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International Journal of Forecasting

1985 - 2024

Current editor(s): R. J. Hyndman

From Elsevier
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Volume 40, issue 3, 2024

Deep Probabilistic Koopman: Long-term time-series forecasting under periodic uncertainties pp. 859-868 Downloads
Alex T. Mallen, Henning Lange and J. Nathan Kutz
A comparison of machine learning methods for predicting the direction of the US stock market on the basis of volatility indices pp. 869-880 Downloads
Giovanni Campisi, Silvia Muzzioli and Bernard De Baets
A False Discovery Rate approach to optimal volatility forecasting model selection pp. 881-902 Downloads
Arman Hassanniakalager, Paul L. Baker and Emmanouil Platanakis
Should I open to forecast? Implications from a multi-country unobserved components model with sparse factor stochastic volatility pp. 903-917 Downloads
Ping Wu
Comparing forecasting performance with panel data pp. 918-941 Downloads
Ritong Qu, Allan Timmermann and Yinchu Zhu
A multi-task encoder-dual-decoder framework for mixed frequency data prediction pp. 942-957 Downloads
Jiahe Lin and George Michailidis
Improving geopolitical forecasts with 100 brains and one computer pp. 958-970 Downloads
Hilla Shinitzky, Yhonatan Shemesh, David Leiser and Michael Gilead
Network time series forecasting using spectral graph wavelet transform pp. 971-984 Downloads
Kyusoon Kim and Hee-Seok Oh
Systemic bias of IMF reserve and debt forecasts for program countries pp. 985-1001 Downloads
Theo S. Eicher and Reina Kawai
The profitability of lead–lag arbitrage at high frequency pp. 1002-1021 Downloads
Cédric Poutré, Georges Dionne and Gabriel Yergeau
Forecasting crude oil market volatility: A comprehensive look at uncertainty variables pp. 1022-1041 Downloads
Danyan Wen, Mengxi He, Yudong Wang and Yaojie Zhang
Forecasting euro area inflation using a huge panel of survey expectations pp. 1042-1054 Downloads
Florian Huber, Luca Onorante and Michael Pfarrhofer
Demand forecasting under lost sales stock policies pp. 1055-1068 Downloads
Juan R. Trapero, Enrique Holgado de Frutos and Diego J. Pedregal
A theory-based method to evaluate the impact of central bank inflation forecasts on private inflation expectations pp. 1069-1084 Downloads
Luciano Vereda, João Savignon and Tarciso Gouveia da Silva
Improving models and forecasts after equilibrium-mean shifts pp. 1085-1100 Downloads
Jennifer Castle, Jurgen A. Doornik and David Hendry
Evaluating probabilistic classifiers: The triptych pp. 1101-1122 Downloads
Timo Dimitriadis, Tilmann Gneiting, Alexander I. Jordan and Peter Vogel
DeepTVAR: Deep learning for a time-varying VAR model with extension to integrated VAR pp. 1123-1133 Downloads
Xixi Li and Jingsong Yuan
Cross-temporal probabilistic forecast reconciliation: Methodological and practical issues pp. 1134-1151 Downloads
Daniele Girolimetto, George Athanasopoulos, Tommaso Di Fonzo and Rob Hyndman
Rating players by Laplace’s approximation and dynamic modeling pp. 1152-1165 Downloads
Hsuan-Fu Hua, Ching-Ju Chang, Tse-Ching Lin and Ruby Chiu-Hsing Weng
Out-of-sample predictability in predictive regressions with many predictor candidates pp. 1166-1178 Downloads
Jesús Gonzalo and Jean-Yves Pitarakis
Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach pp. 1179-1188 Downloads
Weidong Lin and Abderrahim Taamouti
Short-term stock price trend prediction with imaging high frequency limit order book data pp. 1189-1205 Downloads
Wuyi Ye, Jinting Yang and Pengzhan Chen
Reservoir computing for macroeconomic forecasting with mixed-frequency data pp. 1206-1237 Downloads
Giovanni Ballarin, Petros Dellaportas, Lyudmila Grigoryeva, Marcel Hirt, Sophie van Huellen and Juan-Pablo Ortega
Do professional forecasters believe in the Phillips curve? pp. 1238-1254 Downloads
Michael Clements
Forecasting day-ahead electricity prices with spatial dependence pp. 1255-1270 Downloads
Yifan Yang, Guo, Ju’e, Yi Li and Jiandong Zhou

