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Journal of Forecasting

Short Title: J. Forecast.
Publisher: Wiley (Wiley-Blackwell), Chichester
ISSN: 0277-6693; 1099-131X/e
Online: http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1099-131X/issues
Documents Indexed: 306 Publications (since 2010)
References Indexed: 90 Publications with 2,891 References.
all top 5

Authors

6 O’Hare, Colin
3 Baltagi, Badi H.
3 Chan, Ngai Hang
3 Costantini, Mauro
3 Gupta, Rangan
3 Herwartz, Helmut
3 Karathanasopoulos, Andreas
3 Kouassi, Eugene
3 Madsen, Henrik O.
3 Marcellino, Massimiliano
3 Mazzi, Gian Luigi
3 Pantelous, Athanasios A.
3 Sermpinis, Georgios
3 Tsay, Ruey S.
2 Asai, Manabu
2 Biswas, Atanu
2 Caldeira, João F.
2 Crespo Cuaresma, Jesús
2 Ferrara, Laurent
2 Frale, Cecilia
2 Franses, Philip Hans
2 French, Declan
2 García-Ferrer, Antonio
2 Gerlach, Richard H.
2 Härdle, Wolfgang Karl
2 Hecq, Alain W.
2 Jun, Duk Bin
2 Kabundi, Alain
2 Kaçıranlar, Selahattin
2 Kholodilin, Konstantin A.
2 Kolsrud, Dag Olaf
2 Kunst, Robert M.
2 Kymn, Kern O.
2 Li, Han
2 Li, Hui
2 Liu, Long
2 Lo, Chia Chun
2 Maiti, Raju
2 McElroy, Tucker S.
2 McGroarty, Frank
2 McMillan, David G.
2 Nyberg, Henri
2 Pan, Zhiyuan
2 Panopoulou, Ekaterini
2 Peel, David A.
2 Polanski, Arnold
2 Proietti, Tommaso
2 Ravazzolo, Francesco
2 Rua, António
2 Sango, Joel
2 Seklecka, Malgorzata
2 Skindilias, Konstantinos
2 So, Mike K. P.
2 Sogiakas, Vasilios
2 Stoja, Evarist
2 Sun, Jie
2 Tang, Ling
2 Teubissi, Francis N.
2 Theofilatos, Konstantinos
2 Ullah, Wali
2 Vahid, Farshid
2 von Mettenheim, Hans-Jörg
2 von Spreckelsen, Christian
2 Wang, Yudong
2 Wu, Chongfeng
2 Yu, Lean
1 Abraham, Bovas
1 Ahmad, Nursilah
1 Ahumada, Hildegart A.
1 Alberto, Isolina
1 Alsayed, Hamad
1 Amemiya, Yasuo
1 Amendola, Alessandra
1 Ames, Matthew
1 Amor, Souhir Ben
1 An, Yang
1 Andersson, Michael K.
1 Aneiros-Pérez, Germán
1 Angelini, Giovanni
1 Angers, Jean-François
1 Apergis, Nicholas
1 Aranki, Ted
1 Araujo, Gustavo
1 Ardia, David
1 Aretz, Kevin
1 Argyropoulos, Christos
1 Artis, Michael J.
1 Ashiya, Masahiro
1 Baesens, Bart
1 Baetje, Fabian
1 Baghestani, Hamid
1 Bagnarosa, Guillaume
1 Ban, Masataka
1 Barakchian, S. Mahdi
1 Bårdsen, Gunnar
1 Barhoumi, Karim
1 Barunik, Jozef
1 Basse, Tobias
1 Beamonte, Asunción
1 Begnum, Kyrre
...and 516 more Authors

Publications by Year

Citations contained in zbMATH Open

118 Publications have been cited 275 times in 459 Documents Cited by Year
Particle filters and Bayesian inference in financial econometrics. Zbl 1217.91146
Lopes, Hedibert F.; Tsay, Ruey S.
16
2011
Robust forecasting with exponential and Holt-Winters smoothing. Zbl 1203.62164
Gelper, Sarah; Fried, Roland; Croux, Christophe
11
2010
Forecasting UK industrial production with multivariate singular spectrum analysis. Zbl 1397.62330
Hassani, Hossein; Heravi, Saeed; Zhigljavsky, Anatoly
11
2013
Combining inflation density forecasts. Zbl 1204.91092
Kascha, Christian; Ravazzolo, Francesco
10
2010
Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes. Zbl 1217.91140
Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas
9
2011
Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models. Zbl 1397.62567
Pinson, Pierre; Madsen, Henrik
8
2012
Hierarchical shrinkage in time-varying parameter models. Zbl 1397.62090
Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris
7
2014
PARX model for football match predictions. Zbl 1397.62088
Angelini, Giovanni; De Angelis, Luca
6
2017
Long memory of financial time series and hidden Markov models with time-varying parameters. Zbl 1397.60104
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
6
2017
A decision rule to minimize daily capital charges in forecasting value-at-risk. Zbl 1204.91099
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez-Amaral, Teodosio
5
2010
Bayesian forecasting for financial risk management, pre and post the global financial crisis. Zbl 1397.91594
Chen, Cathy W. S.; Gerlach, Richard; Lin, Edward M. H.; Lee, W. C. W.
