International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

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Volume 30, issue 4, 2014

Tracking world trade and GDP in real time pp. 847-862

Roberto Golinelli and Giuseppe Parigi

Forecasting daily return densities from intraday data: A multifractal approach pp. 863-881

Mark Hallam and Jose Olmo

An evaluation of business survey indices for short-term forecasting: Balance method versus Carlson–Parkin method pp. 882-897

Philip Vermeulen

Predicting recessions with a composite real-time dynamic probit model pp. 898-917

Christian Proaño and Thomas Theobald

Data transforms with exponential smoothing methods of forecasting pp. 918-927

Adrian N. Beaumont

Forecasting intermittent demand by hyperbolic-exponential smoothing pp. 928-933

S.D. Prestwich, S.A. Tarim, R. Rossi and B. Hnich

Evaluating forecasts of political conflict dynamics pp. 944-962

Patrick T. Brandt, John R. Freeman and Philip A. Schrodt

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models pp. 963-980

Xiaocong Zhou, Jouchi Nakajima and Mike West

Professional forecasters and real-time forecasting with a DSGE model pp. 981-995

Frank Smets, Anders Warne and Raf Wouters

Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models pp. 996-1015

Jiahan Li and Weiye Chen

Currency crisis early warning systems: Why they should be dynamic pp. 1016-1029

Bertrand Candelon, Elena Ivona Dumitrescu and Christophe Hurlin

Electricity price forecasting: A review of the state-of-the-art with a look into the future pp. 1030-1081

Rafał Weron

The challenges of pre-launch forecasting of adoption time series for new durable products pp. 1082-1097

Paul Goodwin, Sheik Meeran and Karima Dyussekeneva

Demographic forecasts and fiscal policy rules pp. 1098-1109

Jukka Lassila, Tarmo Valkonen and Juha M. Alho

Future changes in age and household patterns: Some implications for public finances pp. 1110-1119

Rasmus Højbjerg Jacobsen and Svend E. Hougaard Jensen

Response to updated mortality forecasts in life cycle saving and labor supply pp. 1120-1127

Niku Määttänen and Juha Alho

Forecasting demographic forecasts pp. 1128-1135

Juha M. Alho

Volume 30, issue 3, 2014

Prediction in a spatial nested error components panel data model pp. 407-414

Badi Baltagi and Alain Pirotte

Forecasting the US housing market pp. 415-425

Roy Kouwenberg and Remco Zwinkels

Evaluating alternative models of trend inflation pp. 426-448

Todd Clark and Taeyoung Doh

Forecasting return volatility: Level shifts with varying jump probability and mean reversion pp. 449-463

Jiawen Xu and Pierre Perron

Modeling and forecasting of Brazilian reservoir inflows via dynamic linear models pp. 464-476

L.M. Marangon Lima, E. Popova and P. Damien

The modeling and forecasting of extreme events in electricity spot markets pp. 477-490

Rodrigo Herrera and Nicolás González

Marked point process hotspot maps for homicide and gun crime prediction in Chicago pp. 491-497

George Mohler

Short-term forecasting of GDP with a DSGE model augmented by monthly indicators pp. 498-516

Marianna Cervena and Martin Schneider

Green shoots and double dips in the euro area: A real time measure pp. 520-535

Maximo Camacho, Gabriel Perez Quiros and Pilar Poncela

The way out of recessions: A forecasting analysis for some Euro area countries pp. 539-549

Frédérique Bec, Othman Bouabdallah and Laurent Ferrara

A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates pp. 554-568

Claudia Foroni and Massimiliano Marcellino

Forecasting macroeconomic variables using collapsed dynamic factor analysis pp. 572-584

Falk Bräuning and Siem Jan Koopman

Forecasting with factor-augmented error correction models pp. 589-612

Anindya Banerjee, Massimiliano Marcellino and Igor Masten

Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009 pp. 616-631

Anders Kock and Timo Teräsvirta

Short-term inflation projections: A Bayesian vector autoregressive approach pp. 635-644

Domenico Giannone, Michele Lenza, Daphne Momferatou and Luca Onorante

The financial content of inflation risks in the euro area pp. 648-659

Philippe Andrade, Valère Fourel, Eric Ghysels and Julien Idier

Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set pp. 662-682

Barbara Rossi and Tatevik Sekhposyan

Stress-testing US bank holding companies: A dynamic panel quantile regression approach pp. 691-713

Francisco Covas, Ben Rump and Egon Zakrajšek

Stress testing banks pp. 717-728

Til Schuermann

Assessing the historical role of credit: Business cycles, financial crises and the legacy of Charles S. Peirce pp. 729-740

Oscar Jorda

Nowcasting and forecasting global financial sector stress and credit market dislocation pp. 741-758

Bernd Schwaab, Siem Jan Koopman and Andre Lucas

Evaluating early warning indicators of banking crises: Satisfying policy requirements pp. 759-780

