Table Of Content

Journal of Forecasting J. Forecast. 26, 620 (2007) Author Index Adland, R. O., 385 Marquez, M. D., 343 Acosta, L. M., 343 Marrero, G. A., 129 Albacete, R., 303 Mayer, W. J., 571 Alizadeh, A. H., 385 Michaux, E., | Milas, C. 601 Bao, Y., 203 Moore, W. R., 445 Basher, S. A., 365 Munoz, M. P., 343 Ben-Zion, U., 457 Bisognin, C., 405 Nieto, F. H., 53 Boutahar, M., 95 Bruneau, C., | Panagiotidis, T. 601 Pandher, G. S., 475 Cabrer-Borras, B., 155 Parigi, G., 77 Cheng, K. F., 317 Pavia-Miralles, J. M., 155 Chuang, M.-D., 239 Penzer, J., 189 Pierdzioch, C. 583 de Bandt, O., | Preminger, A., 457 Demetrescu, M., 227 Dowd, K., 251 Rapach, D. E., 33 Espasa, A., 303 Saltoglu, B., 203 Schumacher, C., 271 Flageollet, A., | Skintzi, V. D., 497 Fukuda, K., 429 : Triantafyllopoulos, K., 551 Golinelli, R., 77 Tripodis, Y., 189 Hartmann, D., 583 Wang, Y., 23 Hruschka, H., 113 Westerlund, J., 365 Hwang, R.-C., 317 Wettstein, D., 457 Wohar, M. E., 33 Knetsch, T. A., 527 Koekebakker, S., 385 Xanthopoulos-Sisinis, S., 497 Kolsrud, D., 171 Yao, ¥.4, 25 ge, 5765317 Yu, G.-H., 239 Lee, T.-H., 203 Lekkos, I. 601 bis ¥:;071 Lopes, S. R. C., 405 Copyright © 2007 John Wiley & Sons, Ltd. Journal of Forecasting J. Forecast. 26, 620 (2007) Author Index Adland, R. O., 385 Marquez, M. D., 343 Acosta, L. M., 343 Marrero, G. A., 129 Albacete, R., 303 Mayer, W. J., 571 Alizadeh, A. H., 385 Michaux, E., | Milas, C. 601 Bao, Y., 203 Moore, W. R., 445 Basher, S. A., 365 Munoz, M. P., 343 Ben-Zion, U., 457 Bisognin, C., 405 Nieto, F. H., 53 Boutahar, M., 95 Bruneau, C., | Panagiotidis, T. 601 Pandher, G. S., 475 Cabrer-Borras, B., 155 Parigi, G., 77 Cheng, K. F., 317 Pavia-Miralles, J. M., 155 Chuang, M.-D., 239 Penzer, J., 189 Pierdzioch, C. 583 de Bandt, O., | Preminger, A., 457 Demetrescu, M., 227 Dowd, K., 251 Rapach, D. E., 33 Espasa, A., 303 Saltoglu, B., 203 Schumacher, C., 271 Flageollet, A., | Skintzi, V. D., 497 Fukuda, K., 429 : Triantafyllopoulos, K., 551 Golinelli, R., 77 Tripodis, Y., 189 Hartmann, D., 583 Wang, Y., 23 Hruschka, H., 113 Westerlund, J., 365 Hwang, R.-C., 317 Wettstein, D., 457 Wohar, M. E., 33 Knetsch, T. A., 527 Koekebakker, S., 385 Xanthopoulos-Sisinis, S., 497 Kolsrud, D., 171 Yao, ¥.4, 25 ge, 5765317 Yu, G.-H., 239 Lee, T.-H., 203 Lekkos, I. 601 bis ¥:;071 Lopes, S. R. C., 405 Copyright © 2007 John Wiley & Sons, Ltd. Journal of Forecasting J. Forecast. 26, 621 (2007) Keyword Index algorithm, 457 implied forward rates, 385 periodic models, 189 ARFIMA model, 95 importance sampling, 343 Phillips curve, | ARMA models, 239 index of production, 189 pooling, 365 indicator models, | predictability of stock returns, bandwidth size, 405 inflation, | 583 benchmarking, 53 interest rate swap spreads, 601 predictive log-likelihood, 203 bootstrap, 171, 365 international equity flows, 583 principal components, 271 bridge model (BM), 77 interpolation, 53 probit model, 113 business fixed investment spending, 33 interval forecasts, 227 QNA forecasts, 129 choice model, 113 Kalman filter, 429, 551 quarterly accounts, 155 coincident indicators, 129 KLIC, 203 cointegration, 303 rational commodity pricing, 527 combination of forecasts, 303 learning sample, 171 reality check, 203 convenience yield, 527 linear logit model, 317 real-time data, 429 core inflation, 303 liquidity, 445 regime switching, 601 correlation, 497 London metal exchange, 551 regression, 475 coverage error, 171 long memory models, 40 5 retention models, 571 cross-validation, 171 long memory, 95 long-term forecasting, 251 S&PS500, 475 data revisions, 429 loss optimality, 227 sample selection bias, 571 data snooping, | seasonal variance, 189 density forecast comparison, 203 marketing, 113 seasonality, 405 density forecasting, 251 mean squared forecast error, 33 sectorial and geographical disaggregation, 53 model validation, 251 disaggregation, 303 dynamic factor models, | monetary exchange rate model, 365 semiparametric logit model, 317 dynamic linear model, 551 Monte Carlo Experiment, 129 SETAR-TGARCH, 343 Monte Carlo simulation techniques, 343 SETAR-THSYV, 343 economic forecasts, 155 shipping, 385 estimation, 405 short-term GDP forecast, 77 extended switching regression model, nearest neighbours, 601 signal extraction, 53 457 neural networks, 113 simultaneous prediction band, 171 extrapolation, 53 nonlinear instantaneous transformation, single-equation models, 527 239 smooth transition models, 601 factor models, 271, 601 nonlinearity, 445 