International Journal of Forecasting

Volume 28, n° 4, October-December 2012

Special Section: Election Forecasting in Neglected Democracies

  • LEWIS-BECK Michael S., BELANGER Éric - Election forecasting in neglected democracies: An introduction, pp. 767-768
  • MAGALHAES Pedro C., AGUIAR-CONRARIA Luís, LEWIS-BECK Michael S. - Forecasting Spanish elections, pp. 769-776
  • DASSONNEVILLE Ruth, HOOGHE Marc - Election forecasting under opaque conditions: A model for Francophone Belgium, 1981–2010, pp. 777-788
  • ARNESEN Sveinung - Forecasting Norwegian elections: Out of work and out of office, pp. 789-796
  • LEWIS-BECK Michael S., TIEN Charles - Japanese election forecasting: Classic tests of a hard case, pp. 797-803
  • TURGEON Mathieu, RENNO Lucio- Forecasting Brazilian presidential elections: Solving the N problem, pp. 804-812
  • TOROS Emre - Forecasting Turkish local elections, pp. 813-821
  • JASTRAMSKIS Mažvydas - Election forecasting in Lithuania: The case of municipal elections, pp. 822-829
  • ALI Mohammad M., BOYLAN John E., SYNTETOS Aris A. - Forecast errors and inventory performance under forecast information sharing, pp. 830-841
  • ACAR Yavuz, GARDNER Everette S. - Forecasting method selection in a global supply chain, pp. 842-848
  • SENER Emrah, BARONYAN Sayad, MENGÜTÜRK Levent Ali - Ranking the predictive performances of value-at-risk estimation methods, pp. 849-873
  • PANDIT Shailendra, WILLIS Richard H., ZHOU Ling - Security analysts, cash flow forecasts, and turnover, pp. 874-890

(résumés du n° 4/2012)

Volume 28, n° 3, July-September 2012

  • CHEN Cathy W.S., GERLACH Richard, HWANG Bruce B.K., McALEER Michael - Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range, pp. 557-574
  • KIM Hyeongwoo, DURMAZ Nazif - Bias correction and out-of-sample forecast accuracy, pp. 575-586
  • MICHALAKELIS C., SPHICOPOULOS T. - A population dependent diffusion model with a stochastic extension, pp. 587-606
  • DANAHER Peter, DAGGER Tracey - rUsing a nested logit model to forecast television ratings, pp. 607-622
  • LANNE Markku, LUOTO Jani, SAIKKONEN Pentti - Optimal forecasting of noncausal autoregressive time series, pp. 623-631
  • AKHTAR Sohail, SCARF Philip - Forecasting test cricket match outcomes in play, pp. 632-643
  • GOULAS Lambros, SKIADOPOULOS George - Are freight futures markets efficient? Evidence from IMAREX, pp. 644-659
  • JUN Duk Bin, KIM Jungki, PARK Myoung Hwan, CHA Kyoung Cheon - Modeling patronage shift to a new entrant for predicting disproportionate losses for incumbent outlets, pp. 600-674
  • HWANG Ruey-Ching - A varying-coefficient default model, pp. 675-688

The illusion of predictability

  • ARMSTRONG J. Scott - Illusions in regression analysis, pp. 689-694
  • SOYER Emre,HOGARTH Robin M. - The illusion of predictability: How regression statistics mislead experts, pp. 695-711
  • ZILIAK Stephen T. - Visualizing uncertainty: On Soyer’s and Hogarth’s “The illusion of predictability: How regression statistics mislead experts”, pp. 712-714
  • TALEB Nassim N., GOLDSTEIN Daniel G. - The problem is beyond psychology: The real world is more random than regression analyses, pp. 715-716
  • ORD J. Keith - The illusion of predictability: A call to action, pp. 717-718
  • SOYER Emre, HOGARTH Robin M. - Response to Commentaries on “The illusion of predictability: How regression statistics mislead experts”, pp. 719-721

