International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

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Volume 33, issue 4, 2017

Predicting recessions with boosted regression trees pp. 745-759

Jörg Döpke, Ulrich Fritsche and Christian Pierdzioch

Systematic errors in growth expectations over the business cycle pp. 760-769

Jonas Dovern and Nils Jannsen

Realised variance forecasting under Box-Cox transformations pp. 770-785

Nick Taylor

A now-casting model for Canada: Do U.S. variables matter? pp. 786-800

Daniela Bragoli and Michele Modugno

The predictive power of Google searches in forecasting US unemployment pp. 801-816

D’Amuri, Francesco and Juri Marcucci

A neglected dimension of good forecasting judgment: The questions we choose also matter pp. 817-832

Edgar C. Merkle, Mark Steyvers, Barbara Mellers and Philip E. Tetlock

Forecast evaluation tests and negative long-run variance estimates in small samples pp. 833-847

David Harvey, Stephen Leybourne and Emily Whitehouse

Volatility measures and Value-at-Risk pp. 848-863

Dennis Bams, Gildas Blanchard and Thorsten Lehnert

Car resale price forecasting: The impact of regression method, private information, and heterogeneity on forecast accuracy pp. 864-877

Stefan Lessmann and Stefan Voß

Business tendency surveys and macroeconomic fluctuations pp. 878-893

Daniel Kaufmann and Rolf Scheufele

Selecting exchange rate fundamentals by bootstrap pp. 894-914

Pinho Ribeiro

Nowcasting BRIC+M in real time pp. 915-935

Tatjana Dahlhaus, Justin-Damien Guenette and Garima Vasishtha

Beta forecasting at long horizons pp. 936-957

Tolga Cenesizoglu, Fabio de Oliveira Ferrazoli Ribeiro and Jonathan J. Reeves

Forecasting multidimensional tail risk at short and long horizons pp. 958-969

Arnold Polanski and Evarist Stoja

Optimal asset allocation for strategic investors pp. 970-987

Ricardo Laborda and Jose Olmo

Adaptive expectations versus rational expectations: Evidence from the lab pp. 988-1006

Annarita Colasante, Antonio Palestrini, Alberto Russo and Mauro Gallegati

Re-anchoring countercyclical capital buffers: Bayesian estimates and alternatives focusing on credit growth pp. 1007-1024

Rodrigo Gonzalez, Leonardo Marinho and Joaquim Ignacio Alves de Vasconcellos e Lima

Infinite hidden markov switching VARs with application to macroeconomic forecast pp. 1025-1043

Chenghan Hou

When does the yield curve contain predictive power? Evidence from a data-rich environment pp. 1044-1064

Jari Hännikäinen

Short-term inflation forecasting: The M.E.T.A. approach pp. 1065-1081

Giacomo Sbrana, Andrea Silvestrini and Fabrizio Venditti

Forecasting inflation in emerging markets: An evaluation of alternative models pp. 1082-1104

Zeyyad Mandalinci

Threshold stochastic volatility: Properties and forecasting pp. 1105-1123

Xiuping Mao, Esther Ruiz and Helena Veiga

Forecasting with VAR models: Fat tails and stochastic volatility pp. 1124-1143

Ching-Wai (Jeremy) Chiu, Haroon Mumtaz and Gabor Pinter

Volume 33, issue 3, 2017

Stock return prediction under GARCH — An empirical assessment pp. 569-580

Helmut Herwartz

A wavelet-based multivariate multiscale approach for forecasting pp. 581-590

António Rua

Model and survey estimates of the term structure of US macroeconomic uncertainty pp. 591-604

Michael Clements and Ana Galvão

The effect of price volatility on judgmental forecasts: The correlated response model pp. 605-617

Daphne Sobolev

Improving the power of the Diebold–Mariano–West test for least squares predictions pp. 618-626

Walter J. Mayer, Feng Liu and Xin Dang

VARX-L: Structured regularization for large vector autoregressions with exogenous variables pp. 627-651

William B. Nicholson, David S. Matteson and Jacob Bien

The influence of product involvement and emotion on short-term product demand forecasting pp. 652-661

Valeria Belvedere and Paul Goodwin

Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching pp. 662-678

Fei Fei, Ana-Maria Fuertes and Elena Kalotychou

Real-time inflation forecasting with high-dimensional models: The case of Brazil pp. 679-693

Marcio Garcia, Marcelo Medeiros and Gabriel F.R. Vasconcelos

Does fiscal responsibility matter? Evidence from public and private forecasters in Italy pp. 694-706

Laura Carabotta, Elisenda Paluzie and Raul Ramos

Evaluation of exchange rate point and density forecasts: An application to Brazil pp. 707-728

Wagner Gaglianone and Jaqueline Terra Moura Marins

Forecasting the variance of stock index returns using jumps and cojumps pp. 729-742

Adam Clements and Yin Liao

Volume 33, issue 2, 2017

A vector heterogeneous autoregressive index model for realized volatility measures pp. 337-344

Gianluca Cubadda, Barbara Guardabascio and Alain Hecq

Visualising forecasting algorithm performance using time series instance spaces pp. 345-358

Yanfei Kang, Rob Hyndman and Kate Smith-Miles

Evaluating multi-step system forecasts with relatively few forecast-error observations pp. 359-372

David Hendry and Andrew Martinez

Does realized volatility help bond yield density prediction? pp. 373-389

Minchul Shin and Molin Zhong

Now-casting the Japanese economy pp. 390-402

Daniela Bragoli

Empowering cash managers to achieve cost savings by improving predictive accuracy pp. 403-415

Francisco Salas-Molina, Francisco J. Martin, Juan A. Rodríguez-Aguilar, Joan Serrà and Josep Ll. Arcos

Density forecast evaluation in unstable environments pp. 416-432

Gloria Gonzalez-Rivera and Yingying Sun

Structural forecasts for marketing data pp. 433-441

Greg M. Allenby

Forecasting inflation: Phillips curve effects on services price measures pp. 442-457

Ellis Tallman and Saeed Zaman

A bivariate Weibull count model for forecasting association football scores pp. 458-466

Georgi Boshnakov, Tarak Kharrat and Ian G. McHale

Forecasting elections at the constituency level: A correction–combination procedure pp. 467-481

Simon Munzert

Adaptive models and heavy tails with an application to inflation forecasting pp. 482-501

Davide Delle Monache and Ivan Petrella

Forecasting compositional time series: A state space approach pp. 502-512

Ralph Snyder, John Ord, Anne B. Koehler, Keith McLaren and Adrian N. Beaumont

Forecasting loss given default of bank loans with multi-stage model pp. 513-522

Yuta Tanoue, Akihiro Kawada and Satoshi Yamashita

Economic forecasting in theory and practice: An interview with David F. Hendry pp. 523-542

Neil Ericsson

How biased are U.S. government forecasts of the federal debt? pp. 543-559

Neil Ericsson

Comment on “How Biased are US Government Forecasts of the Federal Debt?” pp. 560-562

Edward N. Gamber and Jeffrey P. Liebner

Interpreting estimates of forecast bias pp. 563-568

Neil Ericsson

Volume 33, issue 1, 2017

Monte Carlo forecast evaluation with persistent data pp. 1-10

Lynda Khalaf and Charles J. Saunders

Quantile regression forecasts of inflation under model uncertainty pp. 11-20

Dimitris Korobilis

A comparison of wavelet networks and genetic programming in the context of temperature derivatives pp. 21-47

Antonis K. Alexandridis, Michael Kampouridis and Sam Cramer

Model Confidence Sets and forecast combination pp. 48-60

Jon D. Samuels and Rodrigo Sekkel

A mixed frequency approach to the forecasting of private consumption with ATM/POS data pp. 61-75

Cláudia Duarte, Paulo Rodrigues and António Rua

A comparative assessment of alternative ex ante measures of inflation uncertainty pp. 76-89

Matthias Hartmann, Helmut Herwartz and Maren Ulm

Modeling intra-seasonal heterogeneity in hourly advertising-response models: Do forecasts improve? pp. 90-101

Meltem Kiygi-Calli, Marcel Weverbergh and Philip Hans Franses

Forecasting market returns: bagging or combining? pp. 102-120

Steven J. Jordan, Andrew Vivian and Mark Wohar

Forecasting the Brazilian yield curve using forward-looking variables pp. 121-131

Fausto Vieira, Marcelo Fernandes and Fernando Chague

Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity pp. 132-152

Fengping Tian, Ke Yang and Langnan Chen

Forecasting GDP with global components: This time is different pp. 153-173

Hilde Bjørnland, Francesco Ravazzolo and Leif Thorsrud

Identifying business cycle turning points in real time with vector quantization pp. 174-184

Andrea Giusto and Jeremy Piger

Real-time nowcasting the US output gap: Singular spectrum analysis at work pp. 185-198

Miguel de Carvalho and António Rua

Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application pp. 199-213

M. Atikur Rahman Khan and Donald Poskitt

EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues pp. 214-229

Fotis Papailias and Dimitrios Thomakos

Use of expert knowledge to anticipate the future: Issues, analysis and directions pp. 230-243

Fergus Bolger and George Wright

Quantifiying blind spots and weak signals in executive judgment: A structured integration of expert judgment into the scenario development process pp. 244-253

Philip Meissner, Christian Brands and Torsten Wulf

Augmenting the intuitive logics scenario planning method for a more comprehensive analysis of causation pp. 254-266

James Derbyshire and George Wright

I nvestigate D iscuss E stimate A ggregate for structured expert judgement pp. 267-279

A.M. Hanea, M.F. McBride, M.A. Burgman, B.C. Wintle, F. Fidler, L. Flander, C.R. Twardy, B. Manning and S. Mascaro

Evaluating expert advice in forecasting: Users’ reactions to presumed vs. experienced credibility pp. 280-297

Dilek Önkal, M. Sinan Gönül, Paul Goodwin, Mary Thomson and Esra Öz

Expertise, credibility of system forecasts and integration methods in judgmental demand forecasting pp. 298-313

Jorge Alvarado-Valencia, Lope H. Barrero, Dilek Önkal and Jack T. Dennerlein

Using a rolling training approach to improve judgmental extrapolations elicited from forecasters with technical knowledge pp. 314-324

Fotios Petropoulos, Paul Goodwin and Robert Fildes

An investigation of dependence in expert judgement studies with multiple experts pp. 325-336

Kevin J. Wilson