Economics at your fingertips  

Journal of Forecasting

1987 - 2023

Continuation of Journal of Forecasting.

Current editor(s): Derek W. Bunn

From John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 42, issue 5, 2023

A new model for forecasting VaR and ES using intraday returns aggregation pp. 1039-1054 Downloads
Shijia Song and Handong Li
Dynamic forecasting for nonstationary high‐frequency financial data with jumps based on series decomposition and reconstruction pp. 1055-1068 Downloads
Yuping Song, Zhenwei Li, Zhiren Ma and Xiaoyu Sun
Reference class selection in similarity‐based forecasting of corporate sales growth pp. 1069-1085 Downloads
Etienne Theising, Dominik Wied and Daniel Ziggel
Risk‐neutral moments and return predictability: International evidence pp. 1086-1111 Downloads
Junyu Zhang, Xinfeng Ruan and Jin E. Zhang
Interpreting the prediction results of the tree‐based gradient boosting models for financial distress prediction with an explainable machine learning approach pp. 1112-1137 Downloads
Jiaming Liu, Chengzhang Li, Peng Ouyang, Jiajia Liu and Chong Wu
A hybrid prediction model with time‐varying gain tracking differentiator in Taylor expansion: Evidence from precious metals pp. 1138-1149 Downloads
Zhidan Luo, Wei Guo, Qingfu Liu and Yiuman Tse
Early prediction of Ibex 35 movements pp. 1150-1166 Downloads
I. Marta Miranda García, María‐Jesús Segovia‐Vargas, Usue Mori and José A. Lozano
Multiclass financial distress prediction based on one‐versus‐one decomposition integrated with improved decision‐directed acyclic graph pp. 1167-1186 Downloads
Jie Sun, Jie Li, Hamido Fujita and Wenguo Ai
Forecasting financial markets with semantic network analysis in the COVID‐19 crisis pp. 1187-1204 Downloads
Andrea Fronzetti Colladon, Stefano Grassi, Francesco Ravazzolo and Francesco Violante
Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap pp. 1205-1227 Downloads
Albert K. Tsui, Junxiang Wu, Zhaoyong Zhang and Zhongxi Zheng
An investigation into the probability that this is the last year of the economic expansion pp. 1228-1244 Downloads
Manfred Keil, Edward Leamer and Yao Li
A deep learning model for online doctor rating prediction pp. 1245-1260 Downloads
Anurag Kulshrestha, Venkataraghavan Krishnaswamy and Mayank Sharma
Forecasting air quality index considering socioeconomic indicators and meteorological factors: A data granularity perspective pp. 1261-1274 Downloads
Chih‐Hsuan Wang and Chia‐Rong Chang
Does herding effect help forecast market volatility?—Evidence from the Chinese stock market pp. 1275-1290 Downloads
Yide Wang, Chao Yu and Xujie Zhao

Volume 42, issue 4, 2023

An evolutionary cost‐sensitive support vector machine for carbon price trend forecasting pp. 741-755 Downloads
Bangzhu Zhu, Jingyi Zhang, Chunzhuo Wan, Julien Chevallier and Ping Wang
A dynamic performance evaluation of distress prediction models pp. 756-784 Downloads
Mohammad Mahdi Mousavi, Jamal Ouenniche and Kaoru Tone
El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach pp. 785-801 Downloads
Matteo Bonato, Oğuzhan Çepni, Rangan Gupta and Christian Pierdzioch
A new recurrent pi‐sigma artificial neural network inspired by exponential smoothing feedback mechanism pp. 802-812 Downloads
Eren Bas and Erol Eğrioğlu
Extensions of the Lee–Carter model to project the data‐driven rotation of age‐specific mortality decline and forecast coherent mortality rates pp. 813-834 Downloads
Cuixia Liu and Yanlin Shi
Semiparametric estimation of expected shortfall and its application in finance pp. 835-851 Downloads
Yan Fang, Jian Li, Yinglin Liu and Yunfan Zhao
Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage pp. 852-871 Downloads
Mingzhe Wei, Georgios Sermpinis and Charalampos Stasinakis
Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting pp. 872-904 Downloads
Tong Fang, Deyu Miao, Zhi Su and Libo Yin
Using shapely values to define subgroups of forecasts for combining pp. 905-923 Downloads
Zhenni Ding, Huayou Chen and Ligang Zhou
A review of scenario planning for emissions in environmental assessments pp. 924-936 Downloads
Venmathy Samanaseh, Zainura Zainon Noor, Siti Norasyiqin, Che Hafizan, Muhammad Amani Mazlan and Florianna Lendai Michael
Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country pp. 937-956 Downloads
Gabriel Caldas Montes and Igor Mendes Marcelino
Electricity demand forecasting and risk management using Gaussian process model with error propagation pp. 957-969 Downloads
Kuangyu Wen, Wenbin Wu and Ximing Wu
Which factors drive Bitcoin volatility: Macroeconomic, technical, or both? pp. 970-988 Downloads
Jiqian Wang, Feng Ma, Elie Bouri and Yangli Guo
A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies pp. 989-1007 Downloads
Carlos Trucíos and James W. Taylor
A retrospective analysis of Journal of Forecasting: From 1982 to 2019 pp. 1008-1035 Downloads
Dejian Yu, Libo Sheng and Shunshun Shi

