International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

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Volume 35, issue 4, 2019

Forecasting returns in the VIX futures market pp. 1193-1210

Nick Taylor

A SHARP model of bid–ask spread forecasts pp. 1211-1225

Luca Cattivelli and Davide Pirino

A comprehensive evaluation of macroeconomic forecasting methods pp. 1226-1239

Andrea Carriero, Ana Galvão and George Kapetanios

Do forecasters target first or later releases of national accounts data? pp. 1240-1249

Michael Clements

Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators pp. 1250-1262

Luca Vincenzo Ballestra, Andrea Guizzardi and Fabio Palladini

Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis pp. 1263-1272

Hossein Hassani, António Rua, Emmanuel Sirimal Silva and Dimitrios Thomakos

Ordinal-response GARCH models for transaction data: A forecasting exercise pp. 1273-1287

Stefanos Dimitrakopoulos and Mike Tsionas

A hybrid machine learning model for forecasting a billing period’s peak electric load days pp. 1288-1303

Harshit Saxena, Omar Aponte and Katie T. McConky

Forecasting of density functions with an application to cross-sectional and intraday returns pp. 1304-1317

Piotr Kokoszka, Hong Miao, Alexander Petersen and Han Lin Shang

A novel cluster HAR-type model for forecasting realized volatility pp. 1318-1331

Xingzhi Yao, Marwan Izzeldin and Zhenxiong Li

Heterogeneous component multiplicative error models for forecasting trading volumes pp. 1332-1355

Antonio Naimoli and Giuseppe Storti

Adaptive learning forecasting, with applications in forecasting agricultural prices pp. 1356-1369

Foteini Kyriazi, Dimitrios Thomakos and John B. Guerard

Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values pp. 1370-1386

David Ardia, Keven Bluteau and Kris Boudt

Global energy forecasting competition 2017: Hierarchical probabilistic load forecasting pp. 1389-1399

Tao Hong, Jingrui Xie and Jonathan Black

Quantile regression for the qualifying match of GEFCom2017 probabilistic load forecasting pp. 1400-1408

Florian Ziel

Neural networks for GEFCom2017 probabilistic load forecasting pp. 1409-1423

I. Dimoulkas, P. Mazidi and L. Herre

Machine learning methods for GEFCom2017 probabilistic load forecasting pp. 1424-1431

Slawek Smyl and N. Grace Hua

An ensemble approach to GEFCom2017 probabilistic load forecasting pp. 1432-1438

Andrew J. Landgraf

Reconciled boosted models for GEFCom2017 hierarchical probabilistic load forecasting pp. 1439-1450

Cameron Roach

Data visualization and forecast combination for probabilistic load forecasting in GEFCom2017 final match pp. 1451-1459

Julian de Hoog and Khalid Abdulla

Data preprocessing and quantile regression for probabilistic load forecasting in the GEFCom2017 final match pp. 1460-1468

Isao Kanda and J.M. Quintana Veguillas

Short term load forecasting and the effect of temperature at the low voltage level pp. 1469-1484

Stephen Haben, Georgios Giasemidis, Florian Ziel and Siddharth Arora

Online adaptive lasso estimation in vector autoregressive models for high dimensional wind power forecasting pp. 1485-1498

Jakob W. Messner and Pierre Pinson

Operational solar forecasting for the real-time market pp. 1499-1519

Dazhi Yang, Elynn Wu and Jan Kleissl

On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks pp. 1520-1532

Grzegorz Marcjasz, Bartosz Uniejewski and Rafał Weron

Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO pp. 1533-1547

Bartosz Uniejewski, Grzegorz Marcjasz and Rafał Weron

Text-based crude oil price forecasting: A deep learning approach pp. 1548-1560

Xuerong Li, Wei Shang and Shouyang Wang

Gauging the uncertainty of the economic outlook using historical forecasting errors: The Federal Reserve’s approach pp. 1564-1582

David Reifschneider and Peter Tulip

Fiscal Surprises at the FOMC pp. 1583-1595

Dean Croushore and Simon van Norden

A new approach for detecting shifts in forecast accuracy pp. 1596-1612

Chiu, Ching-Wai (Jeremy), Simon Hayes, George Kapetanios and Konstantinos Theodoridis

Asymmetry in unemployment rate forecast errors pp. 1613-1626

John Galbraith and Simon van Norden

Evaluating the conditionality of judgmental forecasts pp. 1627-1635

Travis Berge, Andrew C. Chang and Nitish R. Sinha

Predicting relative forecasting performance: An empirical investigation pp. 1636-1657

