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Journal of Forecasting

2012 - 2022

Continuation of Journal of Forecasting.

Current editor(s): Derek W. Bunn

From John Wiley & Sons, Ltd.
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Volume 41, issue 8, 2022

Interest rate uncertainty and the predictability of bank revenues pp. 1559-1569 Downloads
Oguzhan Cepni, Riza Demirer, Rangan Gupta and Ahmet Sensoy
A Siamese network framework for bank intelligent Q&A prediction pp. 1570-1577 Downloads
Wei Wei and Yingli Liang
Mixed membership nearest neighbor model with feature difference pp. 1578-1594 Downloads
Simon K. C. Cheung and Tommy K. Y. Cheung
Forecasting value at risk and expected shortfall using high‐frequency data of domestic and international stock markets pp. 1595-1607 Downloads
Man Wang and Yihan Cheng
A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes pp. 1608-1622 Downloads
Giuseppe Orlando and Michele Bufalo
High‐frequency data and stock–bond investing pp. 1623-1638 Downloads
Yu‐Sheng Lai
Predicting earnings management through machine learning ensemble classifiers pp. 1639-1660 Downloads
Ahmad Hammami and Mohammad Hendijani Zadeh
Cryptocurrencies trading algorithms: A review pp. 1661-1668 Downloads
Isabela Ruiz Roque da Silva, Eli Hadad Junior and Pedro Paulo Balbi
Deep learning meets decision trees: An application of a heterogeneous deep forest approach in credit scoring for online consumer lending pp. 1669-1690 Downloads
Yufei Xia, Xinyi Guo, Yinguo Li, Lingyun He and Xueyuan Chen
Forecasting chlorophyll‐a concentration using empirical wavelet transform and support vector regression pp. 1691-1700 Downloads
Jin‐Won Yu, Ju‐Song Kim, Yun‐Chol Jong, Xia Li and Gwang‐Il Ryang
Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting pp. 1701-1724 Downloads
Pedro Henrique Melo Albuquerque, Yaohao Peng and João Pedro Fontoura da Silva
The role of investor sentiment in forecasting housing returns in China: A machine learning approach pp. 1725-1740 Downloads
Oguzhan Cepni, Rangan Gupta and Yigit Onay

Volume 41, issue 7, 2022

Bayesian quantile forecasting via the realized hysteretic GARCH model pp. 1317-1337 Downloads
Cathy W. S. Chen, Edward M. H. Lin and Tara F. J. Huang
Are internally consistent forecasts rational? pp. 1338-1355 Downloads
Jing Tian, Firmin Doko Tchatoka and Thomas Goodwin
Forgetting approaches to improve forecasting pp. 1356-1371 Downloads
Robert A. Hill and Paulo Rodrigues
Central bank information and private‐sector expectations pp. 1372-1385 Downloads
Jochen Güntner
Modeling credit risk with a multi‐stage hybrid model: An alternative statistical approach pp. 1386-1415 Downloads
Mohammad Shamsu Uddin, Guotai Chi, Mazin A. M. Al Janabi, Tabassum Habib and Kunpeng Yuan
Evaluating the predictive power of intraday technical trading in China's crude oil market pp. 1416-1432 Downloads
Xiaoye Jin
Forecasting international equity market volatility: A new approach pp. 1433-1457 Downloads
Chao Liang, Yan Li, Feng Ma and Yaojie Zhang
Stochastic configuration network based on improved whale optimization algorithm for nonstationary time series prediction pp. 1458-1482 Downloads
Zi‐yu Chen, Fei Xiao, Xiao‐kang Wang, Min‐hui Deng, Jian‐qiang Wang and Jun‐Bo Li
Multi‐step air quality index forecasting via data preprocessing, sequence reconstruction, and improved multi‐objective optimization algorithm pp. 1483-1511 Downloads
Ying Wang, Jianzhou Wang, Hongmin Li, Hufang Yang and Zhiwu Li
A weights direct determination neuronet for time‐series with applications in the industrial indices of the Federal Reserve Bank of St. Louis pp. 1512-1524 Downloads
Spyridon D. Mourtas
Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis pp. 1525-1556 Downloads
Afees Salisu, Rangan Gupta, Ahamuefula Ogbonna and Mark E. Wohar