5
2012
Estimation and forecasting of locally stationary processes. Zbl 1397.62319
Palma, Wilfredo; Olea, Ricardo; Ferreira, Guillermo
5
2013
Bootstrap prediction bands for forecast paths from vector autoregressive models. Zbl 1248.62166
Staszewska-Bystrova, Anna
4
2011
Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights. Zbl 1204.91111
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno
4
2010
Do experts’ adjustments on model-based SKU-level forecasts improve forecast quality? Zbl 1204.91090
Franses, Philip Hans; Legerstee, Rianne
4
2010
Incorporating higher moments into value-at-risk forecasting. Zbl 1204.91103
Polanski, Arnold; Stoja, Evarist
4
2010
Two-dimensional kernel smoothing of mortality surface: an evaluation of cohort strength. Zbl 1376.62065
Li, Han; O’Hare, Colin; Vahid, Farshid
4
2016
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Zbl 1397.62410
Exterkate, Peter; van Dijk, Dick; Heij, Christiaan; Groenen, Patrick J. F.
4
2013
Ultra-high-frequency algorithmic arbitrage across international index futures. Zbl 1397.62500
Alsayed, Hamad; McGroarty, Frank
4
2014
Functional methods for time series prediction: a nonparametric approach. Zbl 1217.91138
Aneiros-Pérez, Germán; Cao, Ricardo; Vilar-Fernández, Juan M.
4
2011
A wavelet approach for factor-augmented forecasting. Zbl 1225.91049
Rua, António
3
2011
Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators. Zbl 1204.91101
Ozyildirim, Ataman; Schaitkin, Brian; Zarnowitz, Victor
3
2010
Dynamic probit models and financial variables in recession forecasting. Zbl 1204.91100
Nyberg, Henri
3
2010
Forecasting volatility with support vector machine-based GARCH model. Zbl 1205.91172
Chen, Shiyi; Härdle, Wolfgang K.; Jeong, Kiho
3
2010
New evidence on the relation between return volatility and trading volume. Zbl 1204.91087
Chiang, Thomas C.; Qiao, Zhuo; Wong, Wing-Keung
3
2010
Bias-corrected bootstrap prediction intervals for autoregressive model: New alternatives with applications to tourism forecasting. Zbl 1203.62166
Kim, Jae H.; Song, Haiyan; Wong, Kevin K. F.
3
2010
Forecasting performance of nonlinear models for intraday stock returns. Zbl 1397.62427
Matías, José M.; Reboredo, Juan C.
3
2012
Forecasting simultaneously high-dimensional time series: a robust model-based clustering approach. Zbl 1397.62235
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; Shrestha, Keshab M.
3
2013
Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models. Zbl 1397.91508
Groß-Llußmann, Axel; Hautsch, Nikolaus
3
2013
Forecasting mixed-frequency time series with ECM-MIDAS models. Zbl 1397.62306
Götz, Thomas B.; Hecq, Alain; Urbain, Jean-Pierre
3
2014
Inflation and unemployment forecasting with genetic support vector regression. Zbl 1397.62351
Sermpinis, Georgios; Stasinakis, Charalampos; Theofilatos, Konstantinos; Karathanasopoulos, Andreas
3
2014
Forecasting VaR models under different volatility processes and distributions of return innovations. Zbl 1397.91597
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias
3
2014
Time series of zero-inflated counts and their coherent forecasting. Zbl 1397.62315
Maiti, Raju; Biswas, Atanu; Das, Samarjit
3
2015
How to finance pensions: optimal strategies for pay-as-you-go pension systems. Zbl 1397.62533
Godínez-Olivares, Humberto; del Carmen Boado-Penas, María; Pantelous, Athanasios A.
3
2016
Forecasting intraday S&P 500 index returns: a functional time series approach. Zbl 1397.62572
Shang, Han Lin
3
2017
Nonlinear identification of judgmental forecasts effects at SKU level. Zbl 1219.91111
Trapero, Juan R.; Fildes, Robert; Davydenko, Andrey
2
2011
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area. Zbl 1205.91137
Billio, Monica; Casarin, Roberto
2
2010
Nowcasting from disaggregates in the face of location shifts. Zbl 1205.91126
Castle, Jennifer L.; Hendry, David F.
