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International Journal of Forecasting

1985 - 2017

Current editor(s): R. J. Hyndman

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Volume 33, issue 2, 2017

A vector heterogeneous autoregressive index model for realized volatility measures pp. 337-344 Downloads
Gianluca Cubadda, Barbara Guardabascio and Alain Hecq
Visualising forecasting algorithm performance using time series instance spaces pp. 345-358 Downloads
Yanfei Kang, Rob J. Hyndman and Kate Smith-Miles
Evaluating multi-step system forecasts with relatively few forecast-error observations pp. 359-372 Downloads
David F. Hendry and Andrew Martinez
Does realized volatility help bond yield density prediction? pp. 373-389 Downloads
Minchul Shin and Molin Zhong
Now-casting the Japanese economy pp. 390-402 Downloads
Daniela Bragoli
Empowering cash managers to achieve cost savings by improving predictive accuracy pp. 403-415 Downloads
Francisco Salas-Molina, Francisco J. Martin, Juan A. Rodríguez-Aguilar, Joan Serrà and Josep Ll. Arcos
Density forecast evaluation in unstable environments pp. 416-432 Downloads
Gloria González-Rivera and Yingying Sun
Structural forecasts for marketing data pp. 433-441 Downloads
Greg M. Allenby
Forecasting inflation: Phillips curve effects on services price measures pp. 442-457 Downloads
Ellis W. Tallman and Saeed Zaman
A bivariate Weibull count model for forecasting association football scores pp. 458-466 Downloads
Georgi Boshnakov, Tarak Kharrat and Ian G. McHale
Forecasting elections at the constituency level: A correction–combination procedure pp. 467-481 Downloads
Simon Munzert
Adaptive models and heavy tails with an application to inflation forecasting pp. 482-501 Downloads
Davide Delle Monache and Ivan Petrella
Forecasting compositional time series: A state space approach pp. 502-512 Downloads
Ralph D. Snyder, J. Keith Ord, Anne B. Koehler, Keith McLaren and Adrian N. Beaumont
Forecasting loss given default of bank loans with multi-stage model pp. 513-522 Downloads
Yuta Tanoue, Akihiro Kawada and Satoshi Yamashita
Economic forecasting in theory and practice: An interview with David F. Hendry pp. 523-542 Downloads
Neil R. Ericsson
How biased are U.S. government forecasts of the federal debt? pp. 543-559 Downloads
Neil R. Ericsson
Comment on “How Biased are US Government Forecasts of the Federal Debt?” pp. 560-562 Downloads
Edward N. Gamber and Jeffrey P. Liebner
Interpreting estimates of forecast bias pp. 563-568 Downloads
Neil R. Ericsson

