Journal: International Journal of Forecasting

Found 1200 papers in total
Bootstrap prediction intervals for autoregressive models of unknown or infinite lag order
Bootstrap prediction intervals for autoregressive models of unknown or infinite lag order
2002,
Recent studies on bootstrap prediction intervals for autoregressive (AR) model provide...
Forecasting multivariate time series with linear restrictions using constrained structural state-space models
Forecasting multivariate time series with linear restrictions using constrained structural state-space models
2002,
This paper presents a methodology for modelling and forecasting multivariate time...
Forecasting and trading currency volatility: an application of recurrent neural regression and model combination
Forecasting and trading currency volatility: an application of recurrent neural regression and model combination
2002,
In this paper, we examine the use of non-parametric Neural Network Regression (NNR)...
Portfolio managers' and novices' forecasts of risk and return: are there predictable forecast errors?
Portfolio managers' and novices' forecasts of risk and return: are there predictable forecast errors?
2002,
This study aims to investigate the individual behaviour that underlies the...
Guesstimation
Guesstimation
2002,
Macroeconomic model builders attempting to construct forecasting models frequently...
Accurate forecasting of the undecided population in a public opinion poll
Accurate forecasting of the undecided population in a public opinion poll
2002,
The problem of pollsters is addressed which is to forecast accurately the final...
A threshold stochastic volatility model
A threshold stochastic volatility model
2002,
This article introduces a new model to capture simultaneously the mean and variance...
Forecasting daily foreign exchange rates using genetically optimized neural networks
Forecasting daily foreign exchange rates using genetically optimized neural networks
2002,
Forecasting currency exchange rates is an important financial problem that has...
The performance of non-linear exchange rate models: a forecasting comparison
The performance of non-linear exchange rate models: a forecasting comparison
2002,
In recent years there has been a considerable development in modelling non-linearities...
Multivariate Bayesian regression applied to the problem of network security
Multivariate Bayesian regression applied to the problem of network security
2002,
This paper examines the problem of intrusion in computer systems that causes major...
Selection of the relevant information set for predictive relationships analysis between time series
Selection of the relevant information set for predictive relationships analysis between time series
2002,
In time series analysis, a vector Y is often called causal for another vector X if the...
Volatility forecasting for risk management
Volatility forecasting for risk management
2003,
Recent research has suggested that forecast evaluation on the basis of standard...
The homogeneity restriction and forecasting performance of VAR-type demand systems: an empirical examination of US meat consumption
The homogeneity restriction and forecasting performance of VAR-type demand systems: an empirical examination of US meat consumption
2002,
This paper compares the forecast performance of vector-autoregression-type (VAR)...
Forecasting exchange rates using cointegration models and intra-day data
Forecasting exchange rates using cointegration models and intra-day data
2002,
We present a cointegration analysis on the triangle (USD–DEM, USD–JPY,...
Market risk management of banks: implications from the accuracy of value-at-risk forecasts
Market risk management of banks: implications from the accuracy of value-at-risk forecasts
2003,
This paper adopts the backtesting criteria of the Basle Committee to compare the...
A ground-level ozone forecasting model for Santiago, Chile
A ground-level ozone forecasting model for Santiago, Chile
2002,
A physically based model for ground-level ozone forecasting is evaluated for Santiago,...
Predicting less developed countries' debt rescheduling: Performance evaluation of OLS, logit, and neural network models
Predicting less developed countries' debt rescheduling: Performance evaluation of OLS, logit, and neural network models
2001,
Empirical studies in the area of sovereign debt have used statistical models...
Misspecified prediction for time series
Misspecified prediction for time series
2001,
Let { X t } be a stationary process with spectral density g (λ). It is often...
Outlier detection in regression models with ARIMA errors using robust estimates
Outlier detection in regression models with ARIMA errors using robust estimates
2001,
A diagnostic procedure for detecting additive and innovation outliers as well as level...
Forecasting with k-factor Gegenbauer processes: Theory and applications
Forecasting with k-factor Gegenbauer processes: Theory and applications
2001,
This paper deals with the k -factor extension of the long memory Gegenbauer process...
Efficient forecasting in nearly non-stationary processes
Efficient forecasting in nearly non-stationary processes
2002,
This paper proposes a procedure to make efficient predictions in a nearly...
A comparison of methods for bootstrapping in the local level model
A comparison of methods for bootstrapping in the local level model
2002,
Bootstrap in time series models is not straightforward to implement, as in this case...
Forecasting Hong Kong's container throughput: An error-correction model
Forecasting Hong Kong's container throughput: An error-correction model
2002,
A three-player oligopoly model is devised to capture the competitive interaction...
Statistical analyses of freeway traffic flows
Statistical analyses of freeway traffic flows
2002,
This paper concerns the exploration of statistical models for the analysis of...
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