2
2010
Modeling compositional time series with vector autoregressive models. Zbl 1376.62105
Kynčlová, Petra; Filzmoser, Peter; Hron, Karel
2
2015
Term structure forecasting: no-arbitrage restrictions versus large information set. Zbl 1397.91582
Favero, Carlo A.; Niu, Linlin; Sala, Luca
2
2012
Forecast combination and Bayesian model averaging: a prior sensitivity analysis. Zbl 1397.62338
Feldkircher, Martin
2
2012
Predicting recessions with factor linear dynamic harmonic regressions. Zbl 1397.62512
Bujosa, Marcos; García-Ferrer, Antonio; De Juan, Aránzazu
2
2013
Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting. Zbl 1397.91598
Gerlach, Richard; Lu, Zudi; Huang, Hai
2
2013
A dynamic factor approach to mortality modeling. Zbl 1397.91283
French, Declan; O’Hare, Colin
2
2013
Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts? Zbl 1397.62439
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa
2
2013
Estimating and forecasting APARCH-skew-\(t\) model by wavelet support vector machines. Zbl 1397.62420
Li, Yushu
2
2014
Estimating and forecasting large panels of volatilities with approximate dynamic factor models. Zbl 1397.62555
Luciani, Matteo; Veredas, David
2
2015
On the modelling and forecasting of multivariate realized volatility: generalized heterogeneous autoregressive (GHAR) model. Zbl 1397.62403
Čech, František; Baruník, Jozef
2
2017
A flexible functional form approach to mortality modeling: do we need additional cohort dummies? Zbl 1397.33009
Li, Han; O’Hare, Colin; Vahid, Farshid
2
2017
Testing for common autocorrelation in data-rich environments. Zbl 1211.91196
Cubadda, Gianluca; Hecq, Alain
2
2011
New proposals for the quantification of qualitative survey data. Zbl 1217.91147
Proietti, Tommaso; Frale, Cecilia
2
2011
Forecasting time-varying covariance with a robust Bayesian threshold model. Zbl 1219.91113
Wu, Chih-Chiang; Lee, Jack C.
1
2011
A nonparametric method for asymmetrically extending signal extraction filters. Zbl 1225.91052
McElroy, Tucker
1
2011
Combining forecasts based on multiple encompassing tests in a macroeconomic core system. Zbl 1226.91045
Costantini, Mauro; Kunst, Robert M.
1
2011
A new production function estimate of the euro area output gap. Zbl 1205.91133
Lemoine, Matthieu; Mazzi, Gian Luigi; Monperrus-Veroni, Paola; Reynes, Frédéric
1
2010
Survey data as coincident or leading indicators. Zbl 1205.91128
Frale, Cecilia; Marcellino, Massimiliano; Mazzi, Gian Luigi; Proietti, Tommaso
1
2010
Are disaggregate data useful for factor analysis in forecasting French GDP? Zbl 1204.91086
Barhoumi, Karim; Darné, Olivier; Ferrara, Laurent
1
2010
GDP nowcasting with ragged-edge data: a semi-parametric modeling. Zbl 1205.91127
Ferrara, Laurent; Guégan, Dominique; Rakotomarolahy, Patrick
1
2010
Forecasting using targeted diffusion indexes. Zbl 1204.91088
Dias, Francisco; Pinheiro, Maximiano; Rua, António
1
2010
Predicting the signs of forecast errors. Zbl 1204.91106
Solferino, Nazaria; Waldmann, Robert
1
2010
Business failure prediction using decision trees. Zbl 1204.91091
Gepp, Adrian; Kumar, Kuldeep; Bhattacharya, Sukanto
1
2010
The use of encompassing tests for forecast combinations. Zbl 1204.91093
Kışınbay, Turgut
1
2010
Variable selection in STAR models with neighbourhood effects using genetic algorithms. Zbl 1203.62153
Alberto, Isolina; Beamonte, Asunción; Gargallo, Pilar; Mateo, Pedro M.; Salvador, Manuel
1
2010
Do professional forecasters believe in the Phillips curve? Evidence from the G7 countries. Zbl 1208.91109
Fendel, Ralf; Lis, Eliza M.; Rülke, Jan-Christoph
1
2011
A simple linear regression approach to modeling and forecasting mortality rates. Zbl 1365.62478
Lin, Tzuling; Tsai, Cary Chi-Liang
1
2015
Forecasting inflation rates using daily data: a nonparametric MIDAS approach. Zbl 1365.62402
Breitung, Jörg; Roling, Christoph
1
2015
Lasso-type penalties for covariate selection and forecasting in time series. Zbl 1378.62074
Konzen, Evandro; Ziegelmann, Flavio A.
1
2016
An adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear energy price time series forecasting. Zbl 1376.62122
Zhu, Bangzhu; Shi, Xuetao; Chevallier, Julien; Wang, Ping; Wei, Yi-Ming
1
2016
Factor models of stock returns: GARCH errors versus time-varying betas. Zbl 1376.62064
Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; Samartzis, Panagiotis
1
2016
Predicting the direction of the Fed’s target rate. Zbl 1397.62343
Kauppi, Heikki
1
2012
Signal extraction and forecasting of the UK tourism income time series: a singular spectrum analysis approach. Zbl 1397.62508
Beneki, Christina; Eeckels, Bruno; Leon, Costas
1
2012
Multivariate GARCH models with correlation clustering. Zbl 1397.62573
So, Mike K. P.; Yip, Iris W. H.
1
2012
Optimal hedge ratio estimation and effectiveness using ARCD. Zbl 1397.62418
Kostika, Eleftheria; Markellos, Raphael N.
