Journal: International Journal of Forecasting

Found 1200 papers in total
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
2006,
We investigate the predictive performance of various classes of value-at-risk (VaR)...
Estimating the long memory Granger causality effect with a spectrum estimator
Estimating the long memory Granger causality effect with a spectrum estimator
2006,
This paper discusses the Granger causality test by a spectrum estimator which allows...
Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
2006,
This note gives an easily verified necessary and sufficient condition for one...
Detrending economic time series: a Bayesian generalization of the Hodrick–Prescott filter
Detrending economic time series: a Bayesian generalization of the Hodrick–Prescott filter
2006,
This article develops a new method for detrending time series. It is shown how, in a...
Long-memory dynamic Tobit models
Long-memory dynamic Tobit models
2006,
We introduce a long-memory dynamic Tobit model, defining it as a censored version of a...
Bias in the estimation of non-linear transformations of the integrated variance of returns
Bias in the estimation of non-linear transformations of the integrated variance of returns
2006,
Volatility models such as GARCH, although misspecified with respect to the...
A hybrid forecasting approach for piece-wise stationary time series
A hybrid forecasting approach for piece-wise stationary time series
2006,
We consider the problem of forecasting a stationary time series when there is an...
Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
2006,
Long-range persistence in volatility is widely modelled and forecast in terms of the...
GARCH forecasting performance under different distribution assumptions
GARCH forecasting performance under different distribution assumptions
2006,
This paper investigates the forecasting performance of the GARCH (1, 1) model when...
Average conditional correlation and tree structures for multivariate GARCH models
Average conditional correlation and tree structures for multivariate GARCH models
2006,
We propose a simple class of multivariate GARCH models, allowing for time-varying...
Forecasting inflation using economic indicators: the case of France
Forecasting inflation using economic indicators: the case of France
2007,
In order to provide short-run forecasts of headline and core HICP inflation for...
Measuring downside risk and severity for global output
Measuring downside risk and severity for global output
2007,
This paper attempts to provide a critical measure of downside risk and severity for...
Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models
Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models
2007,
We evaluate forecasting models of US business fixed investment spending growth over...
The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries
The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries
2007,
The delayed release of the National Account data for GDP is an impediment to the early...
Traditional versus unobserved components methods to forecast quarterly national account aggregates
Traditional versus unobserved components methods to forecast quarterly national account aggregates
2007,
We aim to assess the ability of two alternative forecasting procedures to predict...
Random walk hypothesis in exchange rate reconsidered
Random walk hypothesis in exchange rate reconsidered
2006,
An econometric model for exchange rate based on the behavior of dynamic international...
Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model
Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model
2006,
This paper discusses the use of preliminary data in econometric forecasting. The...
Testing the rationality of forecast revisions made by the IMF and the OECD
Testing the rationality of forecast revisions made by the IMF and the OECD
2006,
We investigate the rationality of forecast revisions made by the IMF and the OECD over...
Are l6-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts
Are l6-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts
2006,
Past literature casts doubt on the ability of long-term macroeconomic forecasts to...
The importance of interest rates for forecasting the exchange rate
The importance of interest rates for forecasting the exchange rate
2006,
This study compares the forecasting performance of a structural exchange rate model...
Non-linear, non-parametric, non-fundamental exchange rate forecasting
Non-linear, non-parametric, non-fundamental exchange rate forecasting
2006,
This paper employs a non-parametric method to forecast high-frequency Canadian/US...
Long-memory forecasting of US monetary indices
Long-memory forecasting of US monetary indices
2006,
Several studies have tested for long-range dependence in macroeconomic and financial...
The evolution of sales forecasting management: a 20-year longitudinal study of forecasting practices
The evolution of sales forecasting management: a 20-year longitudinal study of forecasting practices
2006,
This paper presents results of a survey designed to discover how sales forecasting...
A non-Gaussian generalization of the Airline model for robust seasonal adjustment
A non-Gaussian generalization of the Airline model for robust seasonal adjustment
2006,
In their seminal book Time Series Analysis: Forecasting and Control , Box &...
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