Journal: Journal of Forecasting

Found 273 papers in total
Incorporating higher moments into value‐at‐risk forecasting
Incorporating higher moments into value‐at‐risk forecasting
2010,
Value‐at‐risk (VaR) forecasting generally relies on a...
Spreads versus professional forecasters as predictors of future output change
Spreads versus professional forecasters as predictors of future output change
2010,
We examine whether real output forecasts obtained from the Survey of Professional...
Bananas and petrol: further evidence on the forecasting accuracy of the ABS ‘headline’ and ‘underlying’ rates of inflation
Bananas and petrol: further evidence on the forecasting accuracy of the ABS ‘headline’ and ‘underlying’ rates of inflation
2010,
In the light of the still topical nature of ‘bananas and petrol’ being...
Testing homogeneity of Japanese CPI forecasters
Testing homogeneity of Japanese CPI forecasters
2010,
This paper investigates whether some forecasters consistently outperform others using...
The variance ratio and trend stationary model as extensions of a constrained autoregressive model
The variance ratio and trend stationary model as extensions of a constrained autoregressive model
2010,
This paper shows that a constrained autoregressive model that assigns linearly...
Predicting the signs of forecast errors
Predicting the signs of forecast errors
2010,
The signs of forecast errors can be predicted using the difference between...
Forecasting business failure in China using case‐based reasoning with hybrid case respresentation
Forecasting business failure in China using case‐based reasoning with hybrid case respresentation
2010,
Case‐based reasoning (CBR) is a very effective and easily...
New evidence on the relation between return volatility and trading volume
New evidence on the relation between return volatility and trading volume
2010,
In the empirical literature, it has been shown that there exists both linear and...
Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates
Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates
2010,
Previous studies show that it is not always optimal to combine forecasts of...
Forecasting key macroeconomic variables from a large number of predictors: a state space approach
Forecasting key macroeconomic variables from a large number of predictors: a state space approach
2010,
We use state space methods to estimate a large dynamic factor model for the Norwegian...
A monetary real‐time conditional forecast of euro area inflation
A monetary real‐time conditional forecast of euro area inflation
2010,
Based on a vector error correction model we produce conditional euro area inflation...
Forecasting volatility with support vector machine‐based GARCH model
Forecasting volatility with support vector machine‐based GARCH model
2010,
Recently, support vector machine (SVM), a novel artificial neural network...
Foreign exchange market prediction with multiple classifiers
Foreign exchange market prediction with multiple classifiers
2010,
Foreign exchange market prediction is attractive and challenging. According to the...
Robust forecasting with exponential and Holt–Winters smoothing
Robust forecasting with exponential and Holt–Winters smoothing
2010,
Robust versions of the exponential and Holt–Winters smoothing method for...
Forecasting using targeted diffusion indexes
Forecasting using targeted diffusion indexes
2010,
The simplicity of the standard diffusion index model of Stock and Watson has certainly...
Nowcasting from disaggregates in the face of location shifts
Nowcasting from disaggregates in the face of location shifts
2010,
Given a need for nowcasting, we consider how nowcasts can best be achieved, the use...
GDP nowcasting with ragged‐edge data: a semi‐parametric modeling
GDP nowcasting with ragged‐edge data: a semi‐parametric modeling
2010,
This paper formalizes the process of forecasting unbalanced monthly datasets in order...
Dynamic probit models and financial variables in recession forecasting
Dynamic probit models and financial variables in recession forecasting
2010,
In this paper, various financial variables are examined as predictors of the...
Are disaggregate data useful for factor analysis in forecasting French GDP?
Are disaggregate data useful for factor analysis in forecasting French GDP?
2010,
This paper compares the GDP forecasting performance of alternative factor models based...
The UK intranational business cycle
The UK intranational business cycle
2010,
The paper uses annual data on real GDP for 12 UK regions and 12 manufacturing sectors...
Survey data as coincident or leading indicators
Survey data as coincident or leading indicators
2010,
In this paper we propose a monthly measure for the euro area gross domestic product...
Forecasting macroeconomic variables in a small open economy: a comparison between small‐ and large‐scale models
Forecasting macroeconomic variables in a small open economy: a comparison between small‐ and large‐scale models
2010,
This paper compares the forecasting ability of five alternative types of models in...
The local quadratic trend model
The local quadratic trend model
2010,
The local quadratic trend model provides a flexible response to underlying movements...
Forecast accuracy and economic gains from Bayesian model averaging using time‐varying weights
Forecast accuracy and economic gains from Bayesian model averaging using time‐varying weights
2010,
Several Bayesian model combination schemes, including some novel approaches that...
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