Journal: Journal of Forecasting

Found 273 papers in total
A high-low model of daily stock price ranges
A high-low model of daily stock price ranges
2009,
We observe that daily highs and lows of stock prices do not diverge over time and,...
Forecasting US inflation by Bayesian model averaging
Forecasting US inflation by Bayesian model averaging
2009,
Recent empirical work has considered the prediction of inflation by combining the...
Forecasting the FOMC's interest rate setting behavior: a further analysis
Forecasting the FOMC's interest rate setting behavior: a further analysis
2009,
We develop a model to forecast the Federal Open Market Committee's (FOMC's) interest...
Real-time or current vintage: does the type of data matter for forecasting and model selection?
Real-time or current vintage: does the type of data matter for forecasting and model selection?
2009,
In this paper we investigate the impact of data revisions on forecasting and model...
On a dynamic mixture GARCH model
On a dynamic mixture GARCH model
2009,
This paper proposes a new mixture GARCH model with a dynamic mixture proportion. The...
A new Bayesian formulation for Holt's exponential smoothing
A new Bayesian formulation for Holt's exponential smoothing
2009,
In this paper we propose a Bayesian forecasting approach for Holt's additive...
Simultaneous prediction intervals for ARMA processes with stable innovations
Simultaneous prediction intervals for ARMA processes with stable innovations
2009,
We describe a method for calculating simultaneous prediction intervals for ARMA times...
A robust Cusum test for SETAR-type nonlinearity in time series
A robust Cusum test for SETAR-type nonlinearity in time series
2009,
As a part of an effective self-exciting threshold autoregressive (SETAR) modeling...
Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
2009,
The main focus of this paper is to model the daily series of banknotes in circulation....
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