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Journal of Forecasting

2012 - 2020

Continuation of Journal of Forecasting.

Current editor(s): Derek W. Bunn

From John Wiley & Sons, Ltd.
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Volume 39, issue 7, 2020

Professional forecasters' expectations, consistency, and international spillovers pp. 1001-1024 Downloads
Joscha Beckmann and Robert L. Czudaj
A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility pp. 1025-1034 Downloads
Yafeng Shi, Tingting Ying, Yanlong Shi and Chunrong Ai
Moving average threshold heterogeneous autoregressive (MAT‐HAR) models pp. 1035-1042 Downloads
Kaiji Motegi, Xiaojing Cai, Shigeyuki Hamori and Haifeng Xu
Forecasting models in the manufacturing processes and operations management: Systematic literature review pp. 1043-1056 Downloads
Icaro Romolo Sousa Agostino, Wesley Vieira da Silva, Claudimar Pereira da Veiga and Adriano Mendonça Souza
Using the yield curve to forecast economic growth pp. 1057-1080 Downloads
Parley Ruogu Yang
On the forecasting of high‐frequency financial time series based on ARIMA model improved by deep learning pp. 1081-1097 Downloads
Zhenwei Li, Jing Han and Yuping Song
Forecasting Australia's real house price index: A comparison of time series and machine learning methods pp. 1098-1118 Downloads
George Milunovich
A detailed look at crude oil price volatility prediction using macroeconomic variables pp. 1119-1141 Downloads
Nima Nonejad
Sparse Bayesian vector autoregressions in huge dimensions pp. 1142-1165 Downloads
Gregor Kastner and Florian Huber
The industrial asymmetry of the stock price prediction with investor sentiment: Based on the comparison of predictive effects with SVR pp. 1166-1178 Downloads
Zhenni Jin, Kun Guo, Yi Sun, Lin Lai and Zhewen Liao

Volume 39, issue 6, 2020

Cholesky–ANN models for predicting multivariate realized volatility pp. 865-876 Downloads
Andrea Bucci
Optimal forecast combination based on ensemble empirical mode decomposition for agricultural commodity futures prices pp. 877-886 Downloads
Yongmei Fang, Bo Guan, Shangjuan Wu and Saeed Heravi
Do credit booms predict US recessions? pp. 887-910 Downloads
Marius M. Mihai
A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis pp. 911-926 Downloads
Florian Huber, Michael Pfarrhofer and Philipp Piribauer
Correcting the January optimism effect pp. 927-933 Downloads
Philip Hans Franses
Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation pp. 934-943 Downloads
Joshua Chan, Liana Jacobi and Dan Zhu
Assessment of agricultural energy consumption of Turkey by MLR and Bayesian optimized SVR and GPR models pp. 944-956 Downloads
Zeynep Ceylan
The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles pp. 957-965 Downloads
Elie Bouri, Riza Demirer, Rangan Gupta and Xiaojin Sun
Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages pp. 966-985 Downloads
Oguzhan Cepni, Rangan Gupta, I. Ethem Güney and M. Yilmaz
A deep residual compensation extreme learning machine and applications pp. 986-999 Downloads
Yinghao Chen, Xiaoliang Xie, Tianle Zhang, Jiaxian Bai and Muzhou Hou