1
2013
Real-time forecasts of inflation: the role of financial variables. Zbl 1397.62560
Monteforte, Libero; Moretti, Gianluca
1
2013
A meta-learning framework for bankruptcy prediction. Zbl 1397.91012
Tsai, Chih-Fong; Hsu, Yu-Feng
1
2013
On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction. Zbl 1397.62309
Herwartz, Helmut
1
2013
Hurricane lifespan modeling through a semi-Markov parametric approach. Zbl 1397.62486
Masala, Giovanni
1
2013
Direction-of-change financial time series forecasting using a similarity-based classification model. Zbl 1397.91513
Skabar, Andrew
1
2013
Early warning with calibrated and sharper probabilistic forecasts. Zbl 1397.62347
Machete, Reason L.
1
2013
Heterogeneous asymmetric dynamic conditional correlation model with stock return and range. Zbl 1397.62295
Asai, Manabu
1
2013
Short-term forecasts of French GDP: a dynamic factor model with targeted predictors. Zbl 1397.62510
Bessec, Marie
1
2013
Quantile double AR time series models for financial returns. Zbl 1397.62400
Cai, Yuzhi; Montes-Rojas, Gabriel; Olmo, Jose
1
2013
Forecasting call centre arrivals. Zbl 1397.62361
Millán-Ruiz, David; Hidalgo, J. Ignacio
1
2013
In-sample and out-of-sample prediction of stock market bubbles: cross-sectional evidence. Zbl 1397.62538
Herwartz, Helmut; Kholodilin, Konstantin A.
1
2014
Forecasting the term structure when short-term rates are near zero. Zbl 1397.91584
Steeley, James M.
1
2014
Multivariate time series model with hierarchical structure for over-dispersed discrete outcomes. Zbl 1397.62241
Terui, Nobuhiko; Ban, Masataka
1
2014
Real-time pricing and hedging of options on currency futures with artificial neural networks. Zbl 1397.91580
von Spreckelsen, Christian; von Mettenheim, Hans-Jörg; Breitner, Michael H.
1
2014
Stock market simulation using support vector machines. Zbl 1397.68157
Rosillo, Rafael; Giner, Javier; de la Fuente, David
1
2014
Forecasting daily variations of stock index returns with a multifractal model of realized volatility. Zbl 1397.62422
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina
1
2014
A quantile regression approach to equity premium prediction. Zbl 1397.62429
Meligkotsidou, Loukia; Panopoulou, Ekaterini; Vrontos, Ioannis D.; Vrontos, Spyridon D.
1
2014
Modelling and trading the Greek stock market with gene expression and genetic programing algorithms. Zbl 1397.91006
Karatahansopoulos, Andreas; Sermpinis, Georgios; Laws, Jason; Dunis, Christian
1
2014
Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Zbl 1397.62398
Amendola, Alessandra; Storti, Giuseppe
1
2015
Predictable return distributions. Zbl 1397.62321
Pedersen, Thomas Q.
1
2015
Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance. Zbl 1397.62426
Massacci, Daniele
1
2015
Improving forecast of binary rare events data: a GAM-based approach. Zbl 1397.62334
Calabrese, Raffaella; Osmetti, Silvia Angela
1
2015
The predictive performance evaluation of biased regression predictors with correlated errors. Zbl 1397.62337
Dawoud, Issam; Kaçiranlar, Selahattin
1
2015
Measuring disagreement in qualitative expectations. Zbl 1397.62019
Mokinski, Frieder; Sheng, Xuguang (Simon); Yang, Jingyun
1
2015
Self-restraining Bass models. Zbl 1397.91377
Liang, Xiaoying; Xie, Lei; Yan, Houmin
1
2015
On the benefits of equicorrelation for portfolio allocation. Zbl 1397.62205
Clements, Adam; Scott, Ayesha; Silvennoinen, Annastiina
1
2015
Forecasting government bond yields with neural networks considering cointegration. Zbl 1397.62575
Wegener, Christoph; von Spreckelsen, Christian; Basse, Tobias; von Mettenheim, Hans-Jörg
1
2016
Mortality effects of economic fluctuations in selected eurozone countries. Zbl 1414.62423
Seklecka, Malgorzata; Lazam, Norazliani Md.; Pantelous, Athanasios A.; O’Hare, Colin
1
2019
Predicting crypto-currencies using sparse non-Gaussian state space models. Zbl 1397.62540
Hotz-Behofsits, Christian; Huber, Florian; Zörner, Thomas Otto
1
2018
Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates. Zbl 1397.62407
Choi, Ji-Eun; Shin, Dong Wan
1
2018
A new parsimonious recurrent forecasting model in singular spectrum analysis. Zbl 1398.62241
Mahmoudvand, Rahim; Rodrigues, Paulo Canas
1
2018
Volatility forecasting of crude oil market: a new hybrid method. Zbl 1414.62507
Zhang, Yue-Jun; Zhang, Jin-Liang
1
2018
PARX model for football match predictions. Zbl 1397.62088
Angelini, Giovanni; De Angelis, Luca
6
2017
Long memory of financial time series and hidden Markov models with time-varying parameters. Zbl 1397.60104
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
6
2017
Forecasting intraday S&P 500 index returns: a functional time series approach. Zbl 1397.62572
Shang, Han Lin
3
2017
On the modelling and forecasting of multivariate realized volatility: generalized heterogeneous autoregressive (GHAR) model. Zbl 1397.62403
Čech, František; Baruník, Jozef
2
2017
A flexible functional form approach to mortality modeling: do we need additional cohort dummies? Zbl 1397.33009
Li, Han; O’Hare, Colin; Vahid, Farshid
2
2017
Modeling and forecasting online auction prices: a semiparametric regression analysis. Zbl 1397.91248
Chan, Ngai Hang; Liu, Wei Wei
1
2017
Bayesian forecasting for time series of categorical data. Zbl 1397.62293
Angers, Jean-François; Biswas, Atanu; Maiti, Raju
1
2017
The impact of parameter and model uncertainty on market risk predictions from GARCH-type models. Zbl 1397.62294
Ardia, David; Kolly, Jeremy; Trottier, Denis-Alexandre
1
2017
On assessing the relative performance of default predictions. Zbl 1397.62552
Krämer, Walter
1
2017
Two-dimensional kernel smoothing of mortality surface: an evaluation of cohort strength. Zbl 1376.62065
Li, Han; O’Hare, Colin; Vahid, Farshid
4
2016
How to finance pensions: optimal strategies for pay-as-you-go pension systems. Zbl 1397.62533
Godínez-Olivares, Humberto; del Carmen Boado-Penas, María; Pantelous, Athanasios A.
