Journal: International Journal of Forecasting

Found 1200 papers in total
An analytic network process model for financial-crisis forecasting
An analytic network process model for financial-crisis forecasting
2004,
We discuss and develop an imbalance-crisis turning point model to forecast the...
Value line and I/B/E/S earnings forecasts
Value line and I/B/E/S earnings forecasts
2005,
This paper compares Value Line and Institutional Brokers Estimate System (I/B/E/S)...
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
2004,
We analyze the predictive performance of various volatility models for stock returns....
The impact of institutional change on forecast accuracy: A case study of budget forecasting in Washington State
The impact of institutional change on forecast accuracy: A case study of budget forecasting in Washington State
2004,
This paper explores the relationship between institutional change and forecast...
Linear prediction of temporal aggregates under model misspecification
Linear prediction of temporal aggregates under model misspecification
2004,
This paper aims to demonstrate a possible aggregation gain in predicting future...
Bayesian time series analysis of periodic behaviour and spectral structure
Bayesian time series analysis of periodic behaviour and spectral structure
2004,
Analysis, model selection and forecasting in univariate time series models can be...
Judgmental forecasting in the presence of loss functions
Judgmental forecasting in the presence of loss functions
2005,
Many practicing forecasters operate in an environment where there are either implicit...
To combine or not to combine: selecting among forecasts and their combinations
To combine or not to combine: selecting among forecasts and their combinations
2005,
Much research shows that combining forecasts improves accuracy relative to individual...
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
2005,
Seasonality often accounts for the major part of short-run movements in quarterly or...
Regression models for forecasting goals and match results in association football
Regression models for forecasting goals and match results in association football
2005,
In the previous literature, two approaches have been used to model match outcomes in...
Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries
Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries
2005,
In this paper, we examine the relative out of sample predictive ability of different...
Non-parametric direct multi-step estimation for forecasting economic processes
Non-parametric direct multi-step estimation for forecasting economic processes
2005,
We evaluate the asymptotic and finite-sample properties of direct multi-step...
Predicting real growth and the probability of recession in the Euro area using the yield spread
Predicting real growth and the probability of recession in the Euro area using the yield spread
2005,
Although the spread has been established as a leading indicator of economic activity,...
Forecasting using the trend model wth autoregressive errors
Forecasting using the trend model wth autoregressive errors
2005,
This paper is concerned with forecasting time series generated by the linear trend...
Content horizons for conditional variance forecasts
Content horizons for conditional variance forecasts
2005,
Using realized variance to estimate daily conditional variance of financial returns,...
Business survey data: Do they help in forecasting GDP growth?
Business survey data: Do they help in forecasting GDP growth?
2005,
In this paper we examine whether data from business tendency surveys are useful for...
Shrinkage estimators of time series seasonal factors and their effect on forecasting accuracy
Shrinkage estimators of time series seasonal factors and their effect on forecasting accuracy
2003,
This paper shows that forecasting accuracy can be improved through better estimation...
Exponential smoothing with a damped multiplicative trend
Exponential smoothing with a damped multiplicative trend
2003,
Multiplicative trend exponential smoothing has received very little attention in the...
Forecasting economic and financial time-series with non-linear models
Forecasting economic and financial time-series with non-linear models
2004,
In this paper we discuss the current state-of-the-art in estimating, evaluating, and...
Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives
Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives
2004,
Forecasters and applied econometricians are often interested in comparing the...
Flexible regression models and relative forecast performance
Flexible regression models and relative forecast performance
2004,
In this paper, four alternative flexible nonlinear regression model approaches are...
Forecasting threshold cointegrated systems
Forecasting threshold cointegrated systems
2004,
The cointegration literature suggests that forecast errors may be reduced by...
Effects of judges' forecasting on their later combination of forecasts for the same outcomes
Effects of judges' forecasting on their later combination of forecasts for the same outcomes
2004,
In a first experiment, we show that judges' ability to combine forecasts that they...
Forecasting discrete valued low count time series
Forecasting discrete valued low count time series
2004,
In the past, little emphasis has been placed on producing data coherent forecasts for...
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