Anindya Banerjee, Massimiliano Marcellino and Igor Masten

Chapter 5: Predictive Inference Under Model Misspecifications

Nii Ayi Armah and Norman R. Swanson

Chapter 6: Forecasting Persistent Data with Possible Structural Breaks: Old School and New School Lessons Using OECD Unemployment Rates

Walter Enders and Ruxandra Prodan

Chapter 7: What Can We Learn From Comprehensive Data Revisions for Forecasting Inflation? Some US Evidence

Pierre L. Siklos

Chapter 8: Estimating and Forecasting GARCH Models in the Presence of Structural Breaks and Regime Switches

Eric Hillebrand and Marcelo C. Medeiros

Chapter 9: A Source of Long Memory in Volatility

Namwon Hyung, Ser-Huang Poon and Clive W. J. Granger

Chapter 10: Forecasting Stock Return Volatility in the Presence of Structural Breaks

David E. Rapach, Jack K. Strauss and Mark E. Wohar

Chapter 11: Financial Time Series and Volatility Prediction Using NOVAS Transformations

Dimitris N. Politis and Dimitrios D. Thomakos

Chapter 12: Modeling Foreign Exchange Rates with Jumps

John M. Maheu and Thomas H. McCurdy

Chapter 13: Bagging Binary and Quantile Predictors for Time Series: Further Issues

Tae-Hwy Lee and Yang Yang

Chapter 14: Forecasting Interest Rates: An Application of the Stochastic Unit Root and Stochastic Cointegration Frameworks

Robert Sollis

Chapter 15: Bayesian Model Averaging in the Presence of Structural Breaks

Francesco Ravazzolo, Richard Paap, Dick Van Dijk and Philip Hans Franses

Chapter 16: The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable US Returns

Massimo Guidolin and Carrie Fangzhou Na