Volume 41, issue 6, 2022

Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning pp. 1049-1064 Downloads
Mehmet Balcilar, David Gabauer, Rangan Gupta and Christian Pierdzioch
Distributional modeling and forecasting of natural gas prices pp. 1065-1086 Downloads
Jonathan Berrisch and Florian Ziel
Parallel architecture of CNN‐bidirectional LSTMs for implied volatility forecast pp. 1087-1098 Downloads
Ji‐Eun Choi and Dong Wan Shin
Forecast evaluation of DSGE models: Linear and nonlinear likelihood pp. 1099-1130 Downloads
Kuo‐Hsuan Chin
Anticipating financial distress of high‐tech startups in the European Union: A machine learning approach for imbalanced samples pp. 1131-1155 Downloads
Yang Liu, Qingguo Zeng, Bobo Li, Lili Ma and Joaquín Ordieres‐Meré
A novel robust structural quadratic forecasting model and applications pp. 1156-1180 Downloads
He Jiang
Nowcasting world GDP growth with high‐frequency data pp. 1181-1200 Downloads
Caroline Jardet and Baptiste Meunier
Deep learning with regularized robust long‐ and short‐term memory network for probabilistic short‐term load forecasting pp. 1201-1216 Downloads
He Jiang and Weihua Zheng
Subsampled factor models for asset pricing: The rise of Vasa pp. 1217-1247 Downloads
Gianluca De Nard, Simon Hediger and Markus Leippold
A comparative study of combining tree‐based feature selection methods and classifiers in personal loan default prediction pp. 1248-1313 Downloads
Weidong Guo and Zach Zhizhong Zhou

Volume 41, issue 5, 2022

Predicting financial crises with machine learning methods pp. 871-910 Downloads
Lanbiao Liu, Chen Chen and Bo Wang
Stock market as a nowcasting indicator for real investment pp. 911-919 Downloads
Stavros Degiannakis
ANN–polynomial–Fourier series modeling and Monte Carlo forecasting of tourism data pp. 920-932 Downloads
Salim Jibrin Danbatta and Asaf Varol
Volatility forecasting for crude oil based on text information and deep learning PSO‐LSTM model pp. 933-944 Downloads
Xingrui Jiao, Yuping Song, Yang Kong and Xiaolong Tang
Cryptocurrency exchanges: Predicting which markets will remain active pp. 945-955 Downloads
George Milunovich and Seung Ah Lee
Corporate failure prediction using threshold‐based models pp. 956-979 Downloads
David Veganzones
Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment pp. 980-996 Downloads
Zhifeng Dai, Tingyu Li and Mi Yang
The influence of policy uncertainty on exchange rate forecasting pp. 997-1016 Downloads
Lee Smales
A model sufficiency test using permutation entropy pp. 1017-1036 Downloads
Xin Huang, Han Lin Shang and David Pitt
Limited memory predictors based on polynomial approximation of periodic exponentials pp. 1037-1045 Downloads
Nikolai Dokuchaev

Volume 41, issue 4, 2022

Multiperiod default probability forecasting pp. 677-696 Downloads
Oliver Blümke
A new hedging hypothesis regarding prediction interval formation in stock price forecasting pp. 697-717 Downloads
Dan Zhu, Qingwei Wang and John Goddard
Mixed data sampling regression: Parameter selection of smoothed least squares estimator pp. 718-751 Downloads
Selma Toker, Nimet Özbay and Kristofer Månsson
Recession forecasting with high‐dimensional data pp. 752-764 Downloads
Lauri Nevasalmi
Uncertainty and the predictability of stock returns pp. 765-792 Downloads
Wensheng Cai, Zhiyuan Pan and Yudong Wang
Dendritic neuron model neural network trained by modified particle swarm optimization for time‐series forecasting pp. 793-809 Downloads
Ayse Yilmaz and Ufuk Yolcu
Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses pp. 810-828 Downloads
Yongchen Zhao
Evaluating heterogeneous forecasts for vintages of macroeconomic variables pp. 829-839 Downloads
Philip Hans Franses and Max Welz
Do sentiment indices always improve the prediction accuracy of exchange rates? pp. 840-852 Downloads
Takumi Ito and Fumiko Takeda
Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models pp. 853-868 Downloads
Xinjie Lu, Feng Ma, Jiqian Wang and Jing Liu

