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Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood

Gonzalez-Rivera, Gloria; Lee, Tae-Hwy; Mishra, Santosh - In: International Journal of Forecasting 20 (2004) 4, pp. 629-645

Persistent link: https://www.econbiz.de/10005429194

Asymmetric loss in the Greenbook and the Survey of Professional Forecasters

Wang, Yiyao; Lee, Tae-Hwy - In: International Journal of Forecasting 30 (2014) 2, pp. 235-245

This paper examines the forecast rationality of the Greenbook and the Survey of Professional Forecasters (SPF) under asymmetric loss functions, using the method proposed by Elliott, Komunjer, and Timmermann (2005) with a rolling window strategy. Over rolling periods, the degree and direction of...

Persistent link: https://www.econbiz.de/10010753457

Efficient market hypothesis and forecasting

Timmermann, Allan; Granger, Clive W. J. - In: International Journal of Forecasting 20 (2004) 1, pp. 15-27

Persistent link: https://www.econbiz.de/10005428687

Forecasting stock market prices: Lessons for forecasters

Granger, Clive W. J. - In: International Journal of Forecasting 8 (1992) 1, pp. 3-13

Persistent link: https://www.econbiz.de/10005428738

Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349]

Granger, Clive W. J.; Jeon, Yongil - In: International Journal of Forecasting 19 (2003) 4, pp. 767-767

Persistent link: https://www.econbiz.de/10005428828

The combination of forecasts using changing weights

Deutsch, Melinda; Granger, Clive W. J.; Terasvirta, Timo - In: International Journal of Forecasting 10 (1994) 1, pp. 47-57

Persistent link: https://www.econbiz.de/10005429197

Comparing forecasts of inflation using time distance

Granger, Clive W. J.; Jeon, Yongil - In: International Journal of Forecasting 19 (2003) 3, pp. 339-349

Persistent link: https://www.econbiz.de/10005429360

A time-distance criterion for evaluating forecasting models

Granger, Clive W. J.; Jeon, Yongil - In: International Journal of Forecasting 19 (2003) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10005418163

Shorte-run forecasts of electricity loads and peaks

Ramanathan, Ramu; Engle, Robert; Granger, Clive W. J.; … - In: International Journal of Forecasting 13 (1997) 2, pp. 161-174

Persistent link: https://www.econbiz.de/10005418330

Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models

Swanson, Norman R.; White, Halbert - In: International Journal of Forecasting 13 (1997) 4, pp. 439-461

Persistent link: https://www.econbiz.de/10005428980