International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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