International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

From Elsevier
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Volume 31, issue 4, 2015

Real-time forecasting of the US federal government budget: A simple mixed frequency data regression approach pp. 1009-1020

Eric Ghysels and Nazire Ozkan

Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information? pp. 1021-1042

Frédérique Bec and Matteo Mogliani

What affects the predictions of private forecasters? The role of central bank forecasts in Chile pp. 1043-1055

Michael Pedersen

Forecasting long memory series subject to structural change: A two-stage approach pp. 1056-1066

Fotis Papailias and Gustavo Fruet Dias

Point and density forecasts for the euro area using Bayesian VARs pp. 1067-1095

Tim Berg and Steffen Henzel

Optimal combination of survey forecasts pp. 1096-1103

Cristina Conflitti, Christine De Mol and Domenico Giannone

Forecasting in telecommunications and ICT—A review pp. 1105-1126

Nigel Meade and Towhidul Islam

Predicting internet commercial connectivity wars: The impact of trust and operators’ asymmetry pp. 1127-1137

D’Ignazio, Alessio and Emanuele Giovannetti

Firm level innovation diffusion of 3G mobile connections in international context pp. 1138-1152

Towhidul Islam and Nigel Meade

The forecasting accuracy of models of post-award network deployment: An application of maximum score tests pp. 1153-1158

Gary Madden, Walter Mayer, Chen Wu and Thien Tran

The diffusion of mobile social networking: Exploring adoption externalities in four G7 countries pp. 1159-1170

Miriam Scaglione, Emanuele Giovannetti and Mohsen Hamoudia

Volume 31, issue 3, 2015

Testing for multiple-period predictability between serially dependent time series pp. 587-597

Chris Heaton

Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series pp. 598-608

Holger Kömm and Ulrich Küsters

Volatility forecasting: The role of lunch-break returns, overnight returns, trading volume and leverage effects pp. 609-619

Xunxiao Wang, Chongfeng Wu and Weidong Xu

Forecasting realized volatility with changing average levels pp. 620-634

Giampiero Gallo and Edoardo Otranto

Option pricing with asymmetric heteroskedastic normal mixture models pp. 635-650

Jeroen V.K. Rombouts and Lars Stentoft

Forecasting the forecastability quotient for inventory management pp. 651-663

Arthur V. Hill, Weiyong Zhang and Gerald F. Burch

Macroeconomic forecasting during the Great Recession: The return of non-linearity? pp. 664-679

Laurent Ferrara, Massimiliano Marcellino and Matteo Mogliani

Macroeconomic forecasting and structural analysis through regularized reduced-rank regression pp. 682-691

Emmanuela Bernardini and Gianluca Cubadda

Markov-switching mixed-frequency VAR models pp. 692-711

Claudia Foroni, Pierre Guérin and Massimiliano Marcellino

EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries pp. 712-738

Stefano Grassi, Tommaso Proietti, Cecilia Frale, Massimiliano Marcellino and Gianluigi Mazzi

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections pp. 739-756

Marta Banbura, Domenico Giannone and Michele Lenza

Forecasting with Bayesian multivariate vintage-based VARs pp. 757-768

Andrea Carriero, Michael Clements and Ana Galvão

Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations pp. 769-781

Jan Magnus and Andrey Vasnev

Comparison of methods for constructing joint confidence bands for impulse response functions pp. 782-798

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

Generalized autocontours: Evaluation of multivariate density models pp. 799-814

Gloria Gonzalez-Rivera and Yingying Sun

Copula modelling of dependence in multivariate time series pp. 815-833

Michael Smith

Bootstrap multi-step forecasts of non-Gaussian VAR models pp. 834-848

Diego Fresoli, Esther Ruiz and Lorenzo Pascual

Selecting volatility forecasting models for portfolio allocation purposes pp. 849-861

R. Becker, Adam Clements, M.B. Doolan and Stan Hurn

Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions pp. 862-875

Osmani Guillén, Alain Hecq, João Issler and Diogo Saraiva

Testing causality between two vectors in multivariate GARCH models pp. 876-894

Tomasz Woźniak

Origins of Presidential poll aggregation: A perspective from 2004 to 2012 pp. 898-909

Samuel S.-H. Wang

A simple approach to projecting the electoral college pp. 910-915

Joshua T. Putnam

The wisdom of crowds: Applying Condorcet’s jury theorem to forecasting US presidential elections pp. 916-929

Andreas E. Murr

Calibrating ensemble forecasting models with sparse data in the social sciences pp. 930-942

Jacob M. Montgomery, Florian M. Hollenbach and Michael D. Ward

Limitations of Ensemble Bayesian Model Averaging for forecasting social science problems pp. 943-951

Andreas Graefe, Helmut Küchenhoff, Veronika Stierle and Bernhard Riedl

Combining forecasts for elections: Accurate, relevant, and timely pp. 952-964

David Rothschild

Under-performing, over-performing, or just performing? The limitations of fundamentals-based presidential election forecasting pp. 965-979

Benjamin E. Lauderdale and Drew Linzer

Forecasting elections with non-representative polls pp. 980-991

Wei Wang, David Rothschild, Sharad Goel and Andrew Gelman

Can we vote with our tweet? On the perennial difficulty of election forecasting with social media pp. 992-1007

Mark Huberty

Volume 31, issue 2, 2015

Forecast combination with outlier protection pp. 223-237

Gang Cheng and Yuhong Yang

Do high-frequency financial data help forecast oil prices? The MIDAS touch at work pp. 238-252