Volume 33, issue 1, 2017

Monte Carlo forecast evaluation with persistent data pp. 1-10 Downloads
Lynda Khalaf and Charles J. Saunders
Quantile regression forecasts of inflation under model uncertainty pp. 11-20 Downloads
Dimitris Korobilis
A comparison of wavelet networks and genetic programming in the context of temperature derivatives pp. 21-47 Downloads
Antonis K. Alexandridis, Michael Kampouridis and Sam Cramer
Model Confidence Sets and forecast combination pp. 48-60 Downloads
Jon D. Samuels and Rodrigo M. Sekkel
A mixed frequency approach to the forecasting of private consumption with ATM/POS data pp. 61-75 Downloads
Cláudia Duarte, Paulo Rodrigues and António Rua
A comparative assessment of alternative ex ante measures of inflation uncertainty pp. 76-89 Downloads
Matthias Hartmann, Helmut Herwartz and Maren Ulm
Modeling intra-seasonal heterogeneity in hourly advertising-response models: Do forecasts improve? pp. 90-101 Downloads
Meltem Kiygi-Calli, Marcel Weverbergh and Philip Hans Franses
Forecasting market returns: bagging or combining? pp. 102-120 Downloads
Steven J. Jordan, Andrew Vivian and Mark Wohar
Forecasting the Brazilian yield curve using forward-looking variables pp. 121-131 Downloads
Fausto Vieira, Marcelo Fernandes and Fernando Chague
Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity pp. 132-152 Downloads
Fengping Tian, Ke Yang and Langnan Chen
Forecasting GDP with global components: This time is different pp. 153-173 Downloads
Hilde Bjørnland, Francesco Ravazzolo and Leif Thorsrud
Identifying business cycle turning points in real time with vector quantization pp. 174-184 Downloads
Andrea Giusto and Jeremy Piger
Real-time nowcasting the US output gap: Singular spectrum analysis at work pp. 185-198 Downloads
Miguel de Carvalho and António Rua
Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application pp. 199-213 Downloads
M. Atikur Rahman Khan and Donald Poskitt
EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues pp. 214-229 Downloads
Fotis Papailias and Dimitrios Thomakos
Use of expert knowledge to anticipate the future: Issues, analysis and directions pp. 230-243 Downloads
Fergus Bolger and George Wright
Quantifiying blind spots and weak signals in executive judgment: A structured integration of expert judgment into the scenario development process pp. 244-253 Downloads
Philip Meissner, Christian Brands and Torsten Wulf
Augmenting the intuitive logics scenario planning method for a more comprehensive analysis of causation pp. 254-266 Downloads
James Derbyshire and George Wright
I nvestigate D iscuss E stimate A ggregate for structured expert judgement pp. 267-279 Downloads
A.M. Hanea, M.F. McBride, M.A. Burgman, B.C. Wintle, F. Fidler, L. Flander, C.R. Twardy, B. Manning and S. Mascaro
Evaluating expert advice in forecasting: Users’ reactions to presumed vs. experienced credibility pp. 280-297 Downloads
Dilek Önkal, M. Sinan Gönül, Paul Goodwin, Mary Thomson and Esra Öz
Expertise, credibility of system forecasts and integration methods in judgmental demand forecasting pp. 298-313 Downloads
Jorge Alvarado-Valencia, Lope H. Barrero, Dilek Önkal and Jack T. Dennerlein
Using a rolling training approach to improve judgmental extrapolations elicited from forecasters with technical knowledge pp. 314-324 Downloads
Fotios Petropoulos, Paul Goodwin and Robert Fildes
An investigation of dependence in expert judgement studies with multiple experts pp. 325-336 Downloads
Kevin J. Wilson

Volume 32, issue 4, 2016

A comparison of AdaBoost algorithms for time series forecast combination pp. 1103-1119 Downloads
Devon K. Barrow and Sven F. Crone
Cross-validation aggregation for combining autoregressive neural network forecasts pp. 1120-1137 Downloads
Devon K. Barrow and Sven F. Crone
What predicts US recessions? pp. 1138-1150 Downloads
Weiling Liu and Emanuel Moench
Models for optimising the theta method and their relationship to state space models pp. 1151-1161 Downloads
Jose A. Fiorucci, Tiago R. Pellegrini, Francisco Louzada, Fotios Petropoulos and Anne B. Koehler
Testing for predictability in panels of any time series dimension pp. 1162-1177 Downloads
Joakim Westerlund and Paresh Narayan
Does disagreement among oil price forecasters reflect volatility? Evidence from the ECB surveys pp. 1178-1192 Downloads
Tarek Atalla, Fred Joutz and Axel Pierru
Equity premium prediction: Are economic and technical indicators unstable? pp. 1193-1207 Downloads
Fabian Baetje and Lukas Menkhoff
The forecastability quotient reconsidered pp. 1208-1211 Downloads
Everette Shaw Gardner and Yavuz Acar
Investor attention to rounding as a salient forecast feature pp. 1212-1233 Downloads
Vasiliki Athanasakou and Ana Simpson
Testing the historic tracking of climate models pp. 1234-1246 Downloads
Michael Beenstock, Yaniv Reingewertz and Nathan Paldor
A simple model for now-casting volatility series pp. 1247-1255 Downloads
Jörg Breitung and Christian Hafner
Forecasting using sparse cointegration pp. 1256-1267 Downloads
Ines Wilms and Christophe Croux
Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices pp. 1268-1283 Downloads
Ioannis Psaradellis and Georgios Sermpinis
Forecasting and nowcasting economic growth in the euro area using factor models pp. 1284-1305 Downloads
Irma Hindrayanto, Siem Jan Koopman and Jasper de Winter
Modeling the impact of forecast-based regime switches on US inflation pp. 1306-1316 Downloads
Koen Bel and Richard Paap
Global equity market volatility spillovers: A broader role for the United States pp. 1317-1339 Downloads
Daniel Buncic and Katja I.M. Gisler
Constrained functional time series: Applications to the Italian gas market pp. 1340-1351 Downloads
Antonio Canale and Simone Vantini
The role of spatial and temporal structure for residential rent predictions pp. 1352-1368 Downloads
Roland Füss and Jan A. Koller
Nowcasting Turkish GDP and news decomposition pp. 1369-1384 Downloads
Michele Modugno, Barış Soybilgen and Ege Yazgan
Variational Bayes for assessment of dynamic quantile forecasts pp. 1385-1402 Downloads
Richard Gerlach and Sachin Abeywardana