Volume 39, issue 5, 2020

Forecasting with unbalanced panel data pp. 709-724 Downloads
Badi Baltagi and Long Liu
Shift‐contagion in energy markets and global crisis pp. 725-736 Downloads
Mehdi Mili, Jean‐Michel Sahut and Frédéric Teulon
A generalized regression model based on hybrid empirical mode decomposition and support vector regression with back‐propagation neural network for mid‐short‐term load forecasting pp. 737-756 Downloads
Guo‐Feng Fan, Yan‐Hui Guo, Jia‐Mei Zheng and Wei‐Chiang Hong
Timescale classification in wind forecasting: A review of the state‐of‐the‐art pp. 757-768 Downloads
Jannik Schütz Roungkvist and Peter Enevoldsen
Incorporating textual and management factors into financial distress prediction: A comparative study of machine learning methods pp. 769-787 Downloads
Xiaobo Tang, Shixuan Li, Mingliang Tan and Wenxuan Shi
Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms pp. 788-796 Downloads
David Gabauer
Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects pp. 797-810 Downloads
Lu Wang, Feng Ma and Guoshan Liu
On long memory origins and forecast horizons pp. 811-826 Downloads
J. Eduardo Vera‐Valdés
Identifying US business cycle regimes using dynamic factors and neural network models pp. 827-840 Downloads
Barış Soybilgen
Model averaging estimation for conditional volatility models with an application to stock market volatility forecast pp. 841-863 Downloads
Qingfeng Liu, Qingsong Yao and Guoqing Zhao

Volume 39, issue 4, 2020

Forecasting interest rates through Vasicek and CIR models: A partitioning approach pp. 569-579 Downloads
Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo
Forecasting under model uncertainty: Non‐homogeneous hidden Markov models with Pòlya‐Gamma data augmentation pp. 580-598 Downloads
Constandina Koki, Loukia Meligkotsidou and Ioannis Vrontos
On the predictability of crude oil market: A hybrid multiscale wavelet approach pp. 599-614 Downloads
Stelios Bekiros, Jose Arreola Hernandez, Gazi Salah Uddin and Ahmed Taneem Muzaffar
Spatial dependence model with feature difference pp. 615-627 Downloads
Tommy K. Y. Cheung and Simon K. C. Cheung
Combining multivariate volatility forecasts using weighted losses pp. 628-641 Downloads
Adam Clements and Mark Bernard Doolan
Short‐run wavelet‐based covariance regimes for applied portfolio management pp. 642-660 Downloads
Theo Berger and Ramazan Gençay
Diagnosis of diabetes mellitus using artificial neural network and classification and regression tree optimized with genetic algorithm pp. 661-670 Downloads
Ebru Pekel Özmen and Tuncay Özcan
Can online search data improve the forecast accuracy of pork price in China? pp. 671-686 Downloads
Liwen Ling, Dabin Zhang, Shanying Chen and Amin W. Mugera
Evaluation of the going‐concern status for companies: An ensemble framework‐based model pp. 687-706 Downloads
Yu‐Feng Hsu and Wei‐Po Lee

Volume 39, issue 3, 2020

The wavelet scaling approach to forecasting: Verification on a large set of Noisy data pp. 353-367 Downloads
Joanna Bruzda
Do monetary policy transparency and central bank communication reduce interest rate disagreement? pp. 368-393 Downloads
Ruttachai Seelajaroen, Pornanong Budsaratragoon and Boonlert Jitmaneeroj
Short‐term forecasting of the US unemployment rate pp. 394-411 Downloads
Benedikt Maas
Revealing forecaster's preferences: A Bayesian multivariate loss function approach pp. 412-437 Downloads
Emmanuel Mamatzakis and Mike G. Tsionas
State‐space models for predicting IBNR reserve in row‐wise ordered runoff triangles: Calendar year IBNR reserves & tail effects pp. 438-448 Downloads
Leonardo Costa and Adrian Pizzinga
On the directional predictability of equity premium using machine learning techniques pp. 449-469 Downloads
Jonathan Iworiso and Spyridon Vrontos
A predictive model of train delays on a railway line pp. 470-488 Downloads
Chao Wen, Weiwei Mou, Ping Huang and Zhongcan Li
Regression tree model for prediction of demand with heterogeneity and censorship pp. 489-500 Downloads
Evgeniy M. Ozhegov and Alina Ozhegova
Real time prediction of irregular periodic time series data pp. 501-511 Downloads
Kaimeng Zhang, Chi Tim Ng and Myung Hwan Na
Forecasting of dependence, market, and investment risks of a global index portfolio pp. 512-532 Downloads
Jose Arreola Hernandez and Mazin A.M. Al Janabi
The impact of economic growth in mortality modelling for selected OECD countries pp. 533-550 Downloads
Lydia Dutton, Athanasios A. Pantelous and Malgorzata Seklecka
Gaussian processes for daily demand prediction in tourism planning pp. 551-568 Downloads
Wai Kit Tsang and Dries F. Benoit

