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International Journal of Forecasting

1985 - 2021

Current editor(s): R. J. Hyndman

From Elsevier
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Volume 37, issue 3, 2021

Big data from dynamic pricing: A smart approach to tourism demand forecasting pp. 1049-1060 Downloads
Andrea Guizzardi, Flavio Maria Emanuele Pons, Giovanni Angelini and Ercolino Ranieri
Interpretable sports team rating models based on the gradient descent algorithm pp. 1061-1071 Downloads
Jan Lasek and Marek Gagolewski
Investigating the accuracy of cross-learning time series forecasting methods pp. 1072-1084 Downloads
Artemios-Anargyros Semenoglou, Evangelos Spiliotis, Spyros Makridakis and Vassilios Assimakopoulos
Forecasting exchange rates with elliptically symmetric principal components pp. 1085-1091 Downloads
Karo Solat and Kwok Ping Tsang
Stock market volatility forecasting: Do we need high-frequency data? pp. 1092-1110 Downloads
Štefan Lyócsa, Peter Molnár and Tomáš Výrost
A dynamic conditional approach to forecasting portfolio weights pp. 1111-1126 Downloads
Fabrizio Cipollini, Giampiero M. Gallo and Alessandro Palandri
Dimensionality reduction in forecasting with temporal hierarchies pp. 1127-1146 Downloads
Peter Nystrup, Erik Lindström, Jan K. Møller and Henrik Madsen
Optimal model averaging forecasting in high-dimensional survival analysis pp. 1147-1155 Downloads
Xiaodong Yan, Hongni Wang, Wei Wang, Jinhan Xie, Yanyan Ren and Xinjun Wang
Penalized maximum likelihood estimation of logit-based early warning systems pp. 1156-1172 Downloads
Claudia Pigini
Forecasting macroeconomic risks pp. 1173-1191 Downloads
Patrick A. Adams, Tobias Adrian, Nina Boyarchenko and Domenico Giannone
Discrete Gompertz equation and model selection between Gompertz and logistic models pp. 1192-1211 Downloads
Daisuke Satoh
Minnesota-type adaptive hierarchical priors for large Bayesian VARs pp. 1212-1226 Downloads
Joshua Chan
A stochastic differential equation approach to the analysis of the 2017 and 2019 UK general election polls pp. 1227-1234 Downloads
Mark Levene and Trevor Fenner
Measuring and forecasting retail trade in real time using card transactional data pp. 1235-1246 Downloads
Juan R. García, Matías Pacce, Tomasa Rodrigo, Pep Ruiz de Aguirre and Camilo A. Ulloa
Does judgment improve macroeconomic density forecasts? pp. 1247-1260 Downloads
Ana Beatriz Galvão, Anthony Garratt and James Mitchell
Predicting benchmarked US state employment data in real time pp. 1261-1275 Downloads
Scott Brave, Charles Gascon, William Kluender and Thomas Walstrum
A comparison of monthly global indicators for forecasting growth pp. 1276-1295 Downloads
Christiane Baumeister and Pierre Guérin

