Journal: International Journal of Forecasting

Found 1200 papers in total
Setting accuracy targets for short-term judgemental sales forecasting
Setting accuracy targets for short-term judgemental sales forecasting
2001,
Traditionally, the quality of a forecasting model is judged by how it compares, in...
Bootstrapping prediction intervals for autoregressive models
Bootstrapping prediction intervals for autoregressive models
2001,
Methods of improving the coverage of Box–Jenkins prediction intervals for linear...
Forecasting models and prediction intervals for the multiplicative Holt–Winters method
Forecasting models and prediction intervals for the multiplicative Holt–Winters method
2001,
A new class of models for data showing trend and multiplicative seasonality is...
Further results on focus forecasting vs. exponential smoothing
Further results on focus forecasting vs. exponential smoothing
2001,
In an earlier paper, we found that damped-trend, seasonal exponential smoothing was...
Selection and estimation of component models for seasonal time series
Selection and estimation of component models for seasonal time series
2000,
We present a method for investigating the evolution of trend and seasonality in an...
The use of canonical correlation analysis to identify the order of multivariate ARMA models: Simulation and application
The use of canonical correlation analysis to identify the order of multivariate ARMA models: Simulation and application
2000,
This paper is concerned with how canonical correlation can be used to identify the...
Can forecasters forecast successfully? Evidence from UK betting markets
Can forecasters forecast successfully? Evidence from UK betting markets
2000,
This paper investigates the performance of professional racetrack forecasting services...
Evidence for the selection of forecasting methods
Evidence for the selection of forecasting methods
2000,
Reid was among the first to argue that the relative accuracy of forecasting methods...
Economic and statistical measures of forecast accuracy
Economic and statistical measures of forecast accuracy
2000,
This paper argues in favour of a closer link between the decision and the forecast...
Investigating the exchange rate between Japanese Yen and the Deutschmark: Arbitrage opportunities and a case for asymmetry
Investigating the exchange rate between Japanese Yen and the Deutschmark: Arbitrage opportunities and a case for asymmetry
2001,
Deviations from the triangular equality are observed on foreign exchange (FX) markets...
Testing for statistical and market efficiency when forecast errors are non-normal: The National Football League betting market revisited
Testing for statistical and market efficiency when forecast errors are non-normal: The National Football League betting market revisited
2000,
The paper examines the efficiency of the National Football League (NFL) betting...
Effect of regressor forecast error on the variance of regression forecasts
Effect of regressor forecast error on the variance of regression forecasts
2000,
It is well understood that the standard formulation for the variance of a...
Modelling a traffic network with missing data
Modelling a traffic network with missing data
2000,
Whitlock and Queen developed a dynamic graphical model for forecasting traffic flows...
Benchmarks and the accuracy of GARCH model estimation
Benchmarks and the accuracy of GARCH model estimation
2001,
This paper reviews nine software packages with particular reference to their GARCH...
Effects of parameter estimation on prediction densities: A bootstrap approach
Effects of parameter estimation on prediction densities: A bootstrap approach
2001,
We use a bootstrap procedure to study the impact of parameter estimation on prediction...
A comparison of approximate Bayesian forecasting methods for non-Gaussian time series
A comparison of approximate Bayesian forecasting methods for non-Gaussian time series
2000,
We present the results on the comparison of efficiency of approximate Bayesian methods...
Neural networks and the multinomial logit for brand choice modelling: A hybrid approach
Neural networks and the multinomial logit for brand choice modelling: A hybrid approach
2000,
The study of brand choice decisions with multiple alternatives has been successfully...
Neural network versus econometric models in forecasting inflation
Neural network versus econometric models in forecasting inflation
2000,
Artificial neural network modelling has recently attracted much attention as a new...
Density forecasting: A survey
Density forecasting: A survey
2000,
A density forecast of the realization of a random variable at some future time is an...
Modelling the absolute returns of different stock indices: Exploring the forecastability of an alternative measure of risk
Modelling the absolute returns of different stock indices: Exploring the forecastability of an alternative measure of risk
2000,
Conventional measures of the risk of a financial asset make use of the unobserved...
A quantile regression neural network approach to estimating the conditional density of multiperiod returns
A quantile regression neural network approach to estimating the conditional density of multiperiod returns
2000,
This paper presents a new approach to estimating the conditional probability...
Forecasting time-dependent conditional densities: A semi-non-parametric neural network approach
Forecasting time-dependent conditional densities: A semi-non-parametric neural network approach
2000,
In financial econometrics the modelling of asset return series is closely related to...
The trading profitability of forecasts of the gilt–equity yield ratio
The trading profitability of forecasts of the gilt–equity yield ratio
2001,
Research has highlighted the usefulness of the Gilt-Equity Yield Ratio (GEYR) as a...
A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100
A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100
2001,
This paper examines the lead–lag relationship between the FTSE 100 index and...
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