Volume 28, Issue 1 | International Journal of Forecasting

Volume 28 Issue 1, Pages 1-296 (January-March 2012)

articles 1 - 34

Special Section 1: The Predictability of Financial Markets
edited by Esther Ruiz, Nuno Crato
Special Section 2: Credit Risk Modelling and Forecasting
edited by Jonathan Crook, Lyn Thomas, David Edelman

Editorial Board
Pages v

Full Text Link

Special Section 1: The Predictability of Financial Markets

Can we evaluate the predictability of financial markets?
Pages 1-2
Crato, N. , Ruiz, E.
Abstract|Full Text Link|Online Supplements|Comment

Kernel density estimation for time series data
Pages 3-14
Harvey, A., Oryshchenko, V.
Abstract|Full Text Link|Online Supplements (2)|Comment

Comments on ''Kernel density estimation for time series data''
Pages 15-19
Perez, A.
Abstract|Full Text Link|Online Supplements|Comment

Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns
Pages 20-33
Gonzalez-Rivera, G. , Arroyo, J.
Abstract|Full Text Link|Online Supplements|Comment

Comment on: ''Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns''
Pages 34-35
Nicolau, J.
Abstract|Full Text Link|Online Supplements|Comment

Comments on ''A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices''
Pages 36-38
Angeles Carnero, M.
Abstract|Full Text Link|Online Supplements|Comment

Improved forecasting of autoregressive series by weighted least squares approximate REML estimation
Pages 39-43
Deo, R.S.
Abstract|Full Text Link|Online Supplements|Comment

Improved forecasting of autoregressive series by weighted least squares approximate REML estimation: Comment
Pages 44-45
Rodrigues, P.M.M.
Abstract|Full Text Link|Online Supplements|Comments (1)

10.

Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures
Pages 46-53
Baillie, R.T. , Kongcharoen, C. , Kapetanios, G.
Abstract|Full Text Link|Online Supplements|Comment

11.

Parametric vs. semiparametric long memory: Comments on ''Prediction from ARFIMA models: Comparison between MLE and semiparam
Pages 54-56
Arteche, J.
Abstract|Full Text Link|Online Supplements|Comment

12.

Better to give than to receive: Predictive directional measurement of volatility spillovers
Pages 57-66
Diebold, F.X. , Yilmaz, K.
Abstract|Full Text Link|Online Supplements|Comment

13.

Comment on ''Better to Give than to Receive'' by Francis X. Diebold and Kamil Yilmaz
Pages 67-69
Gaspar, R.M.
Abstract|Full Text Link|Online Supplements|Comment

14.

A conditionally heteroskedastic independent factor model with an application to financial stock returns
Pages 70-93
Garcia-Ferrer, A. , Gonzalez-Prieto, E. , Pena, D.
Abstract|Full Text Link|Online Supplements|Comment

15.

Further research on independent component analysis
Pages 94-96
Poncela, P.
Abstract|Full Text Link|Online Supplements|Comment

16.

Bond risk, bond return volatility, and the term structure of interest rates
Pages 97-117
Viceira, L.M.
Abstract|Full Text Link|Online Supplements|Comment

17.

A comment on bond risk, bond return volatility, and the term structure of interest rates
Pages 118-120
Heinen, A.
Abstract|Full Text Link|Online Supplements|Comment

18.

On Granger's predictability of financial markets in theory and practice
Pages 121-127
Garcia-Ferrer, A.
Abstract|Full Text Link|Online Supplements|Comment

Special Section 2: Credit Risk Modelling and Forecasting

19.

Editorial
Pages 128-132
Crook, J. , Thomas, L. , Edelman, D.
Abstract|Full Text Link|Online Supplements|Comment

20.

A through-the-cycle model for retail lending economic capital
Pages 133-138
Breeden, J.L. , Parker, R. , Steinebach, C.
Abstract|Full Text Link|Online Supplements|Comment

21.

Performance monitoring of credit portfolios using survival analysis
Pages 139-144
Gandy, A.
Abstract|Full Text Link|Online Supplements|Comment

22.

Forecasting and explaining aggregate consumer credit delinquency behaviour
Pages 145-160
Crook, J. , Banasik, J.
Abstract|Full Text Link|Online Supplements|Comment

23.

Benchmarking regression algorithms for loss given default modeling
Pages 161-170
Loterman, G. , Brown, I. , Martens, D. , Mues, C. , Baesens, B.
Abstract|Full Text Link|Online Supplements|Comment

24.

Loss given default models incorporating macroeconomic variables for credit cards
Pages 171-182
Bellotti, T. , Crook, J.
Abstract|Full Text Link|Online Supplements|Comment

25.

Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank dat
Pages 183-195
Leow, M. , Mues, C.
Abstract|Full Text Link|Online Supplements|Comment

26.

Comparing debt characteristics and LGD models for different collections policies
Pages 196-203
Thomas, L.C. , Matuszyk, A. , Moore, A.
Abstract|Full Text Link|Online Supplements|Comment

27.

Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD
Pages 204-215
Zhang, J. , Thomas, L.C.
Abstract|Full Text Link|Online Supplements|Comment

28.

Overcoming selectivity bias in evaluating new fraud detection systems for revolving credit operations
Pages 216-223
Hand, D.J. , Crowder, M.J.
Abstract|Full Text Link|Online Supplements|Comment

29.

Instance sampling in credit scoring: An empirical study of sample size and balancing
Pages 224-238
Crone, S.F. , Finlay, S.
Abstract|Full Text Link|Online Supplements|Comment

30.

Non-linearity of scorecard log-odds
Pages 239-247
McDonald, R.A. , Sturgess, M. , Smith, K. , Hawkins, M.S. , Huang, E.X.M.
Abstract|Full Text Link|Online Supplements|Comment

31.

Estimating causal effects of credit decisions
Pages 248-260
Fahner, G.
Abstract|Full Text Link|Online Supplements|Comment

32.

Transition matrix models of consumer credit ratings
Pages 261-272
Malik, M. , Thomas, L.C.
Abstract|Full Text Link|Online Supplements|Comment

33.

Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model
Pages 273-287
Mizen, P. , Tsoukas, S.
Abstract|Full Text Link|Online Supplements|Comment

34.

The predictive accuracy of credit ratings: Measurement and statistical inference
Pages 288-296
Orth, W.
Abstract|Full Text Link|Online Supplements|Comment

Volume 29

Volume 29, Issue 2
pp. 221-366
(April-June 2013)
Volume 29, Issue 1
pp. 1-220,A1-A2
(January-March 2013)

Volume 28

Volume 28, Issue 4
pp. 767-892
(October-December 2012)
Volume 28, Issue 3
pp. 557-766
(July-September 2012)
Volume 28, Issue 2
pp. 297-556
(April-June 2012)
Volume 28, Issue 1
pp. 1-296
(January-March 2012)

Volume 27

Volume 27, Issue 4
pp. 961-1282
(October-December 2011)
Volume 27, Issue 3
pp. 635-960
(July-September 2011)
Volume 27, Issue 2
pp. 197-634
(April-June 2011)
Volume 27, Issue 1
pp. 1-196
(January-March 2011)

Volume 26

Volume 26, Issue 4
pp. 627-936
(October-December 2010)
Volume 26, Issue 3
pp. 445-626
(July-September 2010)
Volume 26, Issue 2
pp. 211-444
(April-June 2010)
Volume 26, Issue 1
pp. 1-210
(January-March 2010)

Volume 25

Volume 25, Issue 4
pp. 639-850
(October-December 2009)
Volume 25, Issue 3
pp. 431-638
(July-September 2009)
Volume 25, Issue 2
pp. 215-430
(April-June 2009)
Volume 25, Issue 1
pp. 1-214
(January-March 2009)

Volume 24

Volume 24, Issue 4
pp. 561-792
(October-December 2008)
Volume 24, Issue 3
pp. 323-560
(July-September 2008)
Volume 24, Issue 2
pp. 189-322
(April-June 2008)
Volume 24, Issue 1
pp. 1-188
(January-March 2008)

Volume 23

Volume 23, Issue 4
pp. 533-736
(October-December 2007)
Volume 23, Issue 3
pp. 343-532
(July-September 2007)
Volume 23, Issue 2
pp. 159-342
(April-June 2007)
Volume 23, Issue 1
pp. 1-158
(January-March 2007)

Volume 22

Volume 22, Issue 4
pp. 637-836
(October-December 2006)
Volume 22, Issue 3
pp. 413-636
(July-September 2006)
Volume 22, Issue 2
pp. 203-412
(April-June 2006)
Volume 22, Issue 1
pp. 1-202
(January-March 2006)

Volume 21

Volume 21, Issue 4
pp. 623-808
(October-December 2005)
Volume 21, Issue 3
pp. 397-622
(July-September 2005)
Volume 21, Issue 2
pp. 199-396
(April-June 2005)
Volume 21, Issue 1
pp. i-vi,1-198,I-IV
(January-March 2005)

Volume 20

Volume 20, Issue 4
pp. i-iv,523-754,I-IV
(October-December 2004)
Volume 20, Issue 3
pp. i-iv,375-522,I-IV,CO3-CO4
(July-September 2004)
Volume 20, Issue 2
pp. 169-374
(April-June 2004)
Volume 20, Issue 1
pp. i-vi,1-168,I-II
(January-March 2004)

Volume 19

Volume 19, Issue 4
pp. 551-780
(October-December 2003)
Volume 19, Issue 3
pp. i-iv,339-548,I-IV
(July-September 2003)
Volume 19, Issue 2
pp. i-iv,161-338,I-II
(April-June 2003)
Volume 19, Issue 1
pp. i-vi,1-160,I-II
(January-March 2003)

Volume 18

Volume 18, Issue 4
pp. 487-704
(October-December 2002)
Volume 18, Issue 3
pp. i-iv,319-486,I-IV
(July-September 2002)
Volume 18, Issue 2
pp. 163-318
(April-June 2002)
Volume 18, Issue 1
pp. 1-162
(January-March 2002)