Volume 32, issue 3, 2016

Electric load forecasting with recency effect: A big data approach pp. 585-597 Downloads
Pu Wang, Bidong Liu and Tao Hong
The relationship between model complexity and forecasting performance for computer intelligence optimization in finance pp. 598-613 Downloads
Adam Ghandar, Zbigniew Michalewicz and Ralf Zurbruegg
Long-run restrictions and survey forecasts of output, consumption and investment pp. 614-628 Downloads
Michael Clements
A multilevel functional data method for forecasting population, with an application to the United Kingdom pp. 629-649 Downloads
Han Lin Shang, Peter W.F. Smith, Jakub Bijak and Arkadiusz Wiśniowski
Getting the most out of macroeconomic information for predicting excess stock returns pp. 650-668 Downloads
Cem Çakmaklı and Dick van Dijk
A new metric of absolute percentage error for intermittent demand forecasts pp. 669-679 Downloads
Sungil Kim and Heeyoung Kim
Aggregate versus disaggregate information in dynamic factor models pp. 680-694 Downloads
Rocio Alvarez, Maximo Camacho and Gabriel Perez-Quiros
Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? pp. 695-715 Downloads
Julián Andrada-Félix, Fernando Fernández-Rodríguez and Ana-Maria Fuertes
Time varying biases and the state of the economy pp. 716-725 Downloads
Zixiong Xie and Shih-Hsun Hsu
Household forecasting: Preservation of age patterns pp. 726-735 Downloads
Nico Keilman
Nonlinear forecasting with many predictors using kernel ridge regression pp. 736-753 Downloads
Peter Exterkate, Patrick J.F. Groenen, Christiaan Heij and Dick van Dijk
The forecast combination puzzle: A simple theoretical explanation pp. 754-762 Downloads
Gerda Claeskens, Jan R. Magnus, Andrey Vasnev and Wendun Wang
Bayesian model averaging and principal component regression forecasts in a data rich environment pp. 763-787 Downloads
Rachida Ouysse
Evaluating predictive count data distributions in retail sales forecasting pp. 788-803 Downloads
Stephan Kolassa
Central banks’ forecasts and their bias: Evidence, effects and explanation pp. 804-817 Downloads
Wojciech Charemza and Daniel Ladley
Density forecasting using Bayesian global vector autoregressions with stochastic volatility pp. 818-837 Downloads
Florian Huber
Forecasting food prices: The case of corn, soybeans and wheat pp. 838-848 Downloads
Hildegart Ahumada and Magdalena Cornejo
Uncertainty in forecasting inflation and monetary policy design: Evidence from the laboratory pp. 849-864 Downloads
Damjan Pfajfar and Blaž Žakelj
Modeling and forecasting call center arrivals: A literature survey and a case study pp. 865-874 Downloads
Rouba Ibrahim, Han Ye, L’Ecuyer, Pierre and Haipeng Shen
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models pp. 875-887 Downloads
Francisco Blasques, Siem Jan Koopman, Katarzyna Łasak and André Lucas
Probabilistic energy forecasting: Global Energy Forecasting Competition 2014 and beyond pp. 896-913 Downloads
Tao Hong, Pierre Pinson, Shu Fan, Hamidreza Zareipour, Alberto Troccoli and Rob Hyndman
Probabilistic electric load forecasting: A tutorial review pp. 914-938 Downloads
Tao Hong and Shu Fan
A prediction interval for a function-valued forecast model: Application to load forecasting pp. 939-947 Downloads
