Volume 1 / Number 2, Fall 2007

• Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics: international evidence
by Peter F. Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay and Yiu Kuen Tse

• Multiyear risk of credit losses in SME portfolios
by Alfred Hamerle, Rainer Jobst, Thilo Liebig and Daniel Rösch

• Can sentiment be predicted to have cross-sectional effects?
by Daphne Honcoop and Thorsten Lehnert

• The yield curve and macro fundamentals in forecasting exchange rates
by Matti Koivu, Ken Nyholm and Jacob Strømberg

Volume 1 / Number 1, Summer 2007

• Intrinsic stationarity: investigating predictability in real-time forex transactions
by Robert Hillman and Mark Salmon

• Modeling intra-day seasonality and forecasting densities in financial duration data
by David Allen, Zdravetz Lazarov and Michael McAleer

• Long-range forecasting of the S&P 500 stock market index using fractional integration techniques
by Guglielmo Maria Caporale and Luis A. Gil-Alana

• Estimating, filtering and forecasting realized betas
by Claudio Morana