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Forecasting in the Presence of Structural Breaks and Model Uncertainty

Volume 3 of the book series: Frontiers of Economics and Globalization

ISBN: 978-0-444-52942-8

Edited by: David E. Rapach, Mark E. Wohar

Published: 2008

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Chapters

Chapters
Chapter No: Chapter Information:

Part 1: Macroeconomic Forecasting

1797208 Chapter 1 Forecasting Annual UK Inflation Using an Econometric Model over 1875–1991
Michael P. Clements, David F. Hendry (pp. 3-39)
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ArticleType: Chapter Item
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1797209 Chapter 2 Forecasting UK Inflation: The Roles of Structural Breaks and Time Disaggregation
Jennifer L. Castle, David F. Hendry (pp. 41-92)
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1797210 Chapter 3 Forecasting with Small Macroeconomic VARs in the Presence of Instabilities
Todd E. Clark, Michael W. McCracken (pp. 93-147)
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ArticleType: Chapter Item
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1797211 Chapter 4 Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
Anindya Banerjee, Massimiliano Marcellino, Igor Masten (pp. 149-194)
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1797212 Chapter 5 Predictive Inference under Model Misspecification
Nii Ayi Armah, Norman R. Swanson (pp. 195-230)
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1797213 Chapter 6 Forecasting Persistent Data with Possible Structural Breaks: Old School and New School Lessons Using OECD Unemployment Rates
Walter Enders, Ruxandra Prodan (pp. 231-269)
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1797214 Chapter 7 What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation? Some US Evidence
Pierre L. Siklos (pp. 271-299)
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Part 2: Financial Forecasting

1797215 Chapter 8 Estimating and Forecasting GARCH Models in the Presence of Structural Breaks and Regime Switches
Eric Hillebrand, Marcelo C. Medeiros (pp. 303-327)
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1797216 Chapter 9 A Source of Long Memory in Volatility
Namwon Hyung, Ser-Huang Poon, Clive W.J. Granger (pp. 329-380)
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1797217 Chapter 10 Forecasting Stock Return Volatility in the Presence of Structural Breaks
David E. Rapach, Jack K. Strauss, Mark E. Wohar (pp. 381-416)
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1797218 Chapter 11 Financial Time Series and Volatility Prediction using NoVaS Transformations
Dimitris N. Politis, Dimitrios D. Thomakos (pp. 417-447)
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1797219 Chapter 12 Modeling Foreign Exchange Rates with Jumps
John M. Maheu, Thomas H. McCurdy (pp. 449-475)
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1797220 Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues
Tae-Hwy Lee, Yang Yang (pp. 477-534)
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1797221 Chapter 14 Forecasting Interest Rates: An Application of the Stochastic Unit Root and Stochastic Cointegration Frameworks
Robert Sollis (pp. 535-559)
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1797222 Chapter 15 Bayesian Model Averaging in the Presence of Structural Breaks
Francesco Ravazzolo, Richard Paap, Dick van Dijk, Philip Hans Franses (pp. 561-594)
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1797223 Chapter 16 The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable US Returns
Massimo Guidolin, Carrie Fangzhou Na (pp. 595-655)
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1797224 Editors' Introduction
David E. Rapach, Mark E. Wohar (pp. xxi-xxvii)
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ArticleType: Editorial
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1797225 List of Contributors (in alphabetical order)
(pp. vii-ix)
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ArticleType: Index
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Subject index

1797226 Subject Index
(pp. 657-661)
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ArticleType: Index
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1797227 Contents
(pp. xi-xix)
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ArticleType: Conclusion
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1797228 Frontiers of Economics and Globalization
Hamid Beladi, E. Kwan Choi (pp. v-null)
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ArticleType: Editorial
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1797229 Series Editors
(pp. ii-null)
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ArticleType: Editorial Board
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1797230 Volume Editors
(pp. iii-null)
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ArticleType: Editorial Board
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1797231 Copyright page
(pp. iv-null)
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ArticleType: Miscellaneous
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