State-space model, 429 financial crisis, 445 nonstationary processes, 95 static and dynamic factors, 271 forecast combining, 457 forecast encompassing, 33 oil price forecasts, 527 term structure of interest rates, 601 forecast evaluation, 445 optimal prediction, 95 time series analysis, 155 forecasting accuracy, 271 option pricing, 475 Forecasting, 343 order series transformation, 239 unbiasedness, 385 forecasting, 365, 405, 429, 445, 601 out-of-sample error rate, 317 unobserved component models, 189 forecasting, GARCH, 497 out-of-sample forecast, | unobserved components models, 129 forecasts by country and by area, 77 out-of-sample forecasting accuracy, 77 USA, 583 freight market, 385 out-of-sample forecasts, 33 value-at-risk, 497 general loss function, 227 panel data, 365 vector autoregressive model, 551 panel probit, 571 VEqCM, 303 hierarchical Bayesian modeling, 113 performance of trading rules, 5 volatility smile, 475 Copyright © 2007 John Wiley & Sons, Ltd. Journal of Forecasting, Vol. 26, ii-iv (2097) Contents Volume 26, Issue Nos 1-8 JOURNAL OF FORECASTING Issue No. 1 January Forecasting Inflation Using Economic Indicators: The Case of France C. Bruneau, O. de Bandt, A. Flageollet and E. Michaux Measuring Downside Risk and Severity for Global Output Y. Wang and Y. Yao Forecasting the Recent Behavior of US Business Fixed Investment Spending: An Analysis of Competing Models D. E. Rapach and M. E. Wohar Ex Post and Ex Ante Prediction of Unobserved Multivariate Time Series: A Structural-Model Based Approach F. H. Nieto Issue No. 2 March The Use of Monthly Indicators to Forecast Quarterly GDP in the Short Run: An Application to the G7 Countries R. Golinelli and G. Parigi Optimal Prediction with Nonstationary ARFIMA Model M. Boutahar Using a Heterogeneous Multinomial Probit Model with a Neural Net Extension to Model Brand Choice H. Hruschka Traditional Versus Unobserved Components Methods to Forecast Quarterly National Account Aggregates G. A. Marrero Issue No. 3 April On Estimating Contemporaneous Quarterly Regional GDP J. M. Pavia-Miralles and B. Cabrer-Borras Time-Simultaneous Prediction Band for a Time Series D. Kolsrud Single-Season Heteroscedasticity in Time Series Y. Tripodis and J. Penzer Journal of Forecasting _ iii Comparing Density Forecast Models Y. Bao, T-H Lee and B. Saltoglu Issue No. 4 July Optimal Forecast Intervals Under Asymmetric Loss M. Demetrescu Order Series Method for Forecasting Non-Gaussian Time Series M.-D. Chuang and G.-H. Yu Validating Multiple-Period Density-Forecasting Models K. Dowd Forecasting German GDP Using Alternative Factor Models Based on Large Datasets C. Schumacher Issue No. 5 August Econometric Modelling for Short-Term Inflation Forecasting in the Euro Area A. Espasa and R. Albacete A Semiparametric Method for Predicting Bankruptcy R.-C. Hwang, K. F. Cheng and J. C. Lee Forecasting Volatility by Means of Threshold Models M. P. Munoz, M. D. Marquez and L. M. Acosta Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model? J. Westerlund and S. A. Basher Issue No. 6 September Predictive Power and Unbiasedness of Implied Forward Charter Rates A. H. Alizadeh, R. O. Adland and S. Koekebaker Estimating and Forecasting the Long-Memory Parameter in the Presence of Periodicity C. Bisognin and S. R. C. Lopes Forecasting Real-Time Data Allowing for Data Revisions K. Fukuda Forecasting Domestic Liquidity during a Crisis: What Works Best? W. R. Moore iv Journal of Forecasting Issue No. 7 November The Extended Switching Regression Model: Allowing for Multiple Latent State Variables A. Preminger, U. Ben-Zion and D. Wettstein Regression-Based Modeling of Market Option Prices: With Application to S&P500 Options G. S. Pandher Evaluation of Correlation Forecasting Models for Risk Management V. D. Skintzi and S. Xanthopoulos-Sisinis Forecasting the Price of Crude Oil via Convenience Yield Predictions T. A. Knetsch Issue No. 8 December Covariance Estimation for Multivariate Conditionally Gaussian Dynamic Linear Models K. Triantafyllopoulos Impact of Corrections for Dynamic Selection Bias on Forecasts of Retention Behavior Yang Li and Walter J. Mayer international Equity Flows and the Predictability of US Stock Returns Daniel Hartmann and Christian Pierdzioch Forecasting Interest Rate Swap Spreads Using Domestic and International Risk Factors: Evidence from Linear and Non-linear Models llias Lekkos, Costas Milas and Theodore Panagiotidis Author Index Keyword Index Volume Contents