Eleonora Granziera and Tatevik Sekhposyan

Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections pp. 1658-1668

Elena Angelini, Magdalena Lalik, Michele Lenza and Joan Paredes

Forecasting the UK economy with a medium-scale Bayesian VAR pp. 1669-1678

Sílvia Domit, Francesca Monti and Andrej Sokol

Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives pp. 1679-1691

Francis Diebold and Minchul Shin

Forecasting economic activity with mixed frequency BVARs pp. 1692-1707

Scott Brave, R. Andrew Butters and Alejandro Justiniano

Financial nowcasts and their usefulness in macroeconomic forecasting pp. 1708-1724

Edward Knotek and Saeed Zaman

Macroeconomic news and market reaction: Surprise indexes meet nowcasting pp. 1725-1734

Alberto Caruso

Forecasting economic time series using score-driven dynamic models with mixed-data sampling pp. 1735-1747

Paolo Gorgi, Siem Jan Koopman and Mengheng Li

Assessing the uncertainty in central banks’ inflation outlooks pp. 1748-1769

Malte Knüppel and Guido Schultefrankenfeld

DSGE forecasts of the lost recovery pp. 1770-1789

Michael Cai, Marco Del Negro, Marc Giannoni, Abhi Gupta, Pearl Li and Erica Moszkowski

Residential investment and recession predictability pp. 1790-1799

Knut Are Aastveit, Andre Anundsen and Eyo Herstad

Implied volatility term structure and exchange rate predictability pp. 1800-1813

Jose Ornelas and Roberto Mauad

Forecasting GDP growth with NIPA aggregates: In search of core GDP pp. 1814-1828

Christian Garciga and Edward Knotek

Volume 35, issue 3, 2019

Forecasting dynamic return distributions based on ordered binary choice pp. 823-835

Stanislav Anatolyev and Jozef Baruník

Forecasting Bitcoin risk measures: A robust approach pp. 836-847

Carlos Trucíos

Recession forecasting using Bayesian classification pp. 848-867

Troy Davig and Aaron Smalter Hall

Accuracy of German federal election forecasts, 2013 & 2017 pp. 868-877

Andreas Graefe

Unrestricted and controlled identification of loss functions: Possibility and impossibility results pp. 878-890

Robert Lieli, Maxwell B. Stinchcombe and Viola M. Grolmusz

Semiparametric quantile averaging in the presence of high-dimensional predictors pp. 891-909

Jan G. Gooijer and Dawit Zerom

Robust optimization of forecast combinations pp. 910-926

Thierry Post, Selçuk Karabatı and Stelios Arvanitis

International propagation of shocks: A dynamic factor model using survey forecasts pp. 929-947

Kajal Lahiri and Yongchen Zhao

Growth in stress pp. 948-966

Gloria Gonzalez-Rivera, Javier Maldonado and Esther Ruiz

The measurement and transmission of macroeconomic uncertainty: Evidence from the U.S. and BRIC countries pp. 967-979

Yang Liu and Xuguang Simon Sheng

Inflation expectations in India: Learning from household tendency surveys pp. 980-993

Abhiman Das, Kajal Lahiri and Yongchen Zhao

Quasi ex-ante inflation forecast uncertainty pp. 994-1007

Wojciech Charemza, Carlos Díaz and Svetlana Makarova

New perspectives on forecasting inflation in emerging market economies: An empirical assessment pp. 1008-1031

Roberto Duncan and Enrique Martínez-García

Bagged neural networks for forecasting Polish (low) inflation pp. 1042-1059

Karol Szafranek

Forecasting inflation in Latin America with core measures pp. 1060-1071

Pablo Pincheira, Jorge Selaive and Jose Nolazco

The trilemma between accuracy, timeliness and smoothness in real-time signal extraction pp. 1072-1084

Marc Wildi and Tucker McElroy

Medium term growth forecasts: Experts vs. simple models pp. 1085-1099

J. Daniel Aromi

Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters pp. 1100-1107

Michael Pedersen

Characteristics and implications of Chinese macroeconomic data revisions pp. 1108-1117

Tara Sinclair

Can media and text analytics provide insights into labour market conditions in China? pp. 1118-1130

Jeannine Bailliu, Xinfen Han, Mark Kruger, Yu-Hsien Liu and Sri Thanabalasingam

Do IMF forecasts respect Okun’s law? Evidence for advanced and developing economies pp. 1131-1142

