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


ISSN 1081-1826


Volume 2 · Number 4

January 1998


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



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) ]