Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming into use. Initial results are encouraging, but often require changes in policies for collaboration and transparency. In this paper we explore advanced forecasting tools for...

The long memory characteristic of financial market volatility is well documentedand has important implications for volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional variance differently and could have very different...

This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not. Transforming a stationary Gaussian I(d) process with d 0 leads to a long-memory process with the same or a smaller...

Brazil has long ago removed most of the perverse government incentives that stimulated massive deforestation in the Amazon in the 70s and 80s, but one highly controversial policy remains: Road building. While data is now abundantly available due to the constant satellite surveillance of the...

This paper examines the evaluation of models claimed to be relevant for policy making purposes. A number of tests are proposed to determine the usefulness of such models in the policy making process. These tests are applied to three empirical examples.

This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not. Transforming a stationary Gaussian I(d) process with d 0 leads to a long-memory process with the same or a smaller...

Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III, December 11, 2003. Interviewers are Professor Karl-Gustaf Loefgren, Umea University, and Assistant Professor Anne-Sophie Crepin, Stockholm University.

Brazil has long ago removed most of the perverse government incentives that stimulated massive deforestation in the Amazon in the 70s and 80s, but one highly controversial policy remains: Road building. While data is now abundantly available due to the constant satellite surveillance of the...