Volume 40, issue 2, 2024

Forecast reconciliation: A review pp. 430-456 Downloads
George Athanasopoulos, Rob Hyndman, Nikolaos Kourentzes and Anastasios Panagiotelis
Probabilistic reconciliation of count time series pp. 457-469 Downloads
Giorgio Corani, Dario Azzimonti and Nicolò Rubattu
Probabilistic hierarchical forecasting with deep Poisson mixtures pp. 470-489 Downloads
Kin G. Olivares, O. Nganba Meetei, Ruijun Ma, Rohan Reddy, Mengfei Cao and Lee Dicker
Forecast combination-based forecast reconciliation: Insights and extensions pp. 490-514 Downloads
Tommaso Di Fonzo and Daniele Girolimetto
Likelihood-based inference in temporal hierarchies pp. 515-531 Downloads
Jan Kloppenborg Møller, Peter Nystrup and Henrik Madsen
Forecasting Australian fertility by age, region, and birthplace pp. 532-548 Downloads
Yang Yang, Han Lin Shang and James Raymer
Hierarchical mortality forecasting with EVT tails: An application to solvency capital requirement pp. 549-563 Downloads
Han Li and Hua Chen
Counterfactual reconciliation: Incorporating aggregation constraints for more accurate causal effect estimates pp. 564-580 Downloads
Doruk Cengiz and Hasan Tekgüç
Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions pp. 581-596 Downloads
Paul Ghelasi and Florian Ziel
Machine learning applications in hierarchical time series forecasting: Investigating the impact of promotions pp. 597-615 Downloads
Mahdi Abolghasemi, Garth Tarr and Christoph Bergmeir
Optimal hierarchical EWMA forecasting pp. 616-625 Downloads
Giacomo Sbrana and Matteo Pelagatti
Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates pp. 626-640 Downloads
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
Hierarchical transfer learning with applications to electricity load forecasting pp. 641-660 Downloads
Anestis Antoniadis, Solenne Gaucher and Yannig Goude
Back to the present: Learning about the euro area through a now-casting model pp. 661-686 Downloads
Danilo Cascaldi-Garcia, Thiago R.T. Ferreira, Domenico Giannone and Michele Modugno
On the role of fundamentals, private signals, and beauty contests to predict exchange rates pp. 687-705 Downloads
Giuseppe Pignataro, Davide Raggi and Francesca Pancotto
Personalized choice model for forecasting demand under pricing scenarios with observational data—The case of attended home delivery pp. 706-720 Downloads
Özden Gür Ali and Pedro Amorim
Generalized βARMA model for double bounded time series forecasting pp. 721-734 Downloads
Vinícius T. Scher, Francisco Cribari-Neto and Fábio M. Bayer
Improving inflation forecasts using robust measures pp. 735-745 Downloads
Randal Verbrugge and Saeed Zaman
Words or numbers? Macroeconomic nowcasting with textual and macroeconomic data pp. 746-761 Downloads
Tingguo Zheng, Xinyue Fan, Wei Jin and Kuangnan Fang
Daily growth at risk: Financial or real drivers? The answer is not always the same pp. 762-776 Downloads
Helena Chuliá, Ignacio Garrón and Jorge Uribe
Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States pp. 777-795 Downloads
Graziano Moramarco
Quantifying subjective uncertainty in survey expectations pp. 796-810 Downloads
Fabian Krüger and Lora Pavlova
Bayesian forecasting in economics and finance: A modern review pp. 811-839 Downloads
Gael M. Martin, David T. Frazier, Worapree Maneesoonthorn, Rubén Loaiza-Maya, Florian Huber, Gary Koop, John Maheu, Didier Nibbering and Anastasios Panagiotelis
(Structural) VAR models with ignored changes in mean and volatility pp. 840-854 Downloads
Matei Demetrescu and Nazarii Salish