Volume 37, issue 2, 2021

On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation pp. 445-460 Downloads
Mauro Costantini and Robert Kunst
Modeling undecided voters to forecast elections: From bandwagon behavior and the spiral of silence perspective pp. 461-483 Downloads
Yezheng Liu, Chang Ye, Jianshan Sun, Yuanchun Jiang and Hai Wang
Multivariate volatility forecasts for stock market indices pp. 484-499 Downloads
Ines Wilms, Jeroen Rombouts and Christophe Croux
Monitoring recessions: A Bayesian sequential quickest detection method pp. 500-510 Downloads
Haixi Li, Xuguang Sheng and Jingyun Yang
On the predictability of the distribution of excess returns in currency markets pp. 511-530 Downloads
Dooyeon Cho
Forecasting crude oil prices with DSGE models pp. 531-546 Downloads
Michał Rubaszek
Treating and Pruning: New approaches to forecasting model selection and combination using prediction intervals pp. 547-568 Downloads
Erick Meira, Fernando Luiz Cyrino Oliveira and Jooyoung Jeon
A DCC-type approach for realized covariance modeling with score-driven dynamics pp. 569-586 Downloads
Danilo Vassallo, Giuseppe Buccheri and Fulvio Corsi
Kaggle forecasting competitions: An overlooked learning opportunity pp. 587-603 Downloads
Casper Solheim Bojer and Jens Peder Meldgaard
Forecast encompassing tests for the expected shortfall pp. 604-621 Downloads
Timo Dimitriadis and Julie Schnaitmann
Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting pp. 622-633 Downloads
Anne Opschoor and Andre Lucas
Do survey joiners and leavers differ from regular participants? The US SPF GDP growth and inflation forecasts pp. 634-646 Downloads
Michael Clements
Modeling and predicting U.S. recessions using machine learning techniques pp. 647-671 Downloads
Spyridon D. Vrontos, John Galakis and Ioannis D. Vrontos
The uncertainty in extreme risk forecasts from covariate-augmented volatility models pp. 675-686 Downloads
Yannick Hoga
ALICE: Composite leading indicators for euro area inflation cycles pp. 687-707 Downloads
Gabe de Bondt, Elke Hahn and Zivile Zekaite
Intermittency and obsolescence: A Croston method with linear decay pp. 708-715 Downloads
S.D. Prestwich, S.A. Tarim and R. Rossi
Are professional forecasters overconfident? pp. 716-732 Downloads
Eddie Casey
Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions pp. 733-758 Downloads
Yu-Min Yen and Tso-Jung Yen
Sparse structures with LASSO through principal components: Forecasting GDP components in the short-run pp. 759-776 Downloads
Saulius Jokubaitis, Dmitrij Celov and Remigijus Leipus
Conformal prediction interval estimation and applications to day-ahead and intraday power markets pp. 777-799 Downloads
Christopher Kath and Florian Ziel
Evaluating quantile-bounded and expectile-bounded interval forecasts pp. 800-811 Downloads
James W. Taylor
Spatiotemporal wind forecasting by learning a hierarchically sparse inverse covariance matrix using wind directions pp. 812-824 Downloads
Yin Liu, Sam Davanloo Tajbakhsh and Antonio J. Conejo
Forecasting Brazilian mortality rates due to occupational accidents using autoregressive moving average approaches pp. 825-837 Downloads
Cristiane Melchior, Roselaine Ruviaro Zanini, Renata Rojas Guerra and Dinei A. Rockenbach
Conditional value-at-risk forecasts of an optimal foreign currency portfolio pp. 838-861 Downloads
Dongwhan Kim and Kyu Ho Kang
Forecasting the volatility of asset returns: The informational gains from option prices pp. 862-880 Downloads
Vance L. Martin, Chrismin Tang and Wenying Yao
Nonparametric tests for Optimal Predictive Ability pp. 881-898 Downloads
Stelios Arvanitis, Thierry Post, Valerio Potì and Selcuk Karabati
Measuring the Connectedness of the Global Economy pp. 899-919 Downloads
Matthew Greenwood-Nimmo, Viet Hoang Nguyen and Yongcheol Shin
Granger causality detection in high-dimensional systems using feedforward neural networks pp. 920-940 Downloads
Hector Calvo-Pardo, Tullio Mancini and Jose Olmo
Nowcasting GDP using machine-learning algorithms: A real-time assessment pp. 941-948 Downloads
Adam Richardson, Thomas van Florenstein Mulder and Tugrul Vehbi
U-Convolutional model for spatio-temporal wind speed forecasting pp. 949-970 Downloads
Bruno Quaresma Bastos, Fernando Luiz Cyrino Oliveira and Ruy Luiz Milidiú
Bayesian VAR forecasts, survey information, and structural change in the euro area pp. 971-999 Downloads
Gergely Ganics and Florens Odendahl
Bayesian median autoregression for robust time series forecasting pp. 1000-1010 Downloads
Zijian Zeng and Meng Li
A new approach to estimating earnings forecasting models: Robust regression MM-estimation pp. 1011-1030 Downloads
Li Qu
Stability in the inefficient use of forecasting systems: A case study in a supply chain company pp. 1031-1046 Downloads
Robert Fildes and Paul Goodwin

