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International Journal of Forecasting

1985 - 2020

Current editor(s): R. J. Hyndman

From Elsevier
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Volume 36, issue 3, 2020

Forecasting third-party mobile payments with implications for customer flow prediction pp. 739-760 Downloads
Shaohui Ma and Robert Fildes
Bias corrections for exponentially transformed forecasts: Are they worth the effort? pp. 761-780 Downloads
Matei Demetrescu, Vasyl Golosnoy and Anna Titova
Realized volatility forecast with the Bayesian random compressed multivariate HAR model pp. 781-799 Downloads
Jiawen Luo and Langnan Chen
An information-theoretic approach for forecasting interval-valued SP500 daily returns pp. 800-813 Downloads
T.S. Tuang Buansing, Amos Golan and Aman Ullah
Forecasting the urban skyline with extreme value theory pp. 814-828 Downloads
Jonathan Auerbach and Phyllis Wan
Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model pp. 829-850 Downloads
Kai Carstensen, Markus Heinrich, Magnus Reif and Maik Wolters
A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth pp. 851-872 Downloads
Tony Chernis, Calista Cheung and Gabriella Velasco
A Model Confidence Set approach to the combination of multivariate volatility forecasts pp. 873-891 Downloads
Alessandra Amendola, Manuela Braione, Vincenzo Candila and Giuseppe Storti
Election forecasts: Cracking the Danish case pp. 892-898 Downloads
Richard Nadeau and Michael S. Lewis-Beck
Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity pp. 899-915 Downloads
Jamie L. Cross, Chenghan Hou and Aubrey Poon
A profitable model for predicting the over/under market in football pp. 916-932 Downloads
Edward Wheatcroft
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks pp. 933-948 Downloads
Manabu Asai, Rangan Gupta and Michael McAleer
Election forecasting: Too far out? pp. 949-962 Downloads
Will Jennings, Michael Lewis-Beck and Christopher Wlezien
Are GDP forecasts optimal? Evidence on European countries pp. 963-973 Downloads
Alessandro Giovannelli and Filippo Maria Pericoli
Comparing the forecasting performances of linear models for electricity prices with high RES penetration pp. 974-986 Downloads
Angelica Gianfreda, Francesco Ravazzolo and Luca Rossini
Measuring public opinion via digital footprints pp. 987-1002 Downloads
Roberto Cerina and Raymond Duch
Predicting LGD distributions with mixed continuous and discrete ordinal outcomes pp. 1003-1022 Downloads
Ruey-Ching Hwang, Chih-Kang Chu and Kaizhi Yu
Forecasting value at risk with intra-day return curves pp. 1023-1038 Downloads
Gregory Rice, Tony Wirjanto and Yuqian Zhao
Predicting default risk under asymmetric binary link functions pp. 1039-1056 Downloads
Y. Dendramis, E. Tzavalis, Petros Varthalitis and E. Athanasiou
Forecasting risk measures using intraday data in a generalized autoregressive score framework pp. 1057-1072 Downloads
Emese Lazar and Xiaohan Xue
Bayesian loss given default estimation for European sovereign bonds pp. 1073-1091 Downloads
Rainer Jobst, Ralf Kellner and Daniel Rösch
Predicting bank insolvencies using machine learning techniques pp. 1092-1113 Downloads
Anastasios Petropoulos, Vasilis Siakoulis, Evangelos Stavroulakis and Nikolaos E. Vlachogiannakis
Efficient big data model selection with applications to fraud detection pp. 1116-1127 Downloads
Gregory Vaughan
Brexit: Tracking and disentangling the sentiment towards leaving the EU pp. 1128-1137 Downloads
Miguel de Carvalho and Gabriel Martos
Spatio-temporal modeling of yellow taxi demands in New York City using generalized STAR models pp. 1138-1148 Downloads
Abolfazl Safikhani, Camille Kamga, Sandeep Mudigonda, Sabiheh Sadat Faghih and Bahman Moghimi
Quantile forecasting with mixed-frequency data pp. 1149-1162 Downloads
Luiz Renato Lima, Fanning Meng and Lucas Godeiro
Can Google search data help predict macroeconomic series? pp. 1163-1172 Downloads
Robin F. Niesert, Jochem A. Oorschot, Christian P. Veldhuisen, Kester Brons and Rutger-Jan Lange
Nowcasting in real time using popularity priors pp. 1173-1180 Downloads
George Monokroussos and Yongchen Zhao
DeepAR: Probabilistic forecasting with autoregressive recurrent networks pp. 1181-1191 Downloads
David Salinas, Valentin Flunkert, Jan Gasthaus and Tim Januschowski