Fast sparse regression and classification

  • FRIEDMAN Jerome H. - Fast sparse regression and classification, pp. 722-738
  • KAPETANIOS George, PESARAN M. Hashem - Comment on ‘Fast sparse regression and classification’ by J.H. Friedman, pp. 739-740
  • LEAMER Edward E. - The Context Matters: Comment on Jerome H. Friedman, “Fast sparse regression and classification”, pp. 741-748
  • TRAN Minh-Ngoc, GIORDANI Paolo, KOHN Robert - Discussion of “Fast sparse regression and classification” by Jerome Friedman, pp. 749-750

(résumés du n° 3/2012)

Volume 28, n° 2. April-June 2012

  • CLEMENTS Michael P. - Do professional forecasters pay attention to data releases? pp. 297-308

  • SINCLAIR Tara M., GAMBER Edward N., STEKLER Herman, REID Elizabeth - Jointly evaluating the Federal Reserve’s forecasts of GDP growth and inflation, pp. 309-314

  • RAPACH David E., STRAUSS Jack K. - Forecasting US state-level employment growth: An amalgamation approach, pp. 315-327

  • GONZALEZ-RIVERA Gloria, YOLDAS Emre - Autocontour-based evaluation of multivariate predictive densities, pp. 328-342

  • POLANSKI Arnold, STOJA Evarist - Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management, pp. 343-352

  • NIKOLSKO-RZHEVSKYY Alex, PRODAN Ruxandra - Markov switching and exchange rate predictability, pp. 353-365

  • CHEN Chun-Hung, YU Wei-Choun, ZIVOT Eric - Predicting stock volatility using after-hours information: Evidence from the NASDAQ actively traded stocks, pp. 366-383

  • LIN Edward M.H., CHEN Cathy W.S., GERLACH Richard - Forecasting volatility with asymmetric smooth transition dynamic range models, pp. 384-399

  • CHRISTENSEN T.M., LINDSAY A.S. Hurn, K.A. - Forecasting spikes in electricity prices, pp. 400-411

  • AHUMADA Hildegart A., GAREGNANI Maria Lorena - Forecasting a monetary aggregate under instability: Argentina after 2001, pp. 412-427

  • DRECHSEL Katja, SCHEUFELE Rolf - The performance of short-term forecasts of the German economy before and during the 2008/2009 recession, pp. 428-445

  • NARAIDOO Ruthira, PAYA Ivan - Forecasting monetary policy rules in South Africa, pp. 446-455

  • ARON Janine, MUELLBAUER John - Improving forecasting in an emerging economy, South Africa: Changing trends, long run restrictions and disaggregation, pp. 456-476

  • KOEHLER Anne B., SNYDER Ralph D., ORD J. Keith, BEAUMONT Adrian - A study of outliers in the exponential smoothing approach to forecasting, pp. 477-484

  • SNYDER Ralph D., ORD J. Keith, BEAUMONT Adrian - Forecasting the intermittent demand for slow-moving inventories: A modelling approach, pp. 485-496

  • HUANG Chun-Yao - To model, or not to model: Forecasting for customer prioritization, pp. 497-506

  • AUDZEYEVA Alena, SUMMERS Barbara, SCHENK-HOPPE Klaus Reiner - Forecasting customer behaviour in a multi-service financial organisation: A profitability perspective, pp. 507-518

  • TORRI Tiziana, VAUPEL James W. - Forecasting life expectancy in an international context, pp. 519-531

  • STRUMBELJ Erik, VRACAR Petar - Simulating a basketball match with a homogeneous Markov model and forecasting the outcome, pp. 532-542

  • DELEN Dursun, COGDELL Douglas, KASAP Nihat - A comparative analysis of data mining methods in predicting NCAA bowl outcomes, pp. 543-552

(résumés du n° 2/2012) 