Anestis Antoniadis, Xavier Brossat, Jairo Cugliari and Jean-Michel Poggi
Probabilistic anomaly detection in natural gas time series data pp. 948-956 Downloads
Hermine N. Akouemo and Richard J. Povinelli
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging pp. 957-965 Downloads
Katarzyna Maciejowska, Jakub Nowotarski and Rafał Weron
Probabilistic forecasting of hourly electricity prices in the medium-term using spatial interpolation techniques pp. 966-980 Downloads
Antonio Bello, Javier Reneses, Antonio Muñoz and Andrés Delgadillo
Short-term probabilistic forecasting of wind speed using stochastic differential equations pp. 981-990 Downloads
Emil B. Iversen, Juan M. Morales, Jan K. Møller and Henrik Madsen
Short-term density forecasting of wave energy using ARMA-GARCH models and kernel density estimation pp. 991-1004 Downloads
Jooyoung Jeon and James W. Taylor
GEFCom2014 probabilistic electric load forecasting using time series and semi-parametric regression models pp. 1005-1011 Downloads
V. Dordonnat, A. Pichavant and A. Pierrot
GEFCom2014 probabilistic electric load forecasting: An integrated solution with forecast combination and residual simulation pp. 1012-1016 Downloads
Jingrui Xie and Tao Hong
A hybrid model of kernel density estimation and quantile regression for GEFCom2014 probabilistic load forecasting pp. 1017-1022 Downloads
Stephen Haben and Georgios Giasemidis
Sequence of nonparametric models for GEFCom2014 probabilistic electric load forecasting pp. 1023-1028 Downloads
Ekaterina Mangalova and Olesya Shesterneva
Lasso estimation for GEFCom2014 probabilistic electric load forecasting pp. 1029-1037 Downloads
Florian Ziel and Bidong Liu
Additive models and robust aggregation for GEFCom2014 probabilistic electric load and electricity price forecasting pp. 1038-1050 Downloads
Pierre Gaillard, Yannig Goude and Raphaël Nedellec
A hybrid model for GEFCom2014 probabilistic electricity price forecasting pp. 1051-1056 Downloads
Katarzyna Maciejowska and Jakub Nowotarski
Multilayer perceptron for GEFCom2014 probabilistic electricity price forecasting pp. 1057-1060 Downloads
Grzegorz Dudek
Probabilistic gradient boosting machines for GEFCom2014 wind forecasting pp. 1061-1066 Downloads
Mark Landry, Thomas P. Erlinger, David Patschke and Craig Varrichio
K-nearest neighbors for GEFCom2014 probabilistic wind power forecasting pp. 1067-1073 Downloads
Ekaterina Mangalova and Olesya Shesterneva
K-nearest neighbors and a kernel density estimator for GEFCom2014 probabilistic wind power forecasting pp. 1074-1080 Downloads
Yao Zhang and Jianxue Wang
A semi-empirical approach using gradient boosting and k-nearest neighbors regression for GEFCom2014 probabilistic solar power forecasting pp. 1081-1086 Downloads
Jing Huang and Matthew Perry
GEFCom2014: Probabilistic solar and wind power forecasting using a generalized additive tree ensemble approach pp. 1087-1093 Downloads
Gábor I. Nagy, Gergő Barta, Sándor Kazi, Gyula Borbély and Gábor Simon
A multiple quantile regression approach to the wind, solar, and price tracks of GEFCom2014 pp. 1094-1102 Downloads
Romain Juban, Henrik Ohlsson, Mehdi Maasoumy, Louis Poirier and J. Zico Kolter