Volume 36, issue 2, 2020

Forecasting inflation with online prices pp. 232-247 Downloads
Diego Aparicio and Manuel I. Bertolotto
Predicting loss given default in leasing: A closer look at models and variable selection pp. 248-266 Downloads
Florian Kaposty, Johannes Kriebel and Matthias Löderbusch
Macroeconomic forecasting using approximate factor models with outliers pp. 267-291 Downloads
Ray Yeutien Chou, Tso-Jung Yen and Yu-Min Yen
Forecasting bulk prices of Bordeaux wines using leading indicators pp. 292-309 Downloads
Emmanuel Paroissien
Probabilistic energy forecasting using the nearest neighbors quantile filter and quantile regression pp. 310-323 Downloads
Jorge Ángel González Ordiano, Lutz Gröll, Ralf Mikut and Veit Hagenmeyer
Temperature anomaly detection for electric load forecasting pp. 324-333 Downloads
Masoud Sobhani, Tao Hong and Claude Martin
The impact of sentiment and attention measures on stock market volatility pp. 334-357 Downloads
Francesco Audrino, Fabio Sigrist and Daniele Ballinari
High-frequency credit spread information and macroeconomic forecast revision pp. 358-372 Downloads
Bruno Deschamps, Christos Ioannidis and Kook Ka
Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy pp. 373-398 Downloads
Ellis Tallman and Saeed Zaman
Model-based pre-election polling for national and sub-national outcomes in the US and UK pp. 399-413 Downloads
Benjamin E. Lauderdale, Delia Bailey, Jack Blumenau and Douglas Rivers
Forecasting election results by studying brand importance in online news pp. 414-427 Downloads
Andrea Fronzetti Colladon
Forecast combinations for value at risk and expected shortfall pp. 428-441 Downloads
James W. Taylor
Forecasting from others’ experience: Bayesian estimation of the generalized Bass model pp. 442-465 Downloads
Andrés Ramírez-Hassan and Santiago Montoya-Blandón
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? pp. 466-479 Downloads
Grzegorz Marcjasz, Bartosz Uniejewski and Rafał Weron
Crime prediction by data-driven Green’s function method pp. 480-488 Downloads
Mami Kajita and Seiji Kajita
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures pp. 489-506 Downloads
Richard Gerlach and Chao Wang
Improved recession dating using stock market volatility pp. 507-514 Downloads
Yu-Fan Huang and Richard Startz
Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height pp. 515-530 Downloads
Bastien Alonzo, Peter Tankov, Philippe Drobinski and Riwal Plougonven
Comparing density forecasts in a risk management context pp. 531-551 Downloads
Cees Diks and Hao Fang
Probabilistic forecasting of heterogeneous consumer transaction–sales time series pp. 552-569 Downloads
Lindsay R. Berry, Paul Helman and Mike West
Oil price shocks and economic growth: The volatility link pp. 570-587 Downloads
John Maheu, Yong Song and Qiao Yang
An empirical investigation of water consumption forecasting methods pp. 588-606 Downloads
Panagiotis I. Karamaziotis, Achilleas Raptis, Konstantinos Nikolopoulos, Konstantia Litsiou and Vassilis Assimakopoulos
Five dimensions of the uncertainty–disagreement linkage pp. 607-627 Downloads
Alexander Glas
Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks? pp. 628-645 Downloads
Štefan Lyócsa and Neda Todorova
A functional time series analysis of forward curves derived from commodity futures pp. 646-665 Downloads
Lajos Horvath, Zhenya Liu, Gregory Rice and Shixuan Wang
Forecasting commodity prices out-of-sample: Can technical indicators help? pp. 666-683 Downloads
Yudong Wang, Li Liu and Chongfeng Wu
Forecasting stock price volatility: New evidence from the GARCH-MIDAS model pp. 684-694 Downloads
Lu Wang, Feng Ma, Jing Liu and Lin Yang
Rethinking weather station selection for electric load forecasting using genetic algorithms pp. 695-712 Downloads
Santiago Moreno-Carbonell, Eugenio F. Sánchez-Úbeda and Antonio Muñoz
Are betting returns a useful measure of accuracy in (sports) forecasting? pp. 713-722 Downloads
Fabian Wunderlich and Daniel Memmert
The term structure of volatility predictability pp. 723-737 Downloads
Xingyi Li and Valeriy Zakamulin

Volume 36, issue 1, 2020

A brief history of forecasting competitions pp. 7-14 Downloads
Rob Hyndman
Forecasting in social settings: The state of the art pp. 15-28 Downloads
Spyros Makridakis, Rob Hyndman and Fotios Petropoulos
Are forecasting competitions data representative of the reality? pp. 37-53 Downloads
Evangelos Spiliotis, Andreas Kouloumos, Vassilios Assimakopoulos and Spyros Makridakis
The M4 Competition: 100,000 time series and 61 forecasting methods pp. 54-74 Downloads
Spyros Makridakis, Evangelos Spiliotis and Vassilios Assimakopoulos
A hybrid method of exponential smoothing and recurrent neural networks for time series forecasting pp. 75-85 Downloads
Slawek Smyl
FFORMA: Feature-based forecast model averaging pp. 86-92 Downloads
Pablo Montero-Manso, George Athanasopoulos, Rob Hyndman and Thiyanga S. Talagala
Weighted ensemble of statistical models pp. 93-97 Downloads
Maciej Pawlikowski and Agata Chorowska
A combination-based forecasting method for the M4-competition pp. 98-104 Downloads
Srihari Jaganathan and P.K.S. Prakash
GROEC: Combination method via Generalized Rolling Origin Evaluation pp. 105-109 Downloads
Jose Augusto Fiorucci and Francisco Louzada
A simple combination of univariate models pp. 110-115 Downloads
Fotios Petropoulos and Ivan Svetunkov
Fast and accurate yearly time series forecasting with forecast combinations pp. 116-120 Downloads
David Shaub
Correlated daily time series and forecasting in the M4 competition pp. 121-128 Downloads
Anti Ingel, Novin Shahroudi, Markus Kängsepp, Andre Tättar, Viacheslav Komisarenko and Meelis Kull
Card forecasts for M4 pp. 129-134 Downloads
Jurgen Doornik, Jennifer Castle and David Hendry
Forecasting the M4 competition weekly data: Forecast Pro’s winning approach pp. 135-141 Downloads
Sarah Goodrich Darin and Eric Stellwagen
Page updated 2020-08-04