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Journal of Forecasting

2012 - 2019

Continuation of Journal of Forecasting.

Current editor(s): Derek W. Bunn

From John Wiley & Sons, Ltd.
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Volume 38, issue 7, 2019

Forecasting with many predictors using Bayesian additive regression trees pp. 621-631 Downloads
Jan Prüser
Predicting multistage financial distress: Reflections on sampling, feature and model selection criteria pp. 632-648 Downloads
Umar Farooq and Muhammad Ali Jibran Qamar
Can urban coffee consumption help predict US inflation? pp. 649-668 Downloads
Afees Salisu, Raymond Swaray and Idris Adediran
Out‐of‐sample volatility prediction: A new mixed‐frequency approach pp. 669-680 Downloads
Yaojie Zhang, Feng Ma, Tianyi Wang and Li Liu
A forecasting analysis of risk‐neutral equity and Treasury volatilities pp. 681-698 Downloads
Ana González‐Urteaga, Belén Nieto and Gonzalo Rubio
Do stock markets have predictive content for exchange rate movements? pp. 699-713 Downloads
Shiu‐Sheng Chen and Cheng‐Che Hsu
Why do EMD‐based methods improve prediction? A multiscale complexity perspective pp. 714-731 Downloads
Jichang Dong, Wei Dai, Ling Tang and Lean Yu

Volume 38, issue 6, 2019

A note on the predictive power of survey data in nowcasting euro area GDP pp. 489-503 Downloads
Jeong‐Ryeol Kurz‐Kim
Forecasting economic indicators using a consumer sentiment index: Survey‐based versus text‐based data pp. 504-518 Downloads
Minchae Song and Kyung‐shik Shin
Information content of DSGE forecasts pp. 519-524 Downloads
Ray C. Fair
Predictive power of Markovian models: Evidence from US recession forecasting pp. 525-551 Downloads
Ruilin Tian and Gang Shen
WTI crude oil option implied VaR and CVaR: An empirical application pp. 552-563 Downloads
Giovanni Barone‐Adesi, Marinela Adriana Finta, Chiara Legnazzi and Carlo Sala
Oil financialization and volatility forecast: Evidence from multidimensional predictors pp. 564-581 Downloads
Yan‐ran Ma, Qiang Ji and Jiaofeng Pan
Trading volume and prediction of stock return reversals: Conditioning on investor types' trading pp. 582-599 Downloads
Numan Ülkü and Olena Onishchenko
An ensemble of LSTM neural networks for high‐frequency stock market classification pp. 600-619 Downloads
Svetlana Borovkova and Ioannis Tsiamas

Volume 38, issue 5, 2019

The total cost of misclassification in credit scoring: A comparison of generalized linear models and generalized additive models pp. 375-389 Downloads
Christian Lohmann and Thorsten Ohliger
A modified sequential Monte Carlo procedure for the efficient recursive estimation of extreme quantiles pp. 390-399 Downloads
Serdar Neslihanoglu and Paresh Date
The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence pp. 400-414 Downloads
Feng Ma, Yaojie Zhang, M. I. M. Wahab and Xiaodong Lai
Combining expert‐adjusted forecasts pp. 415-421 Downloads
Dick van Dijk and Philip Hans Franses
Bayesian structure selection for vector autoregression model pp. 422-439 Downloads
Chi‐Hsiang Chu, Mong‐Na Lo Huang, Shih‐Feng Huang and Ray‐Bing Chen
Measuring large‐scale market responses and forecasting aggregated sales: Regression for sparse high‐dimensional data pp. 440-458 Downloads
Nobuhiko Terui and Yinxing Li
Intermittent demand forecasting in the Enterprise: Empirical verification pp. 459-469 Downloads
Mariusz Doszyń
Assessing time series models for forecasting international migration: Lessons from the United Kingdom pp. 