This paper applies receiver operating characteristics (ROC) analysis to M3 Competition, micro monthly time series for one-month-ahead forecasts. Using the partial area under the curve (PAUC) criterion as a forecast accuracy measure and paired-comparison testing via bootstrapping, we find that...

Consensus Economics forecasts for euro-area GDP growth, consumer and producer price inflation and the USD/EUR exchange rate are used by the Czech National Bank to make assumptions about future external economic developments. This paper compares the accuracy of the aforementioned Consensus...

We investigated the performance of value-at-risk (VaR) models of KOSPI 200 sector indices using FIGARCH and FIAPARCH models under normal and skewed Student-t innovation distributions. The FIAPARCH model well captured the long-memory and asymmetry properties of the volatility. In addition, the...

Purpose – This paper aims to empirically analyze how adaptive collaboration in supply chain management impacts demand forecast accuracy in short life-cycle products, depending on collaboration intensity, product life-cycle stage, retailer type and product category. Design/methodology/approach...

Electrical load forecasting has always played a key role in power system administration, planning for energy transfer scheduling and load dispatch. For electrical load forecasting, due to the fact that combined model has the capacity to effectively calculate the seasonality and nonlinearity...

This paper examines the accuracy of implied volatility and GARCH forecasted volatility to predict the behavior of realized volatility. The methodology adopted addresses the information content, the bias, the efficiency and the efficiency forecast of the predictor.