Volume 42, issue 3, 2023

Advances in forecasting: An introduction in light of the debate on inflation forecasting pp. 455-463 Downloads
Anindya Banerjee, Stephen Hall, Georgios Kouretas and George Tavlas
Nowcasting inflation with Lasso‐regularized vector autoregressions and mixed frequency data pp. 464-480 Downloads
Tesi Aliaj, Milos Ciganovic and Massimiliano Tancioni
Forecasting inflation in open economies: What can a NOEM model do? pp. 481-513 Downloads
Roberto Duncan and Enrique Martínez‐García
Forecasting inflation: The use of dynamic factor analysis and nonlinear combinations pp. 514-529 Downloads
Stephen Hall, George Tavlas and Yongli Wang
Evaluation and indirect inference estimation of inattentive features in a New Keynesian framework pp. 530-542 Downloads
Jenyu Chou, Yifei Cao and A. Patrick Minford
Forecasting housing investment pp. 543-565 Downloads
Carlos Cañizares Martínez, Gabe de Bondt and Arne Gieseck
Assessing the informational content of card transactions for nowcasting retail trade: Evidence for Latvia pp. 566-577 Downloads
Anete Brinke, Ludmila Fadejeva, Boriss Siliverstovs and Karlis Vilerts
Jump forecasting in foreign exchange markets: A high‐frequency analysis pp. 578-624 Downloads
Sevcan Uzun, Ahmet Sensoy and Duc Khuong Nguyen
The role of expectations for currency crisis dynamics—The case of the Turkish lira pp. 625-642 Downloads
Joscha Beckmann and Robert Czudaj
The effects of shocks to interest rate expectations in the euro area: Estimates at the country level pp. 643-656 Downloads
Martin Mandler and Michael Scharnagl
Forecasting sovereign risk in the Euro area via machine learning pp. 657-684 Downloads
Guillaume Belly, Lukas Boeckelmann, Carlos Mateo Caicedo Graciano, Alberto Di Iorio, Klodiana Istrefi, Vasileios Siakoulis and Arthur Stalla‐Bourdillon
Worse than you think: Public debt forecast errors in advanced and developing economies pp. 685-714 Downloads
Julia Estefania‐Flores, Davide Furceri, Siddharth Kothari and Jonathan Ostry
Macro‐financial effects of monetary policy easing pp. 715-738 Downloads
George Apostolakis, Nikolaos Giannellis and Athanasios P. Papadopoulos

Volume 42, issue 2, 2023

Robust forecasting in spatial autoregressive model with total variation regularization pp. 195-211 Downloads
He Jiang
Trading cryptocurrencies using algorithmic average true range systems pp. 212-222 Downloads
Gil Cohen
Structural and predictive analyses with a mixed copula‐based vector autoregression model pp. 223-239 Downloads
Woraphon Yamaka, Rangan Gupta, Sukrit Thongkairat and Paravee Maneejuk
Nonlinear inflation forecasting with recurrent neural networks pp. 240-259 Downloads
Anna Almosova and Niek Andresen
Combined water quality forecasting system based on multiobjective optimization and improved data decomposition integration strategy pp. 260-287 Downloads
Yuqi Dong, Jianzhou Wang, Xinsong Niu and Bo Zeng
The effect of environment on housing prices: Evidence from the Google Street View pp. 288-311 Downloads
Guan‐Yuan Wang
Text‐based soybean futures price forecasting: A two‐stage deep learning approach pp. 312-330 Downloads
Wuyue An, Lin Wang and Yu‐Rong Zeng
Forecasting inflation and output growth with credit‐card‐augmented Divisia monetary aggregates pp. 331-346 Downloads
William Barnett and Sohee Park
Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations pp. 347-368 Downloads
Tamas Kiss, Stepan Mazur, Hoang Nguyen and Pär Österholm
Forecasting inflation time series using score‐driven dynamic models and combination methods: The case of Brazil pp. 369-401 Downloads
Carlos Henrique Dias Cordeiro de Castro and Fernando Antonio Lucena Aiube
Application of machine learning techniques to predict entrepreneurial firm valuation pp. 402-417 Downloads
Ruling Zhang, Zengrui Tian, Killian J. McCarthy, Xiao Wang and Kun Zhang
Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs pp. 418-451 Downloads
Chenghan Hou, Bao Nguyen and Bo Zhang

Volume 42, issue 1, 2023

Geopolitical risk and global financial cycle: Some forecasting experiments pp. 3-16 Downloads
Afees Salisu, Philip C. Omoke and Abdulsalam Abidemi Sikiru
Forecasting energy prices: Quantile‐based risk models pp. 17-33 Downloads
Nicholas Apergis
Estimation of short‐run predictive factor for US growth using state employment data pp. 34-50 Downloads
Arabinda Basistha
Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH‐MIDAS and deep learning models pp. 51-59 Downloads
Yuping Song, Xiaolong Tang, Hemin Wang and Zhiren Ma
A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information pp. 60-75 Downloads
Feng Ma, M. I. M. Wahab, Julien Chevallier and Ziyang Li
Trading volume and realized volatility forecasting: Evidence from the China stock market pp. 76-100 Downloads
Min Liu, Wei‐Chong Choo, Chi‐Chuan Lee and Chien‐Chiang Lee
Wind power prediction based on wind speed forecast using hidden Markov model pp. 101-123 Downloads
Khatereh Ghasvarian Jahromi, Davood Gharavian and Hamid Reza Mahdiani
Power grid operation optimization and forecasting using a combined forecasting system pp. 124-153 Downloads
Lifang Zhang, Jianzhou Wang and Zhenkun Liu
A new PM2.5 concentration forecasting system based on AdaBoost‐ensemble system with deep learning approach pp. 154-175 Downloads
Zhongfei Li, Kai Gan, Shaolong Sun and Shouyang Wang
A hybrid approach with step‐size aggregation to forecasting hierarchical time series pp. 176-192 Downloads
Hakeem‐Ur Rehman, Guohua Wan and Raza Rafique
Page updated 2023-09-29