International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

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Volume 32, issue 4, 2016

A comparison of AdaBoost algorithms for time series forecast combination pp. 1103-1119

Devon K. Barrow and Sven F. Crone

Cross-validation aggregation for combining autoregressive neural network forecasts pp. 1120-1137

Devon K. Barrow and Sven F. Crone

What predicts US recessions? pp. 1138-1150

Weiling Liu and Emanuel Moench

Models for optimising the theta method and their relationship to state space models pp. 1151-1161

Jose A. Fiorucci, Tiago R. Pellegrini, Francisco Louzada, Fotios Petropoulos and Anne B. Koehler

Testing for predictability in panels of any time series dimension pp. 1162-1177

Joakim Westerlund and Paresh Narayan

Does disagreement among oil price forecasters reflect volatility? Evidence from the ECB surveys pp. 1178-1192

Tarek Atalla, Fred Joutz and Axel Pierru

Equity premium prediction: Are economic and technical indicators unstable? pp. 1193-1207

Fabian Baetje and Lukas Menkhoff

The forecastability quotient reconsidered pp. 1208-1211

Everette Shaw Gardner and Yavuz Acar

Investor attention to rounding as a salient forecast feature pp. 1212-1233

Vasiliki Athanasakou and Ana Simpson

Testing the historic tracking of climate models pp. 1234-1246

Michael Beenstock, Yaniv Reingewertz and Nathan Paldor

A simple model for now-casting volatility series pp. 1247-1255

Jörg Breitung and Christian Hafner

Forecasting using sparse cointegration pp. 1256-1267

Ines Wilms and Christophe Croux

Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices pp. 1268-1283

Ioannis Psaradellis and Georgios Sermpinis

Forecasting and nowcasting economic growth in the euro area using factor models pp. 1284-1305

Irma Hindrayanto, Siem Jan Koopman and Jasper de Winter

Modeling the impact of forecast-based regime switches on US inflation pp. 1306-1316

Koen Bel and Richard Paap

Global equity market volatility spillovers: A broader role for the United States pp. 1317-1339

Daniel Buncic and Katja I.M. Gisler

Constrained functional time series: Applications to the Italian gas market pp. 1340-1351

Antonio Canale and Simone Vantini

The role of spatial and temporal structure for residential rent predictions pp. 1352-1368

Roland Füss and Jan A. Koller

Nowcasting Turkish GDP and news decomposition pp. 1369-1384

Michele Modugno, Barış Soybilgen and Ege Yazgan

Variational Bayes for assessment of dynamic quantile forecasts pp. 1385-1402

Richard Gerlach and Sachin Abeywardana

Volume 32, issue 3, 2016

Electric load forecasting with recency effect: A big data approach pp. 585-597

Pu Wang, Bidong Liu and Tao Hong

The relationship between model complexity and forecasting performance for computer intelligence optimization in finance pp. 598-613

Adam Ghandar, Zbigniew Michalewicz and Ralf Zurbruegg

Long-run restrictions and survey forecasts of output, consumption and investment pp. 614-628

Michael Clements

A multilevel functional data method for forecasting population, with an application to the United Kingdom pp. 629-649

Han Lin Shang, Peter W.F. Smith, Jakub Bijak and Arkadiusz Wiśniowski

Getting the most out of macroeconomic information for predicting excess stock returns pp. 650-668

Cem Çakmaklı and Dick van Dijk

A new metric of absolute percentage error for intermittent demand forecasts pp. 669-679

Sungil Kim and Heeyoung Kim

Aggregate versus disaggregate information in dynamic factor models pp. 680-694

Rocio Alvarez, Maximo Camacho and Gabriel Perez-Quiros

Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? pp. 695-715

Julián Andrada-Félix, Fernando Fernández-Rodríguez and Ana-Maria Fuertes

Time varying biases and the state of the economy pp. 716-725

Zixiong Xie and Shih-Hsun Hsu

Household forecasting: Preservation of age patterns pp. 726-735

Nico Keilman

Nonlinear forecasting with many predictors using kernel ridge regression pp. 736-753

Peter Exterkate, Patrick Groenen, Christiaan Heij and Dick van Dijk

The forecast combination puzzle: A simple theoretical explanation pp. 754-762

Gerda Claeskens, Jan Magnus, Andrey Vasnev and Wendun Wang

Bayesian model averaging and principal component regression forecasts in a data rich environment pp. 763-787

Rachida Ouysse

Evaluating predictive count data distributions in retail sales forecasting pp. 788-803

Stephan Kolassa

Central banks’ forecasts and their bias: Evidence, effects and explanation pp. 804-817

Wojciech Charemza and Daniel Ladley

Density forecasting using Bayesian global vector autoregressions with stochastic volatility pp. 818-837