Volume 37, issue 1, 2021

Probabilistic recalibration of forecasts pp. 1-27 Downloads
Carlo Graziani, Robert Rosner, Jennifer M. Adams and Reason L. Machete
Machine learning model for Bitcoin exchange rate prediction using economic and technology determinants pp. 28-43 Downloads
Wei Chen, Huilin Xu, Lifen Jia and Ying Gao
Realized volatility forecasting: Robustness to measurement errors pp. 44-57 Downloads
Fabrizio Cipollini, Giampiero Gallo and Edoardo Otranto
Prediction of the Indian summer monsoon using a stacked autoencoder and ensemble regression model pp. 58-71 Downloads
Moumita Saha, Anirban Santara, Pabitra Mitra, Arun Chakraborty and Ravi S. Nanjundiah
Data snooping in equity premium prediction pp. 72-94 Downloads
Hubert Dichtl, Wolfgang Drobetz, Andreas Neuhierl and Viktoria-Sophie Wendt
Killing off cohorts: Forecasting mortality of non-extinct cohorts with the penalized composite link model pp. 95-104 Downloads
Silvia Rizzi, Søren Kjærgaard, Marie-Pier Bergeron Boucher, Carlo Giovanni Camarda, Rune Lindahl-Jacobsen and James W. Vaupel
Analytic moments for GJR-GARCH (1, 1) processes pp. 105-124 Downloads
Carol Alexander, Emese Lazar and Silvia Stanescu
The effect of spatiotemporal resolution on predictive policing model performance pp. 125-133 Downloads
Anneleen Rummens and Wim Hardyns
Probabilistic access forecasting for improved offshore operations pp. 134-150 Downloads
Ciaran Gilbert, Jethro Browell and David McMillan
Boosting nonlinear predictability of macroeconomic time series pp. 151-170 Downloads
Heikki Kauppi and Timo Virtanen
Forecasting high resolution electricity demand data with additive models including smooth and jagged components pp. 171-185 Downloads
Umberto Amato, Anestis Antoniadis, Italia De Feis, Yannig Goude and Audrey Lagache
Ranking professional forecasters by the predictive power of their narratives pp. 186-204 Downloads
Krzysztof Rybinski
Online distributed learning in wind power forecasting pp. 205-223 Downloads
Benedikt Sommer, Pierre Pinson, Jakob W. Messner and David Obst
Keeping track of global trade in real time pp. 224-236 Downloads
Jaime Martinez-Martin and Elena Rusticelli
Bagging weak predictors pp. 237-254 Downloads
Eric Hillebrand, Manuel Lukas and Wei Wei
Forecasting mortality with a hyperbolic spatial temporal VAR model pp. 255-273 Downloads
Lingbing Feng, Yanlin Shi and Le Chang
Artificial intelligence-based predictions of movie audiences on opening Saturday pp. 274-288 Downloads
Yongdae An, Jinwon An and Sungzoon Cho
Playing the synthesizer with Canadian data: Adding polls to a structural forecasting model pp. 289-301 Downloads
Philippe Mongrain, Richard Nadeau and Bruno Jérôme
Forecasting week-to-week television ratings using reduced-form and structural dynamic models pp. 302-321 Downloads
Lianlian Song, Yang Shi, Geoffrey Kwok Fai Tso and Hing Po Lo
A critical overview of privacy-preserving approaches for collaborative forecasting pp. 322-342 Downloads
Carla Gonçalves, Ricardo J. Bessa and Pierre Pinson
Forecast reconciliation: A geometric view with new insights on bias correction pp. 343-359 Downloads
Anastasios Panagiotelis, George Athanasopoulos, Puwasala Gamakumara and Rob Hyndman
Preventing rather than punishing: An early warning model of malfeasance in public procurement pp. 360-377 Downloads
Jorge Gallego, Gonzalo Rivero and Juan Martínez
Expert forecasting with and without uncertainty quantification and weighting: What do the data say? pp. 378-387 Downloads
Roger M. Cooke, Deniz Marti and Thomas Mazzuchi
Recurrent Neural Networks for Time Series Forecasting: Current status and future directions pp. 388-427 Downloads
Hansika Hewamalage, Christoph Bergmeir and Kasun Bandara
Forecasting recovery rates on non-performing loans with machine learning pp. 428-444 Downloads
Anthony Bellotti, Damiano Brigo, Paolo Gambetti and Frédéric Vrins
Page updated 2021-06-24