Volume 39, issue 2, 2020

Forecasting air pollution PM2.5 in Beijing using weather data and multiple kernel learning pp. 117-125 Downloads
Xiang Xu
Modeling and forecasting commodity market volatility with long‐term economic and financial variables pp. 126-142 Downloads
Duc Khuong Nguyen and Thomas Walther
Volatility forecasts using stochastic volatility models with nonlinear leverage effects pp. 143-154 Downloads
Kenichiro McAlinn, Asahi Ushio and Teruo Nakatsuma
Volatility forecasting with bivariate multifractal models pp. 155-167 Downloads
Ruipeng Liu, Riza Demirer, Rangan Gupta and Mark Wohar
Model instability in predictive exchange rate regressions pp. 168-186 Downloads
Niko Hauzenberger and Florian Huber
A simple parameter‐driven binary time series model pp. 187-199 Downloads
Yang Lu
Predictive ability and economic gains from volatility forecast combinations pp. 200-219 Downloads
Stavroula P. Fameliti and Vasiliki Skintzi
Financial market imperfections and profitability: New evidence from a large panel of US SME firms pp. 220-241 Downloads
Nicholas Apergis
Forecasting of electricity price through a functional prediction of sale and purchase curves pp. 242-259 Downloads
Ismail Shah and Francesco Lisi
Predicting loan default in peer‐to‐peer lending using narrative data pp. 260-280 Downloads
Yufei Xia, Lingyun He, Yinguo Li, Nana Liu and Yanlin Ding
Filtering and prediction of noisy and unstable signals: The case of Google Trends data pp. 281-295 Downloads
Livio Fenga
On the use of power transformations in CAViaR models pp. 296-312 Downloads
Georgios Tsiotas
Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts pp. 313-333 Downloads
Frederik Kunze
Evaluation of current research on stock return predictability pp. 334-351 Downloads
Erhard Reschenhofer, Manveer Kaur Mangat, Christian Zwatz and Sándor Guzmics

Volume 39, issue 1, 2020

Evaluating early warning and coincident indicators of business cycles using smooth trends pp. 1-17 Downloads
Marcos Bujosa, Antonio García‐Ferrer, Aránzazu de Juan and Antonio Martín‐Arroyo
Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors pp. 18-36 Downloads
Oguzhan Cepni, I. Ethem Guney and Norman Swanson
Forecasting inflation using univariate continuous‐time stochastic models pp. 37-46 Downloads
Kevin Fergusson
A likelihood ratio and Markov chain‐based method to evaluate density forecasting pp. 47-55 Downloads
Yushu Li and Jonas Andersson
A novel forecasting model for the Baltic dry index utilizing optimal squeezing pp. 56-68 Downloads
Spyros Makridakis, Andreas Merikas, Anna Merika, Mike Tsionas and Marwan Izzeldin
A new approach to forecasting intermittent demand based on the mixed zero‐truncated Poisson model pp. 69-83 Downloads
Aiping Jiang, Kwok Leung Tam, Xiaoyun Guo and Yufeng Zhang
The dynamic effect of macroeconomic news on the euro/US dollar exchange rate pp. 84-103 Downloads
Walid Ben Omrane, Robert Welch and Xinyao Zhou
Using social media mining technology to improve stock price forecast accuracy pp. 104-116 Downloads
Jia‐Yen Huang and Jin‐Hao Liu
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