Journal: International Journal of Forecasting

Found 1200 papers in total
Forecasting changes in UK interest rates
Forecasting changes in UK interest rates
2008,
Making accurate forecasts of the future direction of interest rates is a vital element...
Forecasting US employment growth using forecast combining methods
Forecasting US employment growth using forecast combining methods
2008,
We examine different approaches to forecasting monthly US employment growth in the...
Predictive power and unbiasedness of implied forward charter rates
Predictive power and unbiasedness of implied forward charter rates
2007,
This paper examines the efficiency and predictive power of implied forward shipping...
Econometric modelling for short-term inflation forecasting in the euro area
Econometric modelling for short-term inflation forecasting in the euro area
2007,
This paper examines the problem of forecasting macro-variables which are observed...
Can panel data really improve the predictability of the monetary exchange rate model?
Can panel data really improve the predictability of the monetary exchange rate model?
2007,
A common explanation for the inability of the monetary model to beat the random walk...
A semiparametric method for predicting bankruptcy
A semiparametric method for predicting bankruptcy
2007,
Bankruptcy prediction methods based on a semiparametric logit model are proposed for...
Forecasting domestic liquidity during a crisis: what works best?
Forecasting domestic liquidity during a crisis: what works best?
2007,
The 1990s were a turbulent time for Latin American and Caribbean countries. During...
Optimal forecast intervals under asymmetric loss
Optimal forecast intervals under asymmetric loss
2007,
An optimality criterion for forecast intervals under asymmetric loss functions is...
Order series method for forecasting non-Gaussian time series
Order series method for forecasting non-Gaussian time series
2007,
A new forecasting non-Gaussian time series method based on order series transformation...
Validating multiple-period density-forecasting models
Validating multiple-period density-forecasting models
2007,
This paper examines the problem of how to validate multiple-period density forecasting...
Forecasting German GDP using alternative factor models based on large datasets
Forecasting German GDP using alternative factor models based on large datasets
2007,
This paper discusses the forecasting performance of alternative factor models based on...
Forecasting volatility by means of threshold models
Forecasting volatility by means of threshold models
2007,
The aim of this paper is to compare the forecasting performance of competing threshold...
Estimating and forecasting the long-memory parameter in the presence of periodicity
Estimating and forecasting the long-memory parameter in the presence of periodicity
2007,
We consider one parametric and five semiparametric approaches to estimate D in SARFIMA...
Forecasting real-time data allowing for data revisions
Forecasting real-time data allowing for data revisions
2007,
A modeling approach to real-time forecasting that allows for data revisions is shown....
Ex post and ex ante prediction of unobserved multivariate time series: a structural-model based approach
Ex post and ex ante prediction of unobserved multivariate time series: a structural-model based approach
2007,
A methodology for estimating high-frequency values of an unobserved multivariate time...
Optimal prediction with nonstationary ARFIMA model
Optimal prediction with nonstationary ARFIMA model
2007,
We propose two methods to predict nonstationary long-memory time series. In the first...
Using a heterogeneous multinomial probit model with a neural net extension to model brand choice
Using a heterogeneous multinomial probit model with a neural net extension to model brand choice
2007,
The multinomial probit model introduced here combines heterogeneity across households...
On estimating contemporaneous quarterly regional GDP
On estimating contemporaneous quarterly regional GDP
2007,
Subnational regional jurisdictions rarely have at their disposal a reasonable array of...
Single-season heteroscedasticity in time series
Single-season heteroscedasticity in time series
2007,
We consider seasonal time series in which one season has variance that is different...
Autoregressive gamma processes
Autoregressive gamma processes
2006,
We introduce a class of autoregressive gamma processes with conditional distributions...
Gamma stochastic volatility models
Gamma stochastic volatility models
2006,
This paper presents gamma stochastic volatility models and investigates their...
A cautionary note on outlier robust estimation of threshold models
A cautionary note on outlier robust estimation of threshold models
2006,
Chan and Cheung propose a GM approach to outlier robust estimation of threshold...
Building neural network models for time series: a statistical approach
Building neural network models for time series: a statistical approach
2006,
This paper is concerned with modelling time series by single hidden layer feedforward...
A Bayesian nonlinear support vector machine error correction model
A Bayesian nonlinear support vector machine error correction model
2006,
The use of linear error correction models based on stationarity and cointegration...
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