Zidong An, Laurence Ball, Joao Jalles and Prakash Loungani

Forecasts in times of crises pp. 1143-1159

Theo Eicher, David Kuenzel, Chris Papageorgiou and Charis Christofides

Financial information and macroeconomic forecasts pp. 1160-1174

Sophia Chen and Romain Ranciere

Assessing the accuracy of electricity production forecasts in developing countries pp. 1175-1185

Jevgenijs Steinbuks

Some observations on forecasting and policy pp. 1186-1192

Jonathan Wright

Volume 35, issue 2, 2019

Forecasting the exchange rate using nonlinear Taylor rule based models pp. 429-442

Rudan Wang, Bruce Morley and Michalis P. Stamatogiannis

Forecasting U.S. money growth using economic uncertainty measures and regularisation techniques pp. 443-457

Artur Tarassow

Threshold cointegration in international exchange rates:A Bayesian approach pp. 458-473

Florian Huber and Thomas O. Zörner

Combining forecasts: Performance and coherence pp. 474-484

Mary E. Thomson, Andrew C. Pollock, Dilek Önkal and M. Sinan Gönül

Forecasting cryptocurrencies under model and parameter instability pp. 485-501

Leopoldo Catania, Stefano Grassi and Francesco Ravazzolo

Long-term forecasting of fuel demand at theater entry points pp. 502-520

Benjamin J. Lobo, Donald E. Brown and Peter J. Grazaitis

Approximate Bayesian forecasting pp. 521-539

David T. Frazier, Worapree Maneesoonthorn, Gael M. Martin and Brendan McCabe

Testing out-of-sample portfolio performance pp. 540-554

Ekaterina Kazak and Winfried Pohlmeier

Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes pp. 555-572

Oguzhan Cepni, I. Ethem Güney and Norman Swanson

Interpreting the skill score form of forecast performance metrics pp. 573-579

Edward Wheatcroft

Euro area real-time density forecasting with financial or labor market frictions pp. 580-600

Peter McAdam and Anders Warne

Combining wavelet decomposition with machine learning to forecast gold returns pp. 601-615

Marian Risse

Macroeconomic forecasting for Australia using a large number of predictors pp. 616-633

Anastasios Panagiotelis, George Athanasopoulos, Rob Hyndman, Bin Jiang and Farshid Vahid

A generalized non-linear forecasting model for limited overs international cricket pp. 634-640

M. Asif and I.G. McHale

Forecasting unknown-unknowns by boosting the risk radar within the risk intelligent organisation pp. 644-658

Alasdair Marshall, Udechukwu Ojiako, Victoria Wang, Fenfang Lin and Maxwell Chipulu

Forecasting, uncertainty and risk; perspectives on clinical decision-making in preventive and curative medicine pp. 659-666

Spyros Makridakis, Richard Kirkham, Ann Wakefield, Maria Papadaki, Joanne Kirkham and Lisa Long

Systemic risk in major public contracts pp. 667-676

Katherine Bloomfield, Terry Williams, Chris Bovis and Yasmin Merali

How much data do you need? An operational, pre-asymptotic metric for fat-tailedness pp. 677-686

Nassim Nicholas Taleb

Tales from tails: On the empirical distributions of forecasting errors and their implication to risk pp. 687-698

Evangelos Spiliotis, Konstantinos Nikolopoulos and Vassilios Assimakopoulos

Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach pp. 699-709

Madhusudan Karmakar and Samit Paul

Efficiency of online football betting markets pp. 712-721

Giovanni Angelini and Luca De Angelis

Bayesian forecasting of UEFA Champions League under alternative seeding regimes pp. 722-732

Francisco Corona, David Forrest, Juan de Dios Tena and Michael Wiper

Paired comparison models with age effects modeled as piecewise quadratic splines pp. 733-740

Kenji Araki, Yoshihiro Hirose and Fumiyasu Komaki

Predictive analysis and modelling football results using machine learning approach for English Premier League pp. 741-755

Rahul Baboota and Harleen Kaur

A calibration method with dynamic updates for within-match forecasting of wins in tennis pp. 756-766

Stephanie Kovalchik and Machar Reid

Optimizing the allocation of funds of an NFL team under the salary cap pp. 767-775

Jason Mulholland and Shane T. Jensen

Wage against the machine: A generalized deep-learning market test of dataset value pp. 776-782

