Studies in Nonlinear Dynamics & Econometrics: 2:4

Copyright © 1998. The MIT Press . All rights reserved.

ISSN 1081-1826

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Volume 2 · Number 4

January 1998

Forecasting and Modelling Macroeconomic and Financial Time Series
Guest Editor · Norman R. Swanson

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ARTICLES

Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods

by John C. Chao and Chaoshin Chiao

[ Abstract & Bibliography ]   [ 569k PDF ]   [ 949k PS ]   [ Code (18k) ]

Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules

by Philip Hans Franses and Kasper van Griensven

[ Abstract & Bibliography ]   [ 201k PDF ]   [ 311k PS ]   [ Code (7k) ]

Early News is Good News: The Effects of Market Opening on Market Volatility

by Giampiero M. Gallo and Barbara Pacini

[ Abstract & Bibliography ]   [ 668k PDF ]   [ 1.7MB PS ]   [ Data (37k) ]

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

by Eric Ghysels and Joanna Jasiak

[ Abstract & Bibliography ]   [ 317k PDF ]   [ 559k PS ]   [ Data & Code (103k) ]

The Current Depth-of-Recession and Unemployment-Rate Forecasts

by Randall E. Parker and Philip Rothman

[ Abstract & Bibliography ]   [ 228k PDF ]   [ 358k PS ]   [ Data & Code (4k) ]

Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets

by Tian Zeng and Norman R. Swanson

[ Abstract & Bibliography ]   [ 289k PDF ]   [ 529k PS ]   [ Data & Code (66k) ]

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