3
2016
Lasso-type penalties for covariate selection and forecasting in time series. Zbl 1378.62074
Konzen, Evandro; Ziegelmann, Flavio A.
1
2016
An adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear energy price time series forecasting. Zbl 1376.62122
Zhu, Bangzhu; Shi, Xuetao; Chevallier, Julien; Wang, Ping; Wei, Yi-Ming
1
2016
Factor models of stock returns: GARCH errors versus time-varying betas. Zbl 1376.62064
Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; Samartzis, Panagiotis
1
2016
Forecasting government bond yields with neural networks considering cointegration. Zbl 1397.62575
Wegener, Christoph; von Spreckelsen, Christian; Basse, Tobias; von Mettenheim, Hans-Jörg
1
2016
Forecasting elections. Zbl 1397.62353
Williams, Leighton Vaughan; Reade, J. James
1
2016
Estimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach. Zbl 1397.62413
Hambuckers, Julien; Heuchenne, Cédric
1
2016
Time series of zero-inflated counts and their coherent forecasting. Zbl 1397.62315
Maiti, Raju; Biswas, Atanu; Das, Samarjit
3
2015
Modeling compositional time series with vector autoregressive models. Zbl 1376.62105
Kynčlová, Petra; Filzmoser, Peter; Hron, Karel
2
2015
Estimating and forecasting large panels of volatilities with approximate dynamic factor models. Zbl 1397.62555
Luciani, Matteo; Veredas, David
2
2015
A simple linear regression approach to modeling and forecasting mortality rates. Zbl 1365.62478
Lin, Tzuling; Tsai, Cary Chi-Liang
1
2015
Forecasting inflation rates using daily data: a nonparametric MIDAS approach. Zbl 1365.62402
Breitung, Jörg; Roling, Christoph
1
2015
Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Zbl 1397.62398
Amendola, Alessandra; Storti, Giuseppe
1
2015
Predictable return distributions. Zbl 1397.62321
Pedersen, Thomas Q.
1
2015
Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance. Zbl 1397.62426
Massacci, Daniele
1
2015
Improving forecast of binary rare events data: a GAM-based approach. Zbl 1397.62334
Calabrese, Raffaella; Osmetti, Silvia Angela
1
2015
The predictive performance evaluation of biased regression predictors with correlated errors. Zbl 1397.62337
Dawoud, Issam; Kaçiranlar, Selahattin
1
2015
Measuring disagreement in qualitative expectations. Zbl 1397.62019
Mokinski, Frieder; Sheng, Xuguang (Simon); Yang, Jingyun
1
2015
Self-restraining Bass models. Zbl 1397.91377
Liang, Xiaoying; Xie, Lei; Yan, Houmin
1
2015
On the benefits of equicorrelation for portfolio allocation. Zbl 1397.62205
Clements, Adam; Scott, Ayesha; Silvennoinen, Annastiina
1
2015
Hierarchical shrinkage in time-varying parameter models. Zbl 1397.62090
Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris
7
2014
Ultra-high-frequency algorithmic arbitrage across international index futures. Zbl 1397.62500
Alsayed, Hamad; McGroarty, Frank
4
2014
Forecasting mixed-frequency time series with ECM-MIDAS models. Zbl 1397.62306
Götz, Thomas B.; Hecq, Alain; Urbain, Jean-Pierre
3
2014
Inflation and unemployment forecasting with genetic support vector regression. Zbl 1397.62351
Sermpinis, Georgios; Stasinakis, Charalampos; Theofilatos, Konstantinos; Karathanasopoulos, Andreas
3
2014
Forecasting VaR models under different volatility processes and distributions of return innovations. Zbl 1397.91597
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias
3
2014
Estimating and forecasting APARCH-skew-\(t\) model by wavelet support vector machines. Zbl 1397.62420
Li, Yushu
2
2014
In-sample and out-of-sample prediction of stock market bubbles: cross-sectional evidence. Zbl 1397.62538
Herwartz, Helmut; Kholodilin, Konstantin A.
