Journal: International Journal of Forecasting

Found 1200 papers in total
Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory
Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory
2006,
This paper presents an autoregressive fractionally integrated moving-average model of...
Forecasting volatility
Forecasting volatility
2006,
In this paper, we investigate the time series properties of S&P 100 volatility and...
Are forecasters reluctant to revise their predictions? Some German evidence
Are forecasters reluctant to revise their predictions? Some German evidence
2006,
People are reluctant to admit mistakes. This could also be true of economic...
Performance evaluation of the New Connecticut Leading Employment Index using lead profiles and BV AR models
Performance evaluation of the New Connecticut Leading Employment Index using lead profiles and BV AR models
2006,
The leading and coincident employment indexes for the state of Connecticut developed...
Understanding and predicting sovereign debt rescheduling: a comparison of the areas under receiver operating characteristic curves
Understanding and predicting sovereign debt rescheduling: a comparison of the areas under receiver operating characteristic curves
2006,
This paper extends the existing literature on empirical research in the field of...
Markup model for forecasting inflation for the euro area
Markup model for forecasting inflation for the euro area
2006,
We develop a small model for forecasting inflation for the euro area using quarterly...
A stochastic proportional hazard model for the force of mortality
A stochastic proportional hazard model for the force of mortality
2006,
In order to avoid ‘frailty’ in deterministic assumptions concerning...
A semi-parametric time series approach in modeling hourly electricity loads
A semi-parametric time series approach in modeling hourly electricity loads
2006,
In this paper we develop a semi-parametric approach to model nonlinear relationships...
Comparison of two non-parametric models for daily traffic forecasting in Hong Kong
Comparison of two non-parametric models for daily traffic forecasting in Hong Kong
2006,
The most up-to-date annual average daily traffic (AADT) is always required for...
Rough sets bankruptcy prediction models versus auditor signalling rates
Rough sets bankruptcy prediction models versus auditor signalling rates
2003,
Both international and US auditing standards require auditors to evaluate the risk of...
Developing futures for agriculture in the Netherlands: a systematic exploration of the strategic value of foresight
Developing futures for agriculture in the Netherlands: a systematic exploration of the strategic value of foresight
2003,
Science and Technology Foresight is an interactive and systematic exploration of...
In search of leading indicators of economic activity in Germany
In search of leading indicators of economic activity in Germany
2003,
In this paper we present two new composite leading indicators of economic activity in...
Innovative methodologies for exploring the future of automated vehicle guidance
Innovative methodologies for exploring the future of automated vehicle guidance
2003,
In various countries, transport policy makers are increasingly interested in the...
Robustness of alternative non-linearity tests for self-exciting threshold autoregressive models
Robustness of alternative non-linearity tests for self-exciting threshold autoregressive models
2004,
In recent years there has been a growing interest in exploiting potential forecast...
Updating ARMA predictions for temporal aggregates
Updating ARMA predictions for temporal aggregates
2004,
This article develops and extends previous investigations on the temporal aggregation...
Long-run forecasting in multicointegrated systems
Long-run forecasting in multicointegrated systems
2004,
We extend the analysis of Christoffersen and Diebold on long-run forecasting in...
Smooth transition exponential smoothing
Smooth transition exponential smoothing
2004,
Adaptive exponential smoothing methods allow a smoothing parameter to change over...
Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)
Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)
2004,
This article introduces a novel framework for analysing long-horizon forecasting of...
Comparing the accuracy of density forecasts from competing models
Comparing the accuracy of density forecasts from competing models
2004,
A rapidly growing literature emphasizes the importance of evaluating the forecast...
A dynamic principal components analysis based on multivariate matrix normal dynamic linear models
A dynamic principal components analysis based on multivariate matrix normal dynamic linear models
2003,
In this paper, we propose a multivariate dynamic linear model (MDLM) that allows us to...
From forecasting to foresight processes – new participative foresight activities in Germany
From forecasting to foresight processes – new participative foresight activities in Germany
2003,
The definitions of forecasting vary to a certain extent, but they all have the view...
Non-linear forecasts of stock returns
Non-linear forecasts of stock returns
2003,
Following recent non-linear extensions of the present-value model, this paper examines...
A neural network versus Black–Scholes: a comparison of pricing and hedging performances
A neural network versus Black–Scholes: a comparison of pricing and hedging performances
2003,
An Erratum has been published for this article in Journal of Forecasting 22(6/7) 2003,...
Selection of Value-at-Risk models
Selection of Value-at-Risk models
2003,
Value-at-Risk (VaR) is widely used as a tool for measuring the market risk of asset...
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