?; A directional analysis of the British Household Panel Survey
Are household subjective forecasts of personal finances accurate and useful?; A directional analysis of the British Household Panel Survey
2009,
The purpose of the paper is to analyse the accuracy and usefulness of household...
Volatility forecasting with double Markov switching GARCH models
Volatility forecasting with double Markov switching GARCH models
2009,
This paper investigates inference and volatility forecasting using a Markov switching...
Can consumer sentiment and its components forecast Australian GDP and consumption?
Can consumer sentiment and its components forecast Australian GDP and consumption?
2009,
This paper examines whether the disaggregation of consumer sentiment data into its...
A threshold factor multivariate stochastic volatility model
A threshold factor multivariate stochastic volatility model
2009,
A new multivariate stochastic volatility model is developed in this paper. The main...
Evaluating volatility dynamics and the forecasting ability of Markov switching models
Evaluating volatility dynamics and the forecasting ability of Markov switching models
2009,
This paper uses Markov switching models to capture volatility dynamics in exchange...
Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate
Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate
2008,
This paper investigates whether the forecasting performance of Bayesian autoregressive...
Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model
Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model
2008,
Accurate modelling of volatility (or risk) is important in finance,...
Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures
Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures
2009,
Recent studies suggest realized volatility provides forecasts that are as good as...
Residual income, non‐earnings information, and information content
Residual income, non‐earnings information, and information content
2009,
We extend Ohlson's (1995) model and examine the relationship between returns...
Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies
Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies
2009,
In the era of Basel II a powerful tool for bankruptcy prognosis is vital for banks....
Mortality forecasting using neural networks and an application to cause‐specific data for insurance purposes
Mortality forecasting using neural networks and an application to cause‐specific data for insurance purposes
2009,
Mortality forecasting is important for life insurance policies, as well as in other...
Risk factor beta conditional value‐at‐risk
Risk factor beta conditional value‐at‐risk
2009,
We propose a new approach to the estimation of the portfolio...
P/E changes: some new results
P/E changes: some new results
2009,
The P/E ratio is often used as a metric to compare individual stocks and the market as...
Stock market volatility and the forecasting performance of stock index futures
Stock market volatility and the forecasting performance of stock index futures
2009,
This study attempts to apply the general equilibrium model of stock index futures with...
Discrete Euler processes and their applications
Discrete Euler processes and their applications
2009,
This paper introduces discrete Euler processes and shows their application in...
Modelling and forecasting time series sampled at different frequencies
Modelling and forecasting time series sampled at different frequencies
2009,
This paper discusses how to specify an observable high-frequency model for a vector of...
Related-variables selection in temporal disaggregation
Related-variables selection in temporal disaggregation
2009,
Two related-variables selection methods for temporal disaggregation are proposed. In...
A diffusion model for products with indirect network externalities
A diffusion model for products with indirect network externalities
2008,
This paper develops a new diffusion model that incorporates the indirect network...
A linear benchmark for forecasting GDP growth and inflation?
A linear benchmark for forecasting GDP growth and inflation?
2008,
Predicting the future evolution of GDP growth and inflation is a central concern in...
Testing for Granger (non-)causality in a time-varying coefficient VAR model
Testing for Granger (non-)causality in a time-varying coefficient VAR model
2008,
In this paper we propose Granger (non-)causality tests based on a VAR model allowing...
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