Journal: International Journal of Forecasting

Found 1200 papers in total
Evaluating the predictive accuracy of volatility models
Evaluating the predictive accuracy of volatility models
2001,
Standard statistical loss functions, such as mean-squared error, are commonly used for...
Robust modelling of ARCH models
Robust modelling of ARCH models
2001,
The autoregressive conditional heteroscedastic (ARCH) model and its extensions have...
Impulse response analysis in vector autoregressions with unknown lag order
Impulse response analysis in vector autoregressions with unknown lag order
2001,
We show that the effects of overfitting and underfitting a vector autoregressive (VAR)...
Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting
Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting
2001,
This paper proposes and implements a new methodology for forecasting time series,...
Exponential smoothing of seasonal data: A comparison
Exponential smoothing of seasonal data: A comparison
2001,
A parsimonious method of exponential smoothing is introduced for time series generated...
Sensitivity of univariate AR(1) time-series forecasts near the unit root
Sensitivity of univariate AR(1) time-series forecasts near the unit root
2001,
We consider the linear time-series model y t = d t + u t (t = 1,...,n) where d t...
A forecasting comparison of classical and Bayesian methods for modelling logistic diffusion
A forecasting comparison of classical and Bayesian methods for modelling logistic diffusion
2001,
A Bayesian procedure for forecasting S-shaped growth is introduced and compared to...
Guaranteed-content prediction intervals for non-linear autoregressions
Guaranteed-content prediction intervals for non-linear autoregressions
2001,
In this paper we present guaranteed-content prediction intervals for time series data....
Identification of asymmetric prediction intervals through causal forces
Identification of asymmetric prediction intervals through causal forces
2001,
When causal forces are specified, the expected direction of the trend can be compared...
Robust evaluation of fixed-event forecast rationality
Robust evaluation of fixed-event forecast rationality
2001,
In this paper we introduce a new testing procedure for evaluating the rationality of...
A linear forecasting model and its application to economic data
A linear forecasting model and its application to economic data
2001,
We present a forecasting model based on fuzzy pattern recognition and weighted linear...
Filters for short non-stationary sequences
Filters for short non-stationary sequences
2001,
This paper describes a methodology for implementing bidirectional frequency-selective...
The approximation of long-memory processes by an ARMA model
The approximation of long-memory processes by an ARMA model
2001,
A mean square error criterion is proposed in this paper to provide a systematic...
Choosing among competing econometric forecasts: Regression-based forecast combination using model selection
Choosing among competing econometric forecasts: Regression-based forecast combination using model selection
2001,
Forecast combination based on a model selection approach is discussed and evaluated....
Creating high-frequency national accounts with state-space modelling: A Monte Carlo experiment
Creating high-frequency national accounts with state-space modelling: A Monte Carlo experiment
2001,
This paper assesses a new technique for producing high-frequency data from lower...
Forecasting performance of seasonal cointegration models
Forecasting performance of seasonal cointegration models
2002,
Forecasts from two different seasonal cointegration specifications are compared in an...
Bootstrap prediction intervals for single period regression forecasts
Bootstrap prediction intervals for single period regression forecasts
2002,
The prediction interval formula for the forecast of a regression-dependent variable...
A new approach to modelling and forecasting monthly guest nights in hotels
A new approach to modelling and forecasting monthly guest nights in hotels
2002,
Starting from a day-to-day model on hotel specific guest nights we obtain an...
Does knowledge of the cost of carry model improve commodity futures price forecasting ability? A case study using the London Metal Exchange lead contract
Does knowledge of the cost of carry model improve commodity futures price forecasting ability? A case study using the London Metal Exchange lead contract
2002,
The use of futures prices to predict commodity cash prices is important both to...
A comparison of the accuracy of short term foreign exchange forecasting methods
A comparison of the accuracy of short term foreign exchange forecasting methods
2002,
The hypothesis that foreign exchange rate behaviour is non-linear has been examined by...
Increasing the transparency of macroeconometric forecasts: A report from the trenches
Increasing the transparency of macroeconometric forecasts: A report from the trenches
2002,
The acceptance of macroeconometric model results suffers from the procedures of model...
Do revisions improve forecasts?
Do revisions improve forecasts?
2002,
This study examines the effects of forecast revisions on accuracy using economic...
Forecasting for inventory control with exponential smoothing
Forecasting for inventory control with exponential smoothing
2002,
Exponential smoothing, often used in sales forecasting for inventory control, has...
Seasonal adjustment of inventory demand series: A case study
Seasonal adjustment of inventory demand series: A case study
2002,
This paper analyzes procedures for seasonal adjustment of inventory demand series at a...
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