Volume 41, issue 3, 2022

Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model pp. 407-421 Downloads
Qifa Xu, Lu Chen, Cuixia Jiang and Yezheng Liu
Measuring multi‐volatility states of financial markets based on multifractal clustering model pp. 422-434 Downloads
Xun Huang and Huiyue Tang
The mutual predictability of Bitcoin and web search dynamics pp. 435-454 Downloads
Bernd Süssmuth
Random forest versus logit models: Which offers better early warning of fiscal stress? pp. 455-490 Downloads
Barbara Jarmulska
Assessing the usefulness of survey‐based data in forecasting firms' capital formation: Evidence from Italy pp. 491-513 Downloads
Claire Giordano, Marco Marinucci and Andrea Silvestrini
The global latent factor and international index futures returns predictability pp. 514-538 Downloads
Shu‐Lien Chang, Hsiu‐Chuan Lee and Donald Lien
A novel deep learning model based on convolutional neural networks for employee churn prediction pp. 539-550 Downloads
Ebru Pekel Ozmen and Tuncay Ozcan
Forecasting unemployment in the euro area with machine learning pp. 551-566 Downloads
Periklis Gogas, Theophilos Papadimitriou and Emmanouil Sofianos
Firm dynamics and bankruptcy processes: A new theoretical model pp. 567-591 Downloads
Şaban Çelik, Bora Aktan and Bruce Burton
Fundamental index aligned and excess market return predictability pp. 592-614 Downloads
Samuel YM Ze‐To
Optimal hybrid framework for carbon price forecasting using time series analysis and least squares support vector machine pp. 615-632 Downloads
Wen Zhang and Zhibin Wu
Forecasting Bitcoin volatility: A new insight from the threshold regression model pp. 633-652 Downloads
Yaojie Zhang, Mengxi He, Danyan Wen and Yudong Wang
A dynamic scenario‐driven technique for stock price prediction and trading pp. 653-674 Downloads
Yash Thesia, Vidhey Oza and Priyank Thakkar

Volume 41, issue 2, 2022

Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years pp. 213-229 Downloads
G. Kontogeorgos and Kyriacos Lambrias
Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach pp. 230-251 Downloads
Danyan Wen, Mengxi He, Yaojie Zhang and Yudong Wang
Investigating the predictive ability of ONS big data‐based indicators pp. 252-258 Downloads
George Kapetanios and Fotis Papailias
Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models pp. 259-278 Downloads
Yingying Xu and Donald Lien
Bootstrap VAR forecasts: The effect of model uncertainties pp. 279-293 Downloads
Diego Fresoli
Spatial beta‐convergence forecasting models: Evidence from municipal homicide rates in Colombia pp. 294-302 Downloads
Felipe Santos‐Marquez
Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis pp. 303-315 Downloads
Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch
Time‐varying trend models for forecasting inflation in Australia pp. 316-330 Downloads
Na Guo, Bo Zhang and Jamie L. Cross
Competition can help predict sales pp. 331-344 Downloads
Sima M. Fortsch, Jeong Hoon Choi and Elena A. Khapalova
Multistage optimization filter for trend‐based short‐term forecasting pp. 345-360 Downloads
Usman Zafar, Neil Kellard and Dmitri Vinogradov
What matters when developing oil price volatility forecasting frameworks? pp. 361-382 Downloads
Panagiotis Delis, Stavros Degiannakis and George Filis
Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility pp. 383-404 Downloads
Hardik A. Marfatia, Qiang Ji and Jiawen Luo

Volume 41, issue 1, 2022

Singular spectrum analysis for value at risk in stochastic volatility models pp. 3-16 Downloads
Josu Arteche and Javier García‐Enríquez
Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts pp. 17-42 Downloads
Per B. Solibakke
A state‐dependent linear recurrent formula with application to time series with structural breaks pp. 43-63 Downloads
Donya Rahmani and Damien Fay
A novel hybrid fine particulate matter (PM2.5) forecasting and its further application system: Case studies in China pp. 64-85 Downloads
Pei Du, Jianzhou Wang, Wendong Yang and Tong Niu
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility pp. 86-99 Downloads
Adam Clements, Yin Liao and Yusui Tang
Forecasting carbon price using a multi‐objective least squares support vector machine with mixture kernels pp. 100-117 Downloads
Bangzhu Zhu, Shunxin Ye, Ping Wang, Julien Chevallier and Yi-Ming Wei
A new Markov regime‐switching count time series approach for forecasting initial public offering volumes and detecting issue cycles pp. 118-133 Downloads
Xinyu Wang and Cathy Ning
Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions pp. 134-157 Downloads
Afees Salisu, Rangan Gupta, Elie Bouri and Qiang Ji
Optimal forecast error as an unbiased estimator of abnormal return: A proposition pp. 158-166 Downloads
Onur Enginar and Kazim Baris Atici
Modeling interval trendlines: Symbolic singular spectrum analysis for interval time series pp. 167-180 Downloads
Miguel de Carvalho and Gabriel Martos
A Bayesian time‐varying autoregressive model for improved short‐term and long‐term prediction pp. 181-200 Downloads
Christoph Berninger, Almond Stöcker and David Rügamer
Comparison of prospective Hawkes and recursive point process models for Ebola in DRC pp. 201-210 Downloads
Sarita D. Lee, Andy A. Shen, Junhyung Park, Ryan J. Harrigan, Nicole A. Hoff, Anne W. Rimoin and Frederic Paik Schoenberg
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