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 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     Introduction   2. Forecasting returns and risk in financial markets using linear and nonlinear models Pages 215-217 Michael P. Clements, Costas Milas, Dick van Dijk     Articles   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     Announcement   13. International Institute of Forecasters and SAS®grants Page 429