1
2014
Forecasting the term structure when short-term rates are near zero. Zbl 1397.91584
Steeley, James M.
1
2014
Multivariate time series model with hierarchical structure for over-dispersed discrete outcomes. Zbl 1397.62241
Terui, Nobuhiko; Ban, Masataka
1
2014
Real-time pricing and hedging of options on currency futures with artificial neural networks. Zbl 1397.91580
von Spreckelsen, Christian; von Mettenheim, Hans-Jörg; Breitner, Michael H.
1
2014
Stock market simulation using support vector machines. Zbl 1397.68157
Rosillo, Rafael; Giner, Javier; de la Fuente, David
1
2014
Forecasting daily variations of stock index returns with a multifractal model of realized volatility. Zbl 1397.62422
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina
1
2014
A quantile regression approach to equity premium prediction. Zbl 1397.62429
Meligkotsidou, Loukia; Panopoulou, Ekaterini; Vrontos, Ioannis D.; Vrontos, Spyridon D.
1
2014
Modelling and trading the Greek stock market with gene expression and genetic programing algorithms. Zbl 1397.91006
Karatahansopoulos, Andreas; Sermpinis, Georgios; Laws, Jason; Dunis, Christian
1
2014
Forecasting UK industrial production with multivariate singular spectrum analysis. Zbl 1397.62330
Hassani, Hossein; Heravi, Saeed; Zhigljavsky, Anatoly
11
2013
Estimation and forecasting of locally stationary processes. Zbl 1397.62319
Palma, Wilfredo; Olea, Ricardo; Ferreira, Guillermo
5
2013
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Zbl 1397.62410
Exterkate, Peter; van Dijk, Dick; Heij, Christiaan; Groenen, Patrick J. F.
4
2013
Forecasting simultaneously high-dimensional time series: a robust model-based clustering approach. Zbl 1397.62235
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; Shrestha, Keshab M.
3
2013
Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models. Zbl 1397.91508
Groß-Llußmann, Axel; Hautsch, Nikolaus
3
2013
Predicting recessions with factor linear dynamic harmonic regressions. Zbl 1397.62512
Bujosa, Marcos; García-Ferrer, Antonio; De Juan, Aránzazu
2
2013
Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting. Zbl 1397.91598
Gerlach, Richard; Lu, Zudi; Huang, Hai
2
2013
A dynamic factor approach to mortality modeling. Zbl 1397.91283
French, Declan; O’Hare, Colin
2
2013
Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts? Zbl 1397.62439
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa
2
2013
Optimal hedge ratio estimation and effectiveness using ARCD. Zbl 1397.62418
Kostika, Eleftheria; Markellos, Raphael N.
1
2013
Real-time forecasts of inflation: the role of financial variables. Zbl 1397.62560
Monteforte, Libero; Moretti, Gianluca
1
2013
A meta-learning framework for bankruptcy prediction. Zbl 1397.91012
Tsai, Chih-Fong; Hsu, Yu-Feng
1
2013
On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction. Zbl 1397.62309
Herwartz, Helmut
1
2013
Hurricane lifespan modeling through a semi-Markov parametric approach. Zbl 1397.62486
Masala, Giovanni
1
2013
Direction-of-change financial time series forecasting using a similarity-based classification model. Zbl 1397.91513
Skabar, Andrew
1
2013
Early warning with calibrated and sharper probabilistic forecasts. Zbl 1397.62347
Machete, Reason L.
1
2013
Heterogeneous asymmetric dynamic conditional correlation model with stock return and range. Zbl 1397.62295
Asai, Manabu
1
2013
Short-term forecasts of French GDP: a dynamic factor model with targeted predictors. Zbl 1397.62510
Bessec, Marie
1
2013
Quantile double AR time series models for financial returns. Zbl 1397.62400
Cai, Yuzhi; Montes-Rojas, Gabriel; Olmo, Jose
1
2013
Forecasting call centre arrivals. Zbl 1397.62361
Millán-Ruiz, David; Hidalgo, J. Ignacio
1
2013
Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models. Zbl 1397.62567
Pinson, Pierre; Madsen, Henrik
8
2012
Bayesian forecasting for financial risk management, pre and post the global financial crisis. Zbl 1397.91594
Chen, Cathy W. S.; Gerlach, Richard; Lin, Edward M. H.; Lee, W. C. W.
5
2012
Forecasting performance of nonlinear models for intraday stock returns. Zbl 1397.62427
Matías, José M.; Reboredo, Juan C.
3
2012
Term structure forecasting: no-arbitrage restrictions versus large information set. Zbl 1397.91582
Favero, Carlo A.; Niu, Linlin; Sala, Luca
2
2012
Forecast combination and Bayesian model averaging: a prior sensitivity analysis. Zbl 1397.62338
Feldkircher, Martin
2
2012
Predicting the direction of the Fed’s target rate. Zbl 1397.62343
Kauppi, Heikki
1
2012
Signal extraction and forecasting of the UK tourism income time series: a singular spectrum analysis approach. Zbl 1397.62508
Beneki, Christina; Eeckels, Bruno; Leon, Costas
1
2012
Multivariate GARCH models with correlation clustering. Zbl 1397.62573
So, Mike K. P.; Yip, Iris W. H.
