Journal: Journal of Forecasting

Found 273 papers in total
Forecasting commodity prices: GARCH, jumps, and mean reversion
Forecasting commodity prices: GARCH, jumps, and mean reversion
2008,
In examining stochastic models for commodity prices, central questions often revolve...
Forecasting euro area variables with German pre-EMU data
Forecasting euro area variables with German pre-EMU data
2008,
It is investigated whether euro area variables can be forecast better based on...
Short-term prediction of motorway travel time using ANPR and loop data
Short-term prediction of motorway travel time using ANPR and loop data
2008,
Travel time is a good operational measure of the effectiveness of transportation...
The geometric combination of Bayesian forecasting models
The geometric combination of Bayesian forecasting models
2008,
A nonlinear geometric combination of statistical models is proposed as an alternative...
An assessment of the EU growth forecasts under asymmetric preferences
An assessment of the EU growth forecasts under asymmetric preferences
2008,
EU Commission forecasts are used as a benchmark within the framework of the Stability...
Scalar BEKK and indirect DCC
Scalar BEKK and indirect DCC
2008,
The paper derives the scalar special case of the well-known BEKK (the acronym BEKK...
Bankruptcy prediction using a discrete-time duration model incorporating temporal and macroeconomic dependencies
Bankruptcy prediction using a discrete-time duration model incorporating temporal and macroeconomic dependencies
2008,
The purpose of this paper is to build an alternative method of bankruptcy prediction...
Forecasting volatility with outliers in GARCH models
Forecasting volatility with outliers in GARCH models
2008,
In this paper, we detect and correct abnormal returns in 17 French stocks returns and...
Traditional versus novel forecasting techniques: how much do we gain?
Traditional versus novel forecasting techniques: how much do we gain?
2008,
This article applies two novel techniques to forecast the value of US manufacturing...
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
2008,
Recent models for credit risk management make use of hidden Markov models (HMMs). HMMs...
Is it a short-memory, long-memory, or permanently Granger-causation influence?
Is it a short-memory, long-memory, or permanently Granger-causation influence?
2008,
Exploring the Granger-causation relationship is an important and interesting topic in...
Tourism in the Canary Islands: forecasting using several seasonal time series models
Tourism in the Canary Islands: forecasting using several seasonal time series models
2008,
This paper deals with the analysis of the number of tourists travelling to the Canary...
Power transformation models and volatility forecasting
Power transformation models and volatility forecasting
2008,
This paper considers the forecast accuracy of a wide range of volatility models, with...
Asymptotic prediction of mean squared error for long-memory processes with estimated parameters
Asymptotic prediction of mean squared error for long-memory processes with estimated parameters
2008,
In this paper we deal with the prediction theory of long-memory time series. The...
Modeling regime transition in stock index futures markets and forecasting implications
Modeling regime transition in stock index futures markets and forecasting implications
2008,
Using a time-varying regime-switching vector error correction approach, this paper...
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
2008,
This paper investigates the forecasting ability of four different GARCH models and the...
The predictive value of temporally disaggregated volatility: evidence from index futures markets
The predictive value of temporally disaggregated volatility: evidence from index futures markets
2008,
This paper examines the benefits to forecasters of decomposing close-to-close return...
Optimal sampling frequency for volatility forecast models for the Indian stock markets
Optimal sampling frequency for volatility forecast models for the Indian stock markets
2009,
This paper evaluates the performance of conditional variance models using...
Expectations, use and judgmental adjustment of external financial and economic forecasts: an empirical investigation
Expectations, use and judgmental adjustment of external financial and economic forecasts: an empirical investigation
2009,
A survey of 124 users of externally produced financial and economic forecasts in...
Are all crowds equally wise? a comparison of political election forecasts by experts and the public
Are all crowds equally wise? a comparison of political election forecasts by experts and the public
2009,
Four groups made forecasts of the outcome of the Swedish Parliamentary election in the...
Sports forecasting: a comparison of the forecast accuracy of prediction markets, betting odds and tipsters
Sports forecasting: a comparison of the forecast accuracy of prediction markets, betting odds and tipsters
2009,
This article compares the forecast accuracy of different methods, namely prediction...
Parsimonious modeling and forecasting of corporate yield curve
Parsimonious modeling and forecasting of corporate yield curve
2009,
This paper investigates the sensitivity of out-of-sample forecasting performance over...
Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment
Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment
2009,
In this paper, we put dynamic stochastic general equilibrium DSGE forecasts in...
ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process
ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process
2009,
This article studies Man and Tiao's (2006) low-order autoregressive fractionally...
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