This paper studies the All Ordinaries Index in Australia, and its futures contract known as the Share Price Index. We use a new form of smooth transition model to account for a variety of nonlinearities caused by transaction costs and other market/data imperfections, and given the recent...

This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G7 countries. The models use the spread between short-term and long-term interest rates as leading indicators for GDP, and their success in capturing business cycles is gauged by non-parametric...

We develop nonlinear leading indicator models for GDP growth, with the interest rate spread and growth in M2 as leading indicators. Since policy makers are typically interested in whether or not a recession is imminent, we evaluate these models according to their ability to predict the...

This paper studies linear and linear autoregressive leading indicator models of business cycles in OECD countries. The models use the spread between short-term and long-term interest rates as leading indicators for GDP, and their success in capturing business cycles gauged by the non-parametric...

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...

The basic ideals underlying the Kalman filter are outlined in this paper without direct recourse to the complex formulae normally associated with this method. The novel feature of the paper is its reliance on a new algebraic system based on the first two moments of the multivariate normal...

Forecasting large numbers of time series is a costly and time-consuming exercise. Before forecasting a large number of series that are logically connected in some way, the authors can first cluster them into groups of similar series. In this paper they investigate forecasting the series in each...

This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...

We evaluate the performance of various methods for forecasting tourism demand. The data used include 380 monthly series, 427 quarterly series and 530 yearly series, all supplied to us by tourism bodies or by academics from previous tourism forecasting studies. The forecasting methods implemented...

The state space approach to modelling univariate time series is now widely used both in theory and in applications. However, the very richness of the framework means that quite different model formulations are possible, even when they purport to describe the same phenomena. In this paper, we...