Volume 28, n° 1, January-March 2012

Special Section 1: The Predictability of Financial Markets

  • CRATO Nuno, RUIZ Esther - Can we evaluate the predictability of financial markets? pp. 1-2 (text)
  • HARVEY Andrew, ORYSHCHENKO Vitaliy - Kernel density estimation for time series data, pp. 3-14 (text)
  • PEREZ Ana - Comments on “Kernel density estimation for time series data”, pp. 15-19 (text)
  • GONZALEZ-RIVERA Gloria, ARROYO Javier - Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns, pp. 20-33 (text)
  • NICOLAU João - Comment on: “Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns” by Gloria González-Rivera and Javier Arroyo, pp. 34-35 (text)
  • CARNERO M. Angeles - Comments on “A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices”, pp. 36-38 (text)
  • DEO Rohit S. - Improved forecasting of autoregressive series by weighted least squares approximate REML estimation, pp. 39-43 (text)
  • RODRIGUES Paulo M.M. - Improved forecasting of autoregressive series by weighted least squares approximate REML estimation: Comment, pp. 44-45 (text)
  • BAILLIE Richard T., KONGCHAROEN Chaleampong, KAPETANIOS George - Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures, pp. 46-53 (text)

  • ARTECHE Josu - Parametric vs. semiparametric long memory: Comments on “Prediction from ARFIMA models: Comparison between MLE and semiparametric estimation”, pp. 54-56 (text)

  • DIEBOLD Francis X., YILMAZ Kamil - Better to give than to receive: Predictive directional measurement of volatility spillovers, pp. 57-66 (text)

  • GASPAR Raquel M. - Comment on “Better to Give than to Receive” by Francis X. Diebold and Kamil Yilmaz, pp. 67-69 (text)

  • GARCIA-FERRER Antonio, GONZALEZ-PRIETO Ester, PENA Daniel - A conditionally heteroskedastic independent factor model with an application to financial stock returns, pp. 70-93 (text)

  • PONCELA Pilar - Further research on independent component analysis, pp. 94-96 (text)

  • VICEIRA Luis M. - Bond risk, bond return volatility, and the term structure of interest rates, pp. 97-117 (text)

  • HEINEN Andréas - A comment on bond risk, bond return volatility, and the term structure of interest rates, pp. 118-120 (text)

  • GARCIA-FERRER Antonio - On Granger’s predictability of financial markets in theory and practice, pp. 121-127 (text)

Special Section 2: Credit Risk Modelling and Forecasting

  • CROOK J., EDELMAN L. Thomas, D. - Editorial, pp. 128-132 (text)
  • BREEDEN Joseph L., PARKER Robert, STEINEBACH Carsten - A through-the-cycle model for retail lending economic capital, pp. 133-138 (text)
  • GANDY Axel - Performance monitoring of credit portfolios using survival analysisOriginal, pp. 139-144 (text)
  • CROOK Jonathan, BANASIK John - Forecasting and explaining aggregate consumer credit delinquency behaviour, pp. 145-160 (text)

  • LOTERMAN Gert, BROWN Iain, MARTENS David, MUES Christophe, BAESENS Bart - Benchmarking regression algorithms for loss given default modeling, pp. 161-170 (text)

  • BELLOTTI Tony, CROOK Jonathan - kLoss given default models incorporating macroeconomic variables for credit cards, pp. 171-182 (text)

  • LEOW Mindy, MUES Christophe - Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data, pp. 183-195 (text)

  • THOMAS L.C., MATUSZYK A., MOORE A. - Comparing debt characteristics and LGD models for different collections policies, pp. 196-203 (text)

  • ZHANG Jie, THOMAS Lyn C. - Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD, pp. 204-215 (text)

  • HAND David J., CROWDER Martin J. - Overcoming selectivity bias in evaluating new fraud detection systems for revolving credit operations, pp. 216-223 (text)

  • CRONE Sven F., FINLAY Steven - Instance sampling in credit scoring: An empirical study of sample size and balancing, pp. 224-238 (text)

  • McDONALD Ross A., STURGESS Matthew, SMITH Keith, HAWKINS Michael S., HUANG  Edward Xiao-Ming - Non-linearity of scorecard log-odds, pp. 239-347 (text)

  • FAHNER Gerald - Estimating causal effects of credit decisions, pp. 248-260 (text)

  • MALIK Madhur, THOMAS Lyn C. - Transition matrix models of consumer credit ratings, pp. 261-272 (text)

  • MIZEN Paul, TSOUKAS Serafeim - Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model, pp. 273-287 (text)

  • ORTH Walter - The predictive accuracy of credit ratings: Measurement and statistical inference, pp. 288-296 (text)

 

 

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