Philip Z. Maymin

Exploiting sports-betting market using machine learning pp. 783-796

Ondřej Hubáček, Gustav Šourek and Filip Železný

Forecasting football match results in national league competitions using score-driven time series models pp. 797-809

Siem Jan Koopman and Rutger Lit

Forecasting Tour de France TV audiences: A multi-country analysis pp. 810-821

Daam Van Reeth

Volume 35, issue 1, 2019

Crowdsourcing the vote: New horizons in citizen forecasting pp. 1-10

Mickael Temporão, Yannick Dufresne, Justin Savoie and Clifton van der Linden

What determines forecasters’ forecasting errors? pp. 11-24

Ingmar Nolte, Sandra Nolte (Lechner) and Winfried Pohlmeier

Measuring connectedness of euro area sovereign risk pp. 25-44

Rebekka Buse and Melanie Schienle

Google data in bridge equation models for German GDP pp. 45-66

Thomas Götz and Thomas Knetsch

Representation, estimation and forecasting of the multivariate index-augmented autoregressive model pp. 67-79

Gianluca Cubadda and Barbara Guardabascio

Predictive regressions under asymmetric loss: Factor augmentation and model selection pp. 80-99

Matei Demetrescu and Sinem Hacioglu Hoke

Forecasting the UK economy: Alternative forecasting methodologies and the role of off-model information pp. 100-120

Lena Boneva, Nicholas Fawcett, Riccardo M. Masolo and Matt Waldron

Forecast quality improvement with Action Research: A success story at PharmaCo pp. 129-143

Christina Jane Phillips and Konstantinos Nikolopoulos

Use and misuse of information in supply chain forecasting of promotion effects pp. 144-156

Robert Fildes, Paul Goodwin and Dilek Önkal

Automatic selection of unobserved components models for supply chain forecasting pp. 157-169

Marco A. Villegas and Diego J. Pedregal

Forecasting sales in the supply chain: Consumer analytics in the big data era pp. 170-180

Tonya Boone, Ram Ganeshan, Aditya Jain and Nada R. Sanders

Forecasting spare part demand with installed base information: A review pp. 181-196

Sarah Van der Auweraer, Robert N. Boute and Aris A. Syntetos

Demand forecasting with user-generated online information pp. 197-212

Oliver Schaer, Nikolaos Kourentzes and Robert Fildes

Online big data-driven oil consumption forecasting with Google trends pp. 213-223

Lean Yu, Yaqing Zhao, Ling Tang and Zebin Yang

A general method for addressing forecasting uncertainty in inventory models pp. 224-238

Dennis Prak and Ruud Teunter

Quantile forecast optimal combination to enhance safety stock estimation pp. 239-250

Juan R. Trapero, Manuel Cardós and Nikolaos Kourentzes

The inventory performance of forecasting methods: Evidence from the M3 competition data pp. 251-265

Fotios Petropoulos, Xun Wang and Stephen M. Disney

Longshots, overconfidence and efficiency on the Iowa Electronic Market pp. 271-287

Joyce E. Berg and Thomas A. Rietz

The wisdom of large and small crowds: Evidence from repeated natural experiments in sports betting pp. 288-296

Alasdair Brown and Fuyu Yang

Predicting the failures of prediction markets: A procedure of decision making using classification models pp. 297-312

Chung-Ching Tai, Hung-Wen Lin, Bin-Tzong Chie and Chen-Yuan Tung

The cost of capital in a prediction market pp. 313-320

Andrew Grant, David Johnstone and Oh Kang Kwon

Keeping a weather eye on prediction markets: The influence of environmental conditions on forecasting accuracy pp. 321-335

Luis Felipe Costa Sperb, Ming-Chien Sung, Johnnie E.V. Johnson and Tiejun Ma

Polls to probabilities: Comparing prediction markets and opinion polls pp. 336-350

J Reade and Leighton Vaughan Williams

Incentive compatibility in prediction markets: Costly actions and external incentives pp. 351-370

Chen Di, Stanko Dimitrov and Qi-Ming He

The behaviour of betting and currency markets on the night of the EU referendum pp. 371-389

Tom Auld and Oliver Linton

Classification of intraday S&P500 returns with a Random Forest pp. 390-407

Christoph Lohrmann and Pasi Luukka

Explaining variance in the accuracy of prediction markets pp. 408-419

Oliver Strijbis and Sveinung Arnesen

When are prediction market prices most informative? pp. 420-428

Alasdair Brown, J Reade and Leighton Vaughan Williams