1
2012
Particle filters and Bayesian inference in financial econometrics. Zbl 1217.91146
Lopes, Hedibert F.; Tsay, Ruey S.
16
2011
Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes. Zbl 1217.91140
Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas
9
2011
Bootstrap prediction bands for forecast paths from vector autoregressive models. Zbl 1248.62166
Staszewska-Bystrova, Anna
4
2011
Functional methods for time series prediction: a nonparametric approach. Zbl 1217.91138
Aneiros-Pérez, Germán; Cao, Ricardo; Vilar-Fernández, Juan M.
4
2011
A wavelet approach for factor-augmented forecasting. Zbl 1225.91049
Rua, António
3
2011
Nonlinear identification of judgmental forecasts effects at SKU level. Zbl 1219.91111
Trapero, Juan R.; Fildes, Robert; Davydenko, Andrey
2
2011
Testing for common autocorrelation in data-rich environments. Zbl 1211.91196
Cubadda, Gianluca; Hecq, Alain
2
2011
New proposals for the quantification of qualitative survey data. Zbl 1217.91147
Proietti, Tommaso; Frale, Cecilia
2
2011
Forecasting time-varying covariance with a robust Bayesian threshold model. Zbl 1219.91113
Wu, Chih-Chiang; Lee, Jack C.
1
2011
A nonparametric method for asymmetrically extending signal extraction filters. Zbl 1225.91052
McElroy, Tucker
1
2011
Combining forecasts based on multiple encompassing tests in a macroeconomic core system. Zbl 1226.91045
Costantini, Mauro; Kunst, Robert M.
1
2011
Do professional forecasters believe in the Phillips curve? Evidence from the G7 countries. Zbl 1208.91109
Fendel, Ralf; Lis, Eliza M.; Rülke, Jan-Christoph
1
2011
Flow of conjunctural information and forecast of euro area economic activity. Zbl 1211.91198
Drechsel, Katja; Maurin, Laurent
1
2011
Pricing of basket options using univariate normal inverse Gaussian approximations. Zbl 1211.91252
Benth, Fred Espen; Henriksen, Pål Nicolai
1
2011
Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty. Zbl 1217.91142
Chen, Yi-Ting
1
2011
Inference for regression models with errors from a non-invertible MA(1) process. Zbl 1217.91141
Chen, Mei-Ching; Davis, Richard A.; Song, Li
1
2011
Random aggregation with applications in high-frequency finance. Zbl 1217.91149
Tsay, Ruey S.; Yeh, Jin-Huei
1
2011
Gauss, Kalman and advances in recursive parameter estimation. Zbl 1217.91151
Young, Peter C.
1
2011
Distributional Kalman filters for Bayesian forecasting and closed form recurrences. Zbl 1217.91148
Smith, Jim Q.; Freeman, G.
1
2011
Robust forecasting with exponential and Holt-Winters smoothing. Zbl 1203.62164
Gelper, Sarah; Fried, Roland; Croux, Christophe
11
2010
Combining inflation density forecasts. Zbl 1204.91092
Kascha, Christian; Ravazzolo, Francesco
10
2010
A decision rule to minimize daily capital charges in forecasting value-at-risk. Zbl 1204.91099
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez-Amaral, Teodosio
5
2010
Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights. Zbl 1204.91111
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno
4
2010
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6 Chen, Cathy W. S.
