Modern call centers require precise forecasts of call and e-mail arrivals to optimize staffing decisions and to ensure high customer satisfaction through short waiting times and the availability of qualified agents. In the dynamic environment of multi-channel customer contact, organizational...

This study aims to capture volatility patterns using GARCH (1,1) models. It evaluates these models to obtain one-step-ahead forecastabilities by employing four major forecasting evaluation criteria, and compares two different currencies— the Pakistan rupee and the US dollar—as domestic and...

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...

In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

The forecasting literature has identi ed two important issues: (i) several predictors have substantial and statistically signi cant predictive content, although only sporadically, and it is unclear whether this predictive content can be exploited reliably; (ii) in-sample predictive content does...

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample...

This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both univariate and multivariate models in the form of parsimonious factor-augmented vector autoregressions. To account for serial correlation in the residuals of the multi-period...

In this article we derive conditions which ensure the non-negativity of the conditional variance in the Hyperbolic GARCH(p,d,q) (HYGARCH) model of Davidson (2004). The conditions are necessary and sufficient for p=1 and sufficient for p=2 and emerge as natural extensions of the inequality...