Florian Huber

Forecasting food prices: The case of corn, soybeans and wheat pp. 838-848

Hildegart Ahumada and Magdalena Cornejo

Uncertainty in forecasting inflation and monetary policy design: Evidence from the laboratory pp. 849-864

Damjan Pfajfar and Blaž Žakelj

Modeling and forecasting call center arrivals: A literature survey and a case study pp. 865-874

Rouba Ibrahim, Han Ye, L’Ecuyer, Pierre and Haipeng Shen

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models pp. 875-887

Francisco Blasques, Siem Jan Koopman, Katarzyna Łasak and Andre Lucas

Probabilistic energy forecasting: Global Energy Forecasting Competition 2014 and beyond pp. 896-913

Tao Hong, Pierre Pinson, Shu Fan, Hamidreza Zareipour, Alberto Troccoli and Rob Hyndman

Probabilistic electric load forecasting: A tutorial review pp. 914-938

Tao Hong and Shu Fan

A prediction interval for a function-valued forecast model: Application to load forecasting pp. 939-947

Anestis Antoniadis, Xavier Brossat, Jairo Cugliari and Jean-Michel Poggi

Probabilistic anomaly detection in natural gas time series data pp. 948-956

Hermine N. Akouemo and Richard J. Povinelli

Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging pp. 957-965

Katarzyna Maciejowska, Jakub Nowotarski and Rafał Weron

Probabilistic forecasting of hourly electricity prices in the medium-term using spatial interpolation techniques pp. 966-980

Antonio Bello, Javier Reneses, Antonio Muñoz and Andrés Delgadillo

Short-term probabilistic forecasting of wind speed using stochastic differential equations pp. 981-990

Emil B. Iversen, Juan M. Morales, Jan K. Møller and Henrik Madsen

Short-term density forecasting of wave energy using ARMA-GARCH models and kernel density estimation pp. 991-1004

Jooyoung Jeon and James W. Taylor

GEFCom2014 probabilistic electric load forecasting using time series and semi-parametric regression models pp. 1005-1011

V. Dordonnat, A. Pichavant and A. Pierrot

GEFCom2014 probabilistic electric load forecasting: An integrated solution with forecast combination and residual simulation pp. 1012-1016

Jingrui Xie and Tao Hong

A hybrid model of kernel density estimation and quantile regression for GEFCom2014 probabilistic load forecasting pp. 1017-1022

Stephen Haben and Georgios Giasemidis

Sequence of nonparametric models for GEFCom2014 probabilistic electric load forecasting pp. 1023-1028

Ekaterina Mangalova and Olesya Shesterneva

Lasso estimation for GEFCom2014 probabilistic electric load forecasting pp. 1029-1037

Florian Ziel and Bidong Liu

Additive models and robust aggregation for GEFCom2014 probabilistic electric load and electricity price forecasting pp. 1038-1050

Pierre Gaillard, Yannig Goude and Raphaël Nedellec

A hybrid model for GEFCom2014 probabilistic electricity price forecasting pp. 1051-1056

Katarzyna Maciejowska and Jakub Nowotarski

Multilayer perceptron for GEFCom2014 probabilistic electricity price forecasting pp. 1057-1060

Grzegorz Dudek

Probabilistic gradient boosting machines for GEFCom2014 wind forecasting pp. 1061-1066

Mark Landry, Thomas P. Erlinger, David Patschke and Craig Varrichio

K-nearest neighbors for GEFCom2014 probabilistic wind power forecasting pp. 1067-1073

Ekaterina Mangalova and Olesya Shesterneva

K-nearest neighbors and a kernel density estimator for GEFCom2014 probabilistic wind power forecasting pp. 1074-1080

Yao Zhang and Jianxue Wang

A semi-empirical approach using gradient boosting and k-nearest neighbors regression for GEFCom2014 probabilistic solar power forecasting pp. 1081-1086

Jing Huang and Matthew Perry

GEFCom2014: Probabilistic solar and wind power forecasting using a generalized additive tree ensemble approach pp. 1087-1093

Gábor I. Nagy, Gergő Barta, Sándor Kazi, Gyula Borbély and Gábor Simon

A multiple quantile regression approach to the wind, solar, and price tracks of GEFCom2014 pp. 1094-1102

Romain Juban, Henrik Ohlsson, Mehdi Maasoumy, Louis Poirier and J. Zico Kolter

Volume 32, issue 2, 2016

Assessing macroeconomic forecasts for Japan under an asymmetric loss function pp. 233-242

Yoichi Tsuchiya

Forecasting sales of new and existing products using consumer reviews: A random projections approach pp. 243-256

Matthew J. Schneider and Sachin Gupta

A comparison of MIDAS and bridge equations pp. 257-270

Christian Schumacher

Using time-stamped survey responses to measure expectations at a daily frequency pp. 271-282

