Journal: Journal of Forecasting

Found 273 papers in total
ECB Projections as a Tool for Understanding Policy Decisions
ECB Projections as a Tool for Understanding Policy Decisions
2015,
The European Central Bank publishes inflation projections quarterly and we aim to...
Forecasting the Outcome of Closed-Door Decisions: Evidence from 500 Years of Betting on Papal Conclaves
Forecasting the Outcome of Closed-Door Decisions: Evidence from 500 Years of Betting on Papal Conclaves
2015,
Closed‐door decisions may be defined as decisions in which the outcome is...
The Predictive Power of Survey-Based Exchange Rate Forecasts: Is there a Role for Dispersion?
The Predictive Power of Survey-Based Exchange Rate Forecasts: Is there a Role for Dispersion?
2015,
Previous research has shown that the consensus of individual exchange rate forecasts...
Measuring Disagreement in Qualitative Expectations
Measuring Disagreement in Qualitative Expectations
2015,
We assess how well measures of disagreement in qualitative survey expectations reflect...
The Predictive Performance Evaluation of Biased Regression Predictors With Correlated Errors
The Predictive Performance Evaluation of Biased Regression Predictors With Correlated Errors
2015,
When the interdependence of disturbances is present in a regression model, the pattern...
Cross-Section Stock Return and Implied Covariance between Jump and Diffusive Volatility
Cross-Section Stock Return and Implied Covariance between Jump and Diffusive Volatility
2015,
I examine the information content of option‐implied covariance between jumps...
Beating the VAR: Improving Swedish GDP Forecasts Using Error and Intercept Corrections
Beating the VAR: Improving Swedish GDP Forecasts Using Error and Intercept Corrections
2015,
This paper examines the forecast accuracy of an unrestricted vector autoregressive...
Self-Restraining Bass Models
Self-Restraining Bass Models
2015,
We extend the classic Bass diffusion model to address the case in which existing...
Pascal's Wager and Information
Pascal's Wager and Information
2014,
Should we make financial forecasts? The usual answer looks like Pascal's wager: we...
Real-Time Pricing and Hedging of Options on Currency Futures with Artificial Neural Networks
Real-Time Pricing and Hedging of Options on Currency Futures with Artificial Neural Networks
2014,
High‐frequency trading and automated algorithm impose high requirements on...
The Information Content of Equity Block Trades on the Warsaw Stock Exchange: An Estimation of Shares' Returns with the Usage of Simple Linear Regression and Multivariate Adaptive Regression Splines
The Information Content of Equity Block Trades on the Warsaw Stock Exchange: An Estimation of Shares' Returns with the Usage of Simple Linear Regression and Multivariate Adaptive Regression Splines
2014,
Equity block trade transactions per se directly relate to the valuation of a company's...
Stock Market Simulation Using Support Vector Machines
Stock Market Simulation Using Support Vector Machines
2014,
The aim of this research was to analyse the different results that can be achieved...
Ultra-High-Frequency Algorithmic Arbitrage Across International Index Futures
Ultra-High-Frequency Algorithmic Arbitrage Across International Index Futures
2014,
We show that persistent lead–lag relationships spanning mere fractions of a...
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations
Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations
2014,
This paper provides clear‐cut evidence that the out‐of‐sample VaR...
Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility
Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility
2014,
Multifractal models have recently been introduced as a new type of...
Forecasting Online Auctions via Self-Exciting Point Processes
Forecasting Online Auctions via Self-Exciting Point Processes
2014,
Modeling online auction prices is a popular research topic among statisticians and...
A Quantile Regression Approach to Equity Premium Prediction
A Quantile Regression Approach to Equity Premium Prediction
2014,
We propose a quantile regression approach to equity premium forecasting. Robust point...
How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets
2014,
Most pricing and hedging models rely on the long‐run temporal stability of a...
Forecasting Death Rates Using Exogenous Determinants
Forecasting Death Rates Using Exogenous Determinants
2014,
Mortality models used for forecasting are predominantly based on the statistical...
Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes
Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes
2014,
We introduce a new strategy for the prediction of linear temporal aggregates; we call...
Forecasting Stock Returns: Do Commodity Prices Help?
Forecasting Stock Returns: Do Commodity Prices Help?
2014,
This paper examines the relationship between stock prices and commodity prices and...
Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms
Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms
2014,
This paper presents an application of the gene expression programming (GEP) and...
Application of Machine Learning Methods to Risk Assessment of Financial Statement Fraud: Evidence from China
Application of Machine Learning Methods to Risk Assessment of Financial Statement Fraud: Evidence from China
2014,
This study presents a method of assessing financial statement fraud risk. The proposed...
A Method of Retail Mortgage Stress Testing: Based on Time-Frame and Magnitude Analysis
A Method of Retail Mortgage Stress Testing: Based on Time-Frame and Magnitude Analysis
2015,
In this study, a non‐stationary Markov chain model and a vector autoregressive...
Papers per page: