Journal: International Journal of Forecasting

Found 1200 papers in total
On SETAR non-linearity and forecasting
On SETAR non-linearity and forecasting
2003,
We compare linear autoregressive (AR) models and self-exciting threshold...
On seasonal error correction when the processes include different numbers of unit roots
On seasonal error correction when the processes include different numbers of unit roots
2003,
We propose a seasonal cointegration model (SECM) for quarterly data which includes...
BBVA-ARIES: a forecasting and simulation model for the European Economic and Monetary Union
BBVA-ARIES: a forecasting and simulation model for the European Economic and Monetary Union
2003,
This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the...
Inference for some multivariate ARCH and GARCH models
Inference for some multivariate ARCH and GARCH models
2003,
Multivariate time-varying volatility models have attracted a lot of attention in...
An evaluation of tests of distributional forecasts
An evaluation of tests of distributional forecasts
2003,
One popular method for testing the validity of a model's forecasts is to use the...
Reasoning about non-linear autoregressive models using expectation maximization
Reasoning about non-linear autoregressive models using expectation maximization
2003,
A simplified version of the expectation maximization (EM) algorithm is applied to...
Bayesian analysis of fractionally integrated autoregressive moving average with additive noise
Bayesian analysis of fractionally integrated autoregressive moving average with additive noise
2003,
A new sampling-based Bayesian approach for fractionally integrated autoregressive...
Forecasting some low-predictability time series using diffusion indices
Forecasting some low-predictability time series using diffusion indices
2003,
The growth rates of real output and real investment are two macroeconomic time series...
Forecasting with leading indicators revisited
Forecasting with leading indicators revisited
2003,
Transfer function or distributed lag models are commonly used in forecasting. The...
Forecasting time series with long memory and level shifts
Forecasting time series with long memory and level shifts
2005,
It is well known that some economic time series can be described by models which allow...
Prediction intervals for exponential smoothing using two new classes of state space models
Prediction intervals for exponential smoothing using two new classes of state space models
2005,
Three general classes of state space models are presented, using the single source of...
Forecast performance of nonlinear error-correction models with multiple regimes
Forecast performance of nonlinear error-correction models with multiple regimes
2005,
In this paper we investigate the forecast performance of nonlinear error-correction...
Conditional volatility forecasting in a dynamic hedging model
Conditional volatility forecasting in a dynamic hedging model
2005,
This paper addresses several questions surrounding volatility forecasting and its use...
Beating the random walk in Central and Eastern Europe
Beating the random walk in Central and Eastern Europe
2005,
We compare the accuracy of vector autoregressive (VAR), restricted vector...
A common model approach to macroeconomics: using panel data to reduce sampling error
A common model approach to macroeconomics: using panel data to reduce sampling error
2005,
Is there a common model inherent in macroeconomic data? Macroeconomic theory suggests...
Model uncertainty, thick modelling and the predictability of stock returns
Model uncertainty, thick modelling and the predictability of stock returns
2005,
Recent financial research has provided evidence on the predictability of asset...
Detection of regime switches between stationary and nonstationary processes and economic forecasting
Detection of regime switches between stationary and nonstationary processes and economic forecasting
2005,
It often occurs that no model may be exactly right, and that different portions of the...
Combination of forecasts using self-organizing algorithms
Combination of forecasts using self-organizing algorithms
2005,
Based on the theories and methods of self-organizing data mining, a new forecasting...
A forecasting procedure for nonlinear autoregressive time series models
A forecasting procedure for nonlinear autoregressive time series models
2005,
Forecasting for nonlinear time series is an important topic in time series analysis....
Identifying the time-effect factors of multiple time series
Identifying the time-effect factors of multiple time series
2005,
The Peña–Box model is considered for finding the time-effect factors of a...
Stochastic models underlying Croston's method for intermittent demand forecasting
Stochastic models underlying Croston's method for intermittent demand forecasting
2005,
Croston's method is widely used to predict inventory demand when it is intermittent....
Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations
Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations
2005,
In the last decade, neural networks have emerged from an esoteric instrument in...
Evaluating forecasts: a look at aggregate bias and accuracy measures
Evaluating forecasts: a look at aggregate bias and accuracy measures
2005,
In this paper an investigation is made of the properties and use of two aggregate...
A note on in-sample and out-of-sample tests for Granger causality
A note on in-sample and out-of-sample tests for Granger causality
2005,
This paper studies in-sample and out-of-sample tests for Granger causality using Monte...
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