New issue of IJF

The International Journal of Forecasting (IJF) is a leading journal in its field. It is the official publication of the International Institute of Forecasters (IIF) and shares its aims and scope. The second issue of 2009 is focussed on forecasting in financial markets.

New Volume/Issue is now available on ScienceDirect
International Journal of Forecasting International Journal of Forecasting

Volume 25, Issue 2,  Pages 215-430 (April-June 2009)

Forecasting Returns and Risk in Financial Markets using Linear and Nonlinear Models
Edited by Michael P. Clements, Costas Milas and Dick van Dijk

  1. Editorial Board
Page iii
  2. Forecasting returns and risk in financial markets using linear and nonlinear models
Pages 215-217
Michael P. Clements, Costas Milas, Dick van Dijk
  3. Optimal combinations of realised volatility estimators
Pages 218-238
Andrew J. Patton, Kevin Sheppard
  4. Joint modeling of call and put implied volatility
Pages 239-258
Katja Ahoniemi, Markku Lanne
  5. On forecasting daily stock volatility: The role of intraday information and market conditions
Pages 259-281
Ana-Maria Fuertes, Marwan Izzeldin, Elena Kalotychou
  6. Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Pages 282-303
Martin Martens, Dick van Dijk, Michiel de Pooter
  7. Asymmetric effects and long memory in the volatility of Dow Jones stocks
Pages 304-327
Marcel Scharth, Marcelo C. Medeiros
  8. On the macroeconomic causes of exchange rate volatility
Pages 328-350
Claudio Morana
  9. Differences in housing price forecastability across US states
Pages 351-372
David E. Rapach, Jack K. Strauss
  10. Non-linear predictability in stock and bond returns: When and where is it exploitable?
Pages 373-399
Massimo Guidolin, Stuart Hyde, David McMillan, Sadayuki Ono
  11. Forecasting exchange rates with a large Bayesian VAR
Pages 400-417
A. Carriero, G. Kapetanios, M. Marcellino
  12. Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
Pages 418-428
A. Lahiani, O. Scaillet
  13. International Institute of Forecasters and SAS®grants
Page 429