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There are 2844 results for: content related to: Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson–Siegel Model

  1. Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?

    Journal of Forecasting

    Volume 35, Issue 2, March 2016, Pages: 113–146, Henning Fischer, Ángela Blanco-FERNÁndez and Peter Winker

    Version of Record online : 4 NOV 2015, DOI: 10.1002/for.2371

  2. The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE-100 Stocks

    Journal of Forecasting

    Volume 31, Issue 7, November 2012, Pages: 639–660, John F. Garvey and Liam A. Gallagher

    Version of Record online : 30 DEC 2011, DOI: 10.1002/for.1244

  3. Estimating the Out-of-Sample Predictive Ability of Trading Rules: A Robust Bootstrap Approach

    Journal of Forecasting

    Volume 35, Issue 4, July 2016, Pages: 347–372, Julien Hambuckers and Cédric Heuchenne

    Version of Record online : 25 NOV 2015, DOI: 10.1002/for.2380

  4. Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model

    Journal of Forecasting

    Volume 37, Issue 1, January 2018, Pages: 1–15, Henri Nyberg

    Version of Record online : 14 MAR 2017, DOI: 10.1002/for.2458

  5. A Time-Simultaneous Prediction Box for a Multivariate Time Series

    Journal of Forecasting

    Volume 34, Issue 8, December 2015, Pages: 675–693, Dag Kolsrud

    Version of Record online : 30 SEP 2015, DOI: 10.1002/for.2366

  6. Combining Economic Forecasts by Using a Maximum Entropy Econometric Approach

    Journal of Forecasting

    Volume 32, Issue 2, March 2013, Pages: 124–136, Blanca Moreno and Ana Jesús López

    Version of Record online : 9 OCT 2011, DOI: 10.1002/for.1257

  7. Shrinkage-Based Tests of Predictability

    Journal of Forecasting

    Volume 32, Issue 4, July 2013, Pages: 307–332, Pablo Matias Pincheira Brown

    Version of Record online : 16 JAN 2012, DOI: 10.1002/for.1270

  8. Multivariate GARCH Models with Correlation Clustering

    Journal of Forecasting

    Volume 31, Issue 5, August 2012, Pages: 443–468, Mike K. P. So and Iris W. H. Yip

    Version of Record online : 30 MAR 2011, DOI: 10.1002/for.1234

  9. Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate

    Journal of Forecasting

    Volume 35, Issue 7, November 2016, Pages: 652–668, Mauro Costantini, Jesus Crespo Cuaresma and Jaroslava Hlouskova

    Version of Record online : 10 MAR 2016, DOI: 10.1002/for.2398

  10. Decision-Based Forecast Evaluation of UK Interest Rate Predictability

    Journal of Forecasting

    Volume 35, Issue 2, March 2016, Pages: 93–112, Kavita Sirichand and Stephen G. Hall

    Version of Record online : 15 OCT 2015, DOI: 10.1002/for.2369

  11. Forecasting the Effects of a Canada–US Currency Union on Output and Prices: A Counterfactual Analysis

    Journal of Forecasting

    Volume 32, Issue 7, November 2013, Pages: 639–653, S. Mahdi Barakchian

    Version of Record online : 22 JUL 2013, DOI: 10.1002/for.2259

  12. Policy-Oriented Macroeconomic Forecasting with Hybrid DGSE and Time-Varying Parameter VAR Models

    Journal of Forecasting

    Volume 35, Issue 7, November 2016, Pages: 613–632, Stelios D. Bekiros and Alessia Paccagnini

    Version of Record online : 28 FEB 2016, DOI: 10.1002/for.2401

  13. On the Difficulty of Measuring Forecasting Skill in Financial Markets

    Journal of Forecasting

    Volume 34, Issue 2, March 2015, Pages: 92–113, Stephen E. Satchell and Oliver J. Williams

    Version of Record online : 2 FEB 2015, DOI: 10.1002/for.2320

  14. Forecasting intraday S&P 500 index returns: A functional time series approach

    Journal of Forecasting

    Volume 36, Issue 7, November 2017, Pages: 741–755, Han Lin Shang

    Version of Record online : 7 APR 2017, DOI: 10.1002/for.2467

  15. Space-Time Model versus VAR Model: Forecasting Electricity demand in Japan

    Journal of Forecasting

    Volume 32, Issue 1, January 2013, Pages: 75–85, Yoshihiro Ohtsuka and Kazuhiko Kakamu

    Version of Record online : 9 NOV 2011, DOI: 10.1002/for.1255

  16. Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union

    Journal of Forecasting

    Volume 33, Issue 5, August 2014, Pages: 315–338, Massimiliano Marcellino and Yuliya Rychalovska

    Version of Record online : 28 JUL 2014, DOI: 10.1002/for.2306

  17. Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions

    Journal of Forecasting

    Volume 36, Issue 6, September 2017, Pages: 651–679, Kemal Guler, Pin T. Ng and Zhijie Xiao

    Version of Record online : 27 MAR 2017, DOI: 10.1002/for.2462

  18. Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions

    Journal of Forecasting

    Volume 36, Issue 6, September 2017, Pages: 718–740, Nima Nonejad

    Version of Record online : 27 MAR 2017, DOI: 10.1002/for.2466

  19. Forecasting High-Frequency Risk Measures

    Journal of Forecasting

    Volume 35, Issue 3, April 2016, Pages: 224–249, Denisa Banulescu, Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi

    Version of Record online : 25 NOV 2015, DOI: 10.1002/for.2374

  20. Early Warning with Calibrated and Sharper Probabilistic Forecasts

    Journal of Forecasting

    Volume 32, Issue 5, August 2013, Pages: 452–468, Reason L. Machete

    Version of Record online : 26 MAR 2012, DOI: 10.1002/for.2242