Mathias Drehmann and John Juselius

Forecasting systemic impact in financial networks pp. 781-794

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle

Computing systemic risk using multiple behavioral and keystone networks: The emergence of a crisis in primate societies and banks pp. 797-806

Hsieh Fushing, Oscar Jorda, Brianne Beisner and Brenda McCowan

Correlation dynamics and international diversification benefits pp. 807-824

Peter Christoffersen, Vihang Errunza, Kris Jacobs and Xisong Jin

Forecasting commodity price indexes using macroeconomic and financial predictors pp. 825-843

Antonio Gargano and Allan Timmermann

Volume 30, issue 2, 2014

Forecast revisions of Mexican inflation and GDP growth pp. 177-191

Carlos Capistrán and Gabriel López-Moctezuma

Illusory profitability of technical analysis in emerging foreign exchange markets pp. 192-205

Pei Kuang, M. Schröder and Qingwei Wang

Evaluating the accuracy of value-at-risk forecasts: New multilevel tests pp. 206-216

Arturo Leccadito, Simona Boffelli and Giovanni Urga

Empirical prediction intervals revisited pp. 217-234

Yun Shin Lee and Stefan Scholtes

Asymmetric loss in the Greenbook and the Survey of Professional Forecasters pp. 235-245

Yiyao Wang and Tae Hwy Lee

A new error measure for forecasts of household-level, high resolution electrical energy consumption pp. 246-256

Stephen Haben, Jonathan Ward, Danica Vukadinovic Greetham, Colin Singleton and Peter Grindrod

Efficient estimation of forecast uncertainty based on recent forecast errors pp. 257-267

Malte Knüppel

Measuring output gap nowcast uncertainty pp. 268-279

Anthony Garratt, James Mitchell and Shaun Vahey

Forecasting with dimension switching VARs pp. 280-290

Gary Koop

Improving forecasting by estimating time series structural components across multiple frequencies pp. 291-302

Nikolaos Kourentzes, Fotios Petropoulos and Juan R. Trapero

Money demand and the role of monetary indicators in forecasting euro area inflation pp. 303-312

Christian Dreger and Juergen Wolters

The Delphi method in forecasting financial markets— An experimental study pp. 313-327

Karlo Kauko and Peter Palmroos

A two-stage segment and prediction model for mortgage prepayment prediction and management pp. 328-343

Te-Hsin Liang and Jian-Bang Lin

Combining multiple probability predictions using a simple logit model pp. 344-356

Ville A. Satopää, Jonathan Baron, Dean P. Foster, Barbara A. Mellers, Philip E. Tetlock and Lyle H. Ungar

Global Energy Forecasting Competition 2012 pp. 357-363

Tao Hong, Pierre Pinson and Shu Fan

A refined parametric model for short term load forecasting pp. 364-368

Nathaniel Charlton and Colin Singleton

GEFCom2012 hierarchical load forecasting: Gradient boosting machines and Gaussian processes pp. 369-374

James Robert Lloyd

GEFCom2012: Electric load forecasting and backcasting with semi-parametric models pp. 375-381

Raphael Nedellec, Jairo Cugliari and Yannig Goude

A gradient boosting approach to the Kaggle load forecasting competition pp. 382-394

Souhaib Ben Taieb and Rob Hyndman

A feature engineering approach to wind power forecasting pp. 395-401

Lucas Silva

Wind power forecasting using the k-nearest neighbors algorithm pp. 402-406

E. Mangalova and E. Agafonov

Volume 30, issue 1, 2014

Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage pp. 1-11

Deborah Gefang

Using forecast evaluation to improve the accuracy of the Greenbook forecast pp. 12-19

Natsuki Arai

Forecasting with approximate dynamic factor models: The role of non-pervasive shocks pp. 20-29

Matteo Luciani

Testing the value of directional forecasts in the presence of serial correlation pp. 30-42

Oliver Blaskowitz and Helmut Herwartz

Combining forecasts: An application to elections pp. 43-54

Andreas Graefe, J. Armstrong, Randall J. Jones and Alfred G. Cuzán

Forecasting Austrian national elections: The Grand Coalition model pp. 55-64

Julian Aichholzer and Johanna Willmann

Forecasting macroeconomic variables using disaggregate survey data pp. 65-77

Kjetil Martinsen, Francesco Ravazzolo and Fredrik Wulfsberg

The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options pp. 78-98

Jeroen Rombouts, Lars Stentoft and Francesco Violante

Probability distributions or point predictions? Survey forecasts of US output growth and inflation pp. 99-117

Michael Clements

Frequentist model averaging for multinomial and ordered logit models pp. 118-128

Alan T.K. Wan, Xinyu Zhang and Shouyang Wang

Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters pp. 129-143

Alina Barnett, Haroon Mumtaz and Konstantinos Theodoridis

A new structural break model, with an application to Canadian inflation forecasting pp. 144-160

John Maheu and Yong Song

Forecast combinations under structural break uncertainty pp. 161-175

Jing Tian and Heather Anderson