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5 Trívez, F. Javier
4 Bilder, Christopher R.
4 Catalán, Beatriz
4 Cipra, Tomáš
4 De Gooijer, Jan G.
4 Lindström, Erik
4 Loughin, Thomas M.
4 Madsen, Henrik O.
4 Nieto, Fabio H.
4 Östermark, Ralf
4 Ravishanker, Nalini
4 Sermpinis, Georgios
4 Shao, Xiaofeng
3 Ali, Sherif S.
3 Andersson, Eva
3 Asai, Manabu
3 Berrar, Daniel P.
3 Cai, Yuzhi
3 Costantini, Mauro
3 Dubitzky, Werner
3 Franses, Philip Hans
3 Genton, Marc G.
3 Gerlach, Richard H.
3 Härdle, Wolfgang Karl
3 Hotta, Luiz Koodi
3 Karathanasopoulos, Andreas
3 Koike, Yuta
3 Lopes, Hedibert Freitas
3 Lopes, Philippe
3 Lu, Zhiping
3 Proietti, Tommaso
3 Ravazzolo, Francesco
3 Shaarawy, Samir Moustafa
3 Syuhada, Khreshna I. A.
3 Tanizaki, Hisashi
3 West, Mike
2 Albers, Casper J.
2 Alonso, Andrés M.
2 Altun, Emrah
2 Bai, Zhi-Dong
2 Barbosa, Emanuel Pimentel
2 Beyaztas, Ufuk
2 Blake, David
2 Boyd, Stephen Poythress
2 Brannas, Kurt
2 Caporale, Guglielmo Maria
2 Casarin, Roberto
2 Chan, Joshua C. C.
2 Chang, Chialin
2 Chen, Ying
2 Croux, Christophe
2 Davies, Neville
2 Davis, Jesse
2 Dey, Dipak Kumar
2 Dunis, Christian L.
2 Eisenstat, Eric
2 Ferrara, Laurent
2 Ferreira, Guillermo P.
2 Fildes, Robert
2 Franco, Glaura C.
2 Gargallo, Pilar
2 Gel, Yulia R.
2 Gelper, Sarah
2 Ghodsi, Mansi
2 Gneiting, Tilmann
2 Guerrero, Victor M.
2 Hanzák, Tomáš
2 Hassani, Hossein
2 Hayashi, Takaki
2 Hecq, Alain W.
2 Herwartz, Helmut
2 Hosking, Jonathan R. M.
2 Jimenez-Martin, Juan-Angel
2 Johnstone, David J.
2 Kabaila, Paul V.
2 Lavergne, Christian
2 Lee, Jack Chao-Sheng
2 Liu, Feng-Chi
2 Machete, Reason L.
2 Mahmoudvand, Rahim
2 Maiti, Raju
2 Marcellino, Massimiliano
2 Mateu, Jorge
2 Matsuda, Yasumasa
2 McAlinn, Kenichiro
2 McElroy, Tucker S.
2 Miller, J. Isaac
2 Nadarajah, Saralees
2 Niglio, Marcella
2 Nikolopoulos, Konstantinos
2 Palma, Wilfredo
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2 Peña, Daniel
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Cited in 118 Journals

26 Journal of Applied Statistics
25 Communications in Statistics. Theory and Methods
24 Journal of Statistical Computation and Simulation
20 Quantitative Finance
19 Journal of Time Series Analysis
18 Journal of Econometrics
16 Communications in Statistics. Simulation and Computation
13 Computational Statistics
13 European Journal of Operational Research
12 Annals of Operations Research
12 Journal of Forecasting
11 Insurance Mathematics & Economics
11 Test
11 Econometric Theory
10 Econometric Reviews
10 Computational Statistics and Data Analysis
9 Statistical Papers
7 Statistical Methods and Applications
6 Journal of Economic Dynamics & Control
6 Economics Letters
6 Asia-Pacific Financial Markets
5 Journal of the American Statistical Association
5 Kybernetika
5 Mathematics and Computers in Simulation
5 Computational Economics
4 International Journal of Systems Science
4 Theory and Decision
4 Machine Learning
4 Journal of Nonparametric Statistics
4 Journal of Systems Science and Complexity
4 Statistical Modelling
4 Electronic Journal of Statistics
3 Biometrics
3 Kybernetes
3 Statistics & Probability Letters
3 Statistics
3 Australian & New Zealand Journal of Statistics
3 Statistical Inference for Stochastic Processes
3 North American Actuarial Journal
3 Journal of Time Series Econometrics
2 International Journal of Control
2 Psychometrika
2 Annals of the Institute of Statistical Mathematics
2 The Annals of Statistics
2 Journal of Computational and Applied Mathematics
2 Journal of Multivariate Analysis
2 Journal of Statistical Planning and Inference
2 Statistical Science
2 Applications of Mathematics
2 Open Economies Review
2 Applied Mathematical Finance
2 International Transactions in Operational Research
2 Mathematical Problems in Engineering
2 Mathematical Population Studies
2 International Journal of Theoretical and Applied Finance
2 Computational Management Science
2 The Annals of Applied Statistics
2 Journal of the Italian Statistical Society
2 Journal of Agricultural, Biological, and Environmental Statistics
2 Statistics and Computing
2 Bayesian Analysis
1 The Canadian Journal of Statistics
1 Scandinavian Journal of Statistics
1 Information Sciences
1 International Journal of Mathematics and Mathematical Sciences
1 International Economic Review
1 Metron
1 Opsearch
1 Journal of Information & Optimization Sciences
1 Journal of the Japan Statistical Society
1 Mathematical Social Sciences
1 International Journal of Production Research
1 Acta Mathematicae Applicatae Sinica. English Series
1 Computational Mechanics
1 Science in China. Series A
1 Journal of Applied Mathematics and Stochastic Analysis
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1 Journal of Global Optimization
1 Applied Intelligence
1 Automation and Remote Control
1 Stochastic Processes and their Applications
1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
1 Computational and Applied Mathematics
1 Economic Theory
1 Top
1 Statistica Sinica
1 Annals of Mathematics and Artificial Intelligence
1 Abstract and Applied Analysis
1 Mathematical Methods of Operations Research
1 Journal of Applied Mathematics and Decision Sciences
1 Extremes
1 CEJOR. Central European Journal of Operations Research
1 Methodology and Computing in Applied Probability
1 Applied Stochastic Models in Business and Industry
1 Brazilian Journal of Probability and Statistics
1 Scandinavian Actuarial Journal
1 Decisions in Economics and Finance
1 AStA. Allgemeines Statistisches Archiv
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