Journal: International Journal of Forecasting

Found 1200 papers in total
Estimation and forecasting of long-memory processes with missing values
Estimation and forecasting of long-memory processes with missing values
1997,
This paper addresses the issues of maximum likelihood estimation and forecasting of a...
State space trend-cycle decomposition of the ARIMA(1,1,1) process
State space trend-cycle decomposition of the ARIMA(1,1,1) process
1997,
It has been common practice to decompose an integrated time series into a random walk...
Causality and forecasting in incomplete systems
Causality and forecasting in incomplete systems
1997,
In this paper, we examine how causality inference and forecasting within a bivariate...
The usefulness of heuristic N(E)RLS algorithms for combining forecasts
The usefulness of heuristic N(E)RLS algorithms for combining forecasts
1997,
There exists theoretical and empirical evidence on the efficiency and robustness of...
Forecasting with preliminary data
Forecasting with preliminary data
1997,
This paper examines several methods to forecast revised US trade balance figures by...
A comparison between linear and nonlinear forecasts for nonlinear autoregressive models
A comparison between linear and nonlinear forecasts for nonlinear autoregressive models
1997,
In this paper the relative forecast performance of nonlinear models to linear models...
A Bayesian analysis of periodic integration
A Bayesian analysis of periodic integration
1997,
Recent empirical research into the seasonal and trend properties of macro-economic...
A Bayesian approach to modelling the observed Bovine Spongiform Encephalopathy epidemic
A Bayesian approach to modelling the observed Bovine Spongiform Encephalopathy epidemic
1997,
The threat of Bovine Spongiform Encephalopathy (BSE) to humans was realized in March...
A method for forecasting owner monthly construction project expenditure flow
A method for forecasting owner monthly construction project expenditure flow
1998,
Under the normal conditions of construction contracts, the client is obliged to pay...
Twenty five years of floating: Some observations
Twenty five years of floating: Some observations
1998,
Since the collapse of the Bretton Woods System, countries have adopted a variety of...
Threshold-autoregressive, median-unbiased, and cointegration tests of purchasing power parity
Threshold-autoregressive, median-unbiased, and cointegration tests of purchasing power parity
1998,
We use Dickey–Fuller tests, threshold autoregressive unit-root tests, median...
Structural VAR, MARMA and open economy models
Structural VAR, MARMA and open economy models
1998,
In this paper we examine a number of issues in the context of structural VAR and MARMA...
A GARCH model of the implied volatility of the Swiss market index from option prices
A GARCH model of the implied volatility of the Swiss market index from option prices
1998,
This paper estimates the implied stochastic process of the volatility of the Swiss...
The stock price–volume relationship in emerging stock markets: the case of Latin America
The stock price–volume relationship in emerging stock markets: the case of Latin America
1998,
This paper examines the stock price–volume in a set of Latin American markets....
Fundamental information and share prices in Japan: evidence from earning surprises and management predictions
Fundamental information and share prices in Japan: evidence from earning surprises and management predictions
1998,
Over the period 1985–1993, company-specific earnings fundamentals play a...
The role of seasonality in economic time series: Reinterpreting money–output causality in U.S. data
The role of seasonality in economic time series: Reinterpreting money–output causality in U.S. data
1997,
While empirical evidence on the relationship between money and income has mainly been...
Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models
Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models
1997,
Nine macroeconomic variables are forecast in a real-time scenario using a variety of...
Improving macro-economic forecasts: The role of consumer confidence
Improving macro-economic forecasts: The role of consumer confidence
1998,
The failure of economic forecasters to predict the most recent US recession has...
Forecasting economic processes
Forecasting economic processes
1998,
When the assumption of constant parameters fails, the in-sample fit of a model may be...
Currency forecasting: An investigation of extrapolative judgement
Currency forecasting: An investigation of extrapolative judgement
1997,
This paper aims to explore the potential effects of trend type, noise and forecast...
A further test of the influence of leading indicators on the probability of US business cycle phase shifts
A further test of the influence of leading indicators on the probability of US business cycle phase shifts
1998,
In earlier work Filardo used a variable transition probability Markov regime-switching...
PSR – an efficient stock-selection tool?
PSR – an efficient stock-selection tool?
1998,
In this paper we examine the simple investment factor in the Tokyo Stock Exchange...
Forecasting earnings composite variables, financial anomalies, and efficient Japanese and US portfolios
Forecasting earnings composite variables, financial anomalies, and efficient Japanese and US portfolios
1998,
In this study we address the creation of efficient portfolios with particular emphasis...
Biases in analyst forecasts: Cognitive, strategic or second-best?
Biases in analyst forecasts: Cognitive, strategic or second-best?
1998,
Financial analysts act in a complex environment, and the incentives they face may make...
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