Volume 17

Volume 17, Issue 4
pp. 537-644
(October-December 2001)
Volume 17, Issue 3
pp. 329-536
(July-September 2001)
Volume 17, Issue 2
pp. 143-328
(April-June 2001)
Volume 17, Issue 1
pp. 1-142
(January-March 2001)

Volume 16

Volume 16, Issue 4
pp. 433-540
(October-December 2000)
Volume 16, Issue 3
pp. 293-432
(July-September 2000)
Volume 16, Issue 2
pp. 147-292
(April-June 2000)
Volume 16, Issue 1
pp. 1-146
(January-March 2000)

Volume 15

Volume 15, Issue 4
pp. 351-464
(October-December 1999)
Volume 15, Issue 3
pp. 227-350
(July-September 1999)
Volume 15, Issue 2
pp. 125-226
(April-January 1999)
Volume 15, Issue 1
pp. 1-124
(February-January 1999)

Volume 14

Volume 14, Issue 4
pp. 433-544
(December-January 1998)
Volume 14, Issue 3
pp. 303-432
(September-January 1998)
Volume 14, Issue 2
pp. 157-304
(June-January 1998)
Volume 14, Issue 1
pp. 1-156
(March-January 1998)

Volume 13

Volume 13, Issue 4
pp. 433-598
(December-February 1997)
Volume 13, Issue 3
pp. 303-431
(September-November 1997)
Volume 13, Issue 2
pp. 161-301
(June-August 1997)
Volume 13, Issue 1
pp. v,1-159
(March-May 1997)

Volume 12

Volume 12, Issue 4
pp. 439-574
(December-February 1996)
Volume 12, Issue 3
pp. 325-438
(September-November 1996)
Volume 12, Issue 2
pp. 193-323
(June-August 1996)
Volume 12, Issue 1
pp. 1-191
(March-May 1996)

Volume 11

Volume 11, Issue 4
pp. 501-610
(December-February 1995)
Volume 11, Issue 3
pp. 361-499
(September-November 1995)
Volume 11, Issue 2
pp. 197-359
(June-August 1995)
Volume 11, Issue 1
pp. v,1-196
(March-May 1995)

Volume 10

Volume 10, Issue 4
pp. 491-653
(December-February 1994)
Volume 10, Issue 3
pp. 387-490
(November-January 1994)
Volume 10, Issue 2
pp. 181-386
(September-November 1994)
Volume 10, Issue 1
pp. 1-179
(June-August 1994)

Volume 9

Volume 9, Issue 4
pp. 437-596
(December-February 1993)
Volume 9, Issue 3
pp. 295-435
(November-January 1993)
Volume 9, Issue 2
pp. 147-293
(August-October 1993)
Volume 9, Issue 1
pp. 1-145
(April-June 1993)

Volume 8

Volume 8, Issue 4
pp. 543-662
(December-February 1992)
Volume 8, Issue 3
pp. 289-542
(November-January 1992)
Volume 8, Issue 2
pp. 135-287
(October-December 1992)
Volume 8, Issue 1
pp. 1-133
(June-August 1992)

Volume 7

Volume 7, Issue 4
pp. 409-566
(March-May 1992)
Volume 7, Issue 3
pp. 257-408
(November-January 1991)
Volume 7, Issue 2
pp. 123-255
(August-October 1991)
Volume 7, Issue 1
pp. 1-122
(May-July 1991)

Volume 6

Volume 6, Issue 4
pp. 449-596
(December-February 1990)
Volume 6, Issue 3
pp. 283-447
(October-December 1990)
Volume 6, Issue 2
pp. 149-282
(July-September 1990)
Volume 6, Issue 1
pp. 1-147
(1990)

Volume 5

Volume 5, Issue 4
pp. 467-644
(1989)
Volume 5, Issue 3
pp. 303-465
(1989)
Volume 5, Issue 2
pp. 155-301
(1989)
Volume 5, Issue 1
pp. 1-153
(1989)

Volume 4

Volume 4, Issue 4
pp. 515-637
(1988)
Volume 4, Issue 3
pp. 321-514
(1988)
Volume 4, Issue 2
pp. 171-319
(1988)
Volume 4, Issue 1
pp. 1-169
(1988)

Volume 3

Volume 3, Issue 3-4
pp. 351-550
(1987)
Volume 3, Issue 2
pp. 187-350
(1987)
Volume 3, Issue 1
pp. 1-185
(1987)

Volume 2

Volume 2, Issue 4
pp. 397-519
(1986)
Volume 2, Issue 3
pp. 257-395
(1986)
Volume 2, Issue 2
pp. 131-256
(1986)
Volume 2, Issue 1
pp. 1-130
(1986)

Volume 1

Volume 1, Issue 4
pp. 309-321
(1985)
Volume 1, Issue 3
pp. 195-306
(1985)
Volume 1, Issue 2
pp. 81-193
(1985)
Volume 1, Issue 1
pp. 1-80
(1985)

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