Journal: Journal of Forecasting

Found 273 papers in total
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
2014,
This article discusses the use of Bayesian methods for inference and forecasting in...
The Effects of Disaggregation on Forecasting Nonstationary Time Series
The Effects of Disaggregation on Forecasting Nonstationary Time Series
2014,
This paper focuses on the effects of disaggregation on forecast accuracy for...
Estimating and Predicting the General Random Effects Model
Estimating and Predicting the General Random Effects Model
2014,
This paper extends the ‘remarkable property’ of Breusch (Journal of...
Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA
Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA
2014,
In this paper we compare several multi‐period volatility forecasting models,...
Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany
Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany
2014,
The use of large datasets for macroeconomic forecasting has received a great deal of...
Estimating and Forecasting APARCH-Skew-t Model by Wavelet Support Vector Machines
Estimating and Forecasting APARCH-Skew-t Model by Wavelet Support Vector Machines
2014,
This paper concentrates on comparing estimation and forecasting ability of...
Overreaction in Survey Exchange Rate Forecasts
Overreaction in Survey Exchange Rate Forecasts
2014,
We use survey data on five bilateral exchange rates to provide empirical evidence of...
Dynamic Latent Class Model Averaging for Online Prediction
Dynamic Latent Class Model Averaging for Online Prediction
2015,
We consider the problem of online prediction when it is uncertain what the best...
Realized Volatility Forecast of Stock Index Under Structural Breaks
Realized Volatility Forecast of Stock Index Under Structural Breaks
2015,
We investigate the realized volatility forecast of stock indices under the structural...
Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model
Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model
2015,
This paper proposes Markov chain Monte Carlo methods to estimate the parameters and...
Empirical Bayesian Density Forecasting in Iowa and Shrinkage for the Monte Carlo Era
Empirical Bayesian Density Forecasting in Iowa and Shrinkage for the Monte Carlo Era
2015,
The track record of a 20‐year history of density forecasts of state tax revenue...
On the Difficulty of Measuring Forecasting Skill in Financial Markets
On the Difficulty of Measuring Forecasting Skill in Financial Markets
2015,
The use of correlation between forecasts and actual returns is commonplace in the...
Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors
Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors
2015,
We compare the predictive ability of Bayesian methods which deal simultaneously with...
Predictable Return Distributions
Predictable Return Distributions
2015,
Using quantile regression this paper explores the predictability of the stock and bond...
Model Uncertainty and Forecast Combination in High-Dimensional Multivariate Volatility Prediction
Model Uncertainty and Forecast Combination in High-Dimensional Multivariate Volatility Prediction
2015,
In multivariate volatility prediction, identifying the optimal forecasting model is...
Semi-Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve
Semi-Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve
2015,
We develop a semi‐structural model for forecasting inflation in the UK in which...
Testing for common autocorrelation in data-rich environments
Testing for common autocorrelation in data-rich environments
2011,
This paper proposes a strategy to detect the presence of common serial correlation in...
Pricing of basket options using univariate normal inverse gaussian approximations
Pricing of basket options using univariate normal inverse gaussian approximations
2011,
In this paper we study the approximation of a sum of assets having marginal...
Is forecasting with large models informative- Assessing the role of judgement in macroeconomic forecasts
Is forecasting with large models informative- Assessing the role of judgement in macroeconomic forecasts
2011,
We evaluate residual projection strategies in the context of a large-scale macro model...
Flow of conjunctural information and forecast of euro area economic activity
Flow of conjunctural information and forecast of euro area economic activity
2011,
Combining forecasts, we analyse the role of information flow in computing short-term...
New proposals for the quantification of qualitative survey data
New proposals for the quantification of qualitative survey data
2011,
In this paper we propose and evaluate two new methods for the quantification of...
Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
2011,
Density forecast (DF) possesses appealing properties when it is correctly specified...
Functional methods for time series prediction: a nonparametric approach
Functional methods for time series prediction: a nonparametric approach
2011,
The problem of prediction in time series using nonparametric functional techniques is...
Forecasting time-varying covariance with a robust Bayesian threshold model
Forecasting time-varying covariance with a robust Bayesian threshold model
2011,
This paper proposes a robust multivariate threshold vector autoregressive model with...
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