Christiane Baumeister, Pierre Guérin and Lutz Kilian

ROC-based model estimation for forecasting large changes in demand pp. 253-262

Matthew J. Schneider and Wilpen L. Gorr

Balance sheets of financial intermediaries: Do they forecast economic activity? pp. 263-275

Rodrigo Sekkel

Forecasting residential investment in the United States pp. 276-285

Kurt Lunsford

Weather station selection for electric load forecasting pp. 286-295

Tao Hong, Pu Wang and Laura White

Modeling time-varying skewness via decomposition for out-of-sample forecast pp. 296-311

Xiaochun Liu

How good are US government forecasts of the federal debt? pp. 312-324

Andrew Martinez

Macroeconomic information, structural change, and the prediction of fiscal aggregates pp. 325-348

Andrea Carriero, Haroon Mumtaz and Angeliki Theophilopoulou

Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD pp. 349-363

Yuanhua Feng and Chen Zhou

Box office forecasting using machine learning algorithms based on SNS data pp. 364-390

Taegu Kim, Jungsik Hong and Pilsung Kang

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world pp. 399-425

Sebastien Lleo and William T. Ziemba

Using financial indicators to predict turning points in the business cycle: The case of the leading economic index for the United States pp. 426-445

Gad Levanon, Jean-Claude Manini, Ataman Ozyildirim, Brian Schaitkin and Jennelyn Tanchua

A further analysis of the conference board’s new Leading Economic Index pp. 446-453

Kajal Lahiri and Liu Yang

Predictability and ‘good deals’ in currency markets pp. 454-472

Richard M. Levich and Valerio Potì

Pretesting for multi-step-ahead exchange rate forecasts with STAR models pp. 473-487

Walter Enders and Razvan Pascalau

Comparing the effectiveness of traditional vs. mechanized identification methods in post-sample forecasting for a macroeconomic Granger causality analysis pp. 488-500

Haichun Ye, Richard Ashley and John Guerard

Interactions between analysts’ and managers’ earnings forecasts pp. 501-514

Lawrence D. Brown and Ling Zhou

Quantifying differential interpretation of public information using financial analysts’ earnings forecasts pp. 515-530

Xuguang Simon Sheng and Maya Thevenot

Do analysts treat winners and losers differently when forecasting earnings? pp. 531-549

Jay Heon Jung, Jinhan Pae and Choong-Yuel Yoo

Earnings forecasting in a global stock selection model and efficient portfolio construction and management pp. 550-560

John B. Guerard, Harry Markowitz and GanLin Xu

Applied mean-ETL optimization in using earnings forecasts pp. 561-567

Barret Pengyuan Shao, Svetlozar T. Rachev and Yu Mu

Effectiveness of earnings forecasts in efficient global portfolio construction pp. 568-574

Hui Xia, Xinyu Min and Shijie Deng

News volume information: Beyond earnings forecasting in a global stock selection model pp. 575-581

Robert A. Gillam, John B. Guerard and Rochester Cahan

A note on the integration of the alpha alignment factor and earnings forecasting models in producing more efficient Markowitz Frontiers pp. 582-584

Bijan Beheshti

Volume 31, issue 1, 2015

Forecasting using DSGE models with financial frictions pp. 1-19

Marcin Kolasa and Michał Rubaszek

Amplifying the learning effects via a Forecasting and Foresight Support System pp. 20-32

Georgios P. Spithourakis, Fotios Petropoulos, Konstantinos Nikolopoulos and Vassilios Assimakopoulos

Forecasting GDP growth using mixed-frequency models with switching regimes pp. 33-50

Fady Barsoum and Sandra Stankiewicz

Quantifying survey expectations: A critical review and generalization of the Carlson–Parkin method pp. 51-62

Kajal Lahiri and Yongchen Zhao

Forecasting house prices in the 50 states using Dynamic Model Averaging and Dynamic Model Selection pp. 63-78

Lasse Bork and Stig V. Møller

Reproducibility in forecasting research pp. 79-90

John E. Boylan, Paul Goodwin, Maryam Mohammadipour and Aris A. Syntetos

Robust approaches to forecasting pp. 99-112

Jennifer Castle, Michael Clements and David Hendry

Testing the value of probability forecasts for calibrated combining pp. 113-129

Kajal Lahiri, Huaming Peng and Yongchen Zhao

Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding pp. 130-139

Ulrich Fritsche, Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann

Forecasters and rationality—A comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding pp. 140-143

Robert Fildes

Information rigidities: Comparing average and individual forecasts for a large international panel pp. 144-154

Jonas Dovern, Ulrich Fritsche, Prakash Loungani and Natalia Tamirisa

Evaluating a vector of the Fed’s forecasts pp. 157-164

Tara Sinclair, Herman Stekler and Warren Carnow

Evaluating the economic forecasts of FOMC members pp. 165-175

Xuguang Simon Sheng

Do forecasters believe in Okun’s Law? An assessment of unemployment and output forecasts pp. 176-184

Laurence Ball, Joao Jalles and Prakash Loungani

Forecasting economic activity with targeted predictors pp. 188-206

Guido Bulligan, Massimiliano Marcellino and Fabrizio Venditti

The future of oil: Geology versus technology pp. 207-221

Jaromir Benes, Marcelle Chauvet, Ondra Kamenik, Michael Kumhof, Douglas Laxton, Susanna Mursula and Jack Selody