Volume 40, issue 1, 2024

Forecasting the equity premium with frequency-decomposed technical indicators pp. 6-28 Downloads
Tobias Stein
Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks pp. 29-43 Downloads
Mawuli Segnon, Rangan Gupta and Bernd Wilfling
Bars, lines and points: The effect of graph format on judgmental forecasting pp. 44-61 Downloads
Stian Reimers and Nigel Harvey
Forecasting in factor augmented regressions under structural change pp. 62-76 Downloads
Daniele Massacci and George Kapetanios
Wind energy forecasting with missing values within a fully conditional specification framework pp. 77-95 Downloads
Honglin Wen, Pierre Pinson, Jie Gu and Zhijian Jin
A review and comparison of conflict early warning systems pp. 96-112 Downloads
Espen Geelmuyden Rød, Tim Gåsste and Håvard Hegre
Eliciting expectation uncertainty from private households pp. 113-123 Downloads
Jonas Dovern
Forecasting South Korea’s presidential election via multiparty dynamic Bayesian modeling pp. 124-141 Downloads
Seungwoo Kang and Hee-Seok Oh
A market for trading forecasts: A wagering mechanism pp. 142-159 Downloads
Aitazaz Ali Raja, Pierre Pinson, Jalal Kazempour and Sergio Grammatico
How local is the local inflation factor? Evidence from emerging European countries pp. 160-183 Downloads
Oguzhan Cepni and Michael Clements
Empirical probabilistic forecasting: An approach solely based on deterministic explanatory variables for the selection of past forecast errors pp. 184-201 Downloads
Eduardo E. Romanus, Eugênio Silva and Ronaldo R. Goldschmidt
Equal predictive ability tests based on panel data with applications to OECD and IMF forecasts pp. 202-228 Downloads
Oguzhan Akgun, Alain Pirotte, Giovanni Urga and Zhenlin Yang
A time-varying skewness model for Growth-at-Risk pp. 229-246 Downloads
Martin Iseringhausen
Demand forecasting for fashion products: A systematic review pp. 247-267 Downloads
Kritika Swaminathan and Rakesh Venkitasubramony
Are consensus FX forecasts valuable for investors? pp. 268-284 Downloads
Marek Kwas, Joscha Beckmann and Michał Rubaszek
Bayesian herd detection for dynamic data pp. 285-301 Downloads
Jussi Keppo and Ville A. Satopää
Forecasting football match results using a player rating based model pp. 302-312 Downloads
Benjamin Holmes and Ian G. McHale
Accelerating peak dating in a dynamic factor Markov-switching model pp. 313-323 Downloads
Bram van Os and Dick van Dijk
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models pp. 324-347 Downloads
Matthew F. Tomlinson, David Greenwood and Marcin Mucha-Kruczyński
A novel deep ensemble model for imbalanced credit scoring in internet finance pp. 348-372 Downloads
Jin Xiao, Yu Zhong, Yanlin Jia, Yadong Wang, Ruoyi Li, Xiaoyi Jiang and Shouyang Wang
Conflict forecasting using remote sensing data: An application to the Syrian civil war pp. 373-391 Downloads
Daniel Racek, Paul W. Thurner, Brittany I. Davidson, Xiao Xiang Zhu and Göran Kauermann
Outlier-robust methods for forecasting realized covariance matrices pp. 392-408 Downloads
Dan Li, Christopher Drovandi and Adam Clements
Predicting recessions using VIX–yield curve cycles pp. 409-422 Downloads
Anne Lundgaard Hansen
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