Volume 32, issue 2, 2016

Assessing macroeconomic forecasts for Japan under an asymmetric loss function pp. 233-242 Downloads
Yoichi Tsuchiya
Forecasting sales of new and existing products using consumer reviews: A random projections approach pp. 243-256 Downloads
Matthew J. Schneider and Sachin Gupta
A comparison of MIDAS and bridge equations pp. 257-270 Downloads
Christian Schumacher
Using time-stamped survey responses to measure expectations at a daily frequency pp. 271-282 Downloads
Frieder Mokinski
Identification and real-time forecasting of Norwegian business cycles pp. 283-292 Downloads
Knut Are Aastveit, Anne Sofie Jore and Francesco Ravazzolo
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting pp. 293-302 Downloads
André Lucas and Xin Zhang
Bagging exponential smoothing methods using STL decomposition and Box–Cox transformation pp. 303-312 Downloads
Christoph Bergmeir, Rob Hyndman and José M. Benítez
Revisiting the relative forecast performances of Fed staff and private forecasters: A dynamic approach pp. 313-323 Downloads
Makram El-Shagi, Sebastian Giesen and Alexander Jung
A dynamic factor model of the yield curve components as a predictor of the economy pp. 324-343 Downloads
Marcelle Chauvet and Zeynep Senyuz
Forecasting branded and generic pharmaceuticals pp. 344-357 Downloads
Konstantinos Nikolopoulos, Samantha Buxton, Marwan Khammash and Philip Stern
Improving the reliability of real-time output gap estimates using survey forecasts pp. 358-373 Downloads
Jaqueson Galimberti and Marcelo L. Moura
Forecasting global recessions in a GVAR model of actual and expected output pp. 374-390 Downloads
Anthony Garratt, Kevin Lee and Kalvinder Shields
A note on the estimation of optimal weights for density forecast combinations pp. 391-397 Downloads
Laurent L. Pauwels and Andrey Vasnev
Low and high prices can improve volatility forecasts during periods of turmoil pp. 398-410 Downloads
Piotr Fiszeder and Grzegorz Perczak
Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts pp. 411-436 Downloads
W. Jos Jansen, Xiaowen Jin and Jasper de Winter
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution pp. 437-457 Downloads
Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori
Finite sample weighting of recursive forecast errors pp. 458-474 Downloads
Chris Brooks, Simon P. Burke and Silvia Stanescu
Frontiers in VaR forecasting and backtesting pp. 475-501 Downloads
Maria Rosa Nieto and Esther Ruiz
Multi-period-ahead forecasting with residual extrapolation and information sharing — Utilizing a multitude of retail series pp. 502-517 Downloads
Ozden Gur Ali and Efe Pinar
Do asset price drops foreshadow recessions? pp. 518-526 Downloads
John Bluedorn, Jörg Decressin and Marco Terrones
On the predictability of model-free implied correlation pp. 527-547 Downloads
Chryssa Markopoulou, Vasiliki Skintzi and Apostolos Refenes
Betas and the myth of market neutrality pp. 548-558 Downloads
Nicolas Papageorgiou, Jonathan J. Reeves and Xuan Xie
Evaluating qualitative forecasts: The FOMC minutes, 2006–2010 pp. 559-570 Downloads
Herman Stekler and Hilary Symington
Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis pp. 571-583 Downloads
Neil Ericsson

Volume 32, issue 1, 2016

Forecasting crude oil market volatility: A Markov switching multifractal volatility approach pp. 1-9 Downloads
Yudong Wang, Chongfeng Wu and Li Yang
Predicting Finnish economic activity using firm-level data pp. 10-19 Downloads
Paolo Fornaro
A note on the Mean Absolute Scaled Error pp. 20-22 Downloads
Philip Hans Franses
Herding behavior of business cycle forecasters pp. 23-33 Downloads
Jan-Christoph Rülke, Maria Silgoner and Julia Wörz
In-play forecasting of win probability in One-Day International cricket: A dynamic logistic regression model pp. 34-43 Downloads
Muhammad Asif and Ian G. McHale
Order effects in judgmental forecasting pp. 44-60 Downloads
Zoe Theocharis and Nigel Harvey
Combining forecasts from successive data vintages: An application to U.S. growth pp. 61-74 Downloads
Thomas Götz, Alain Hecq and Jean-Pierre Urbain
Can currency-based risk factors help forecast exchange rates? pp. 75-97 Downloads
Shamim Ahmed, Xiaoquan Liu and Giorgio Valente
Irregular leadership changes in 2014: Forecasts using ensemble, split-population duration models pp. 98-111 Downloads
Andreas Beger, Cassy L. Dorff and Michael D. Ward
A parsimonious explanation of observed biases when forecasting one’s own performance pp. 112-120 Downloads
Sheik Meeran, Paul Goodwin and Baris Yalabik
Multistep forecasting in the presence of location shifts pp. 121-137 Downloads
Guillaume Chevillon
Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey pp. 138-153 Downloads
Sumru Altug and Cem Çakmaklı
How accurate are professional forecasts in Asia? Evidence from ten countries pp. 154-167 Downloads
Qiwei Chen, Mauro Costantini and Bruno Deschamps
Forecasting annual lung and bronchus cancer deaths using individual survival times pp. 168-179 Downloads
Duk Bin Jun, Kyunghoon Kim and Myoung Hwan Park
Outlier detection in structural time series models: The indicator saturation approach pp. 180-202 Downloads
Martyna Marczak and Tommaso Proietti
The time-varying leading properties of the high yield spread in the United States pp. 203-230 Downloads
Pierangelo De Pace and Kyle D. Weber
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