Frieder Mokinski

Identification and real-time forecasting of Norwegian business cycles pp. 283-292

Knut Are Aastveit, Anne Sofie Jore and Francesco Ravazzolo

Score-driven exponentially weighted moving averages and Value-at-Risk forecasting pp. 293-302

Andre Lucas and Xin Zhang

Bagging exponential smoothing methods using STL decomposition and Box–Cox transformation pp. 303-312

Christoph Bergmeir, Rob Hyndman and José M. Benítez

Revisiting the relative forecast performances of Fed staff and private forecasters: A dynamic approach pp. 313-323

Makram El-Shagi, Sebastian Giesen and Alexander Jung

A dynamic factor model of the yield curve components as a predictor of the economy pp. 324-343

Marcelle Chauvet and Zeynep Senyuz

Forecasting branded and generic pharmaceuticals pp. 344-357

Konstantinos Nikolopoulos, Samantha Buxton, Marwan Khammash and Philip Stern

Improving the reliability of real-time output gap estimates using survey forecasts pp. 358-373

Jaqueson Galimberti and Marcelo Moura

Forecasting global recessions in a GVAR model of actual and expected output pp. 374-390

Anthony Garratt, Kevin Lee and Kalvinder Shields

A note on the estimation of optimal weights for density forecast combinations pp. 391-397

Laurent Pauwels and Andrey Vasnev

Low and high prices can improve volatility forecasts during periods of turmoil pp. 398-410

Piotr Fiszeder and Grzegorz Perczak

Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts pp. 411-436

W. Jos Jansen, Xiaowen Jin and Jasper de Winter

Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution pp. 437-457

Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori

Finite sample weighting of recursive forecast errors pp. 458-474

Chris Brooks, Simon P. Burke and Silvia Stanescu

Frontiers in VaR forecasting and backtesting pp. 475-501

Maria Rosa Nieto and Esther Ruiz

Multi-period-ahead forecasting with residual extrapolation and information sharing — Utilizing a multitude of retail series pp. 502-517

Ozden Gur Ali and Efe Pinar

Do asset price drops foreshadow recessions? pp. 518-526

John Bluedorn, Jörg Decressin and Marco Terrones

On the predictability of model-free implied correlation pp. 527-547

Chryssa Markopoulou, Vasiliki Skintzi and Apostolos Refenes

Betas and the myth of market neutrality pp. 548-558

Nicolas Papageorgiou, Jonathan J. Reeves and Xuan Xie

Evaluating qualitative forecasts: The FOMC minutes, 2006–2010 pp. 559-570

Herman Stekler and Hilary Symington

Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis pp. 571-583

Neil Ericsson

Volume 32, issue 1, 2016

Forecasting crude oil market volatility: A Markov switching multifractal volatility approach pp. 1-9

Yudong Wang, Chongfeng Wu and Li Yang

Predicting Finnish economic activity using firm-level data pp. 10-19

Paolo Fornaro

A note on the Mean Absolute Scaled Error pp. 20-22

Philip Hans Franses

Herding behavior of business cycle forecasters pp. 23-33

Jan-Christoph Rülke, Maria Silgoner and Julia Wörz

In-play forecasting of win probability in One-Day International cricket: A dynamic logistic regression model pp. 34-43

Muhammad Asif and Ian G. McHale

Order effects in judgmental forecasting pp. 44-60

Zoe Theocharis and Nigel Harvey

Combining forecasts from successive data vintages: An application to U.S. growth pp. 61-74

Thomas Götz, Alain Hecq and Jean-Pierre Urbain

Can currency-based risk factors help forecast exchange rates? pp. 75-97

Shamim Ahmed, Xiaoquan Liu and Giorgio Valente

Irregular leadership changes in 2014: Forecasts using ensemble, split-population duration models pp. 98-111

Andreas Beger, Cassy L. Dorff and Michael D. Ward

A parsimonious explanation of observed biases when forecasting one’s own performance pp. 112-120

Sheik Meeran, Paul Goodwin and Baris Yalabik

Multistep forecasting in the presence of location shifts pp. 121-137

Guillaume Chevillon

Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey pp. 138-153

Sumru Altug and Cem Çakmaklı

How accurate are professional forecasts in Asia? Evidence from ten countries pp. 154-167

Qiwei Chen, Mauro Costantini and Bruno Deschamps

Forecasting annual lung and bronchus cancer deaths using individual survival times pp. 168-179

Duk Bin Jun, Kyunghoon Kim and Myoung Hwan Park

Outlier detection in structural time series models: The indicator saturation approach pp. 180-202

Martyna Marczak and Tommaso Proietti

The time-varying leading properties of the high yield spread in the United States pp. 203-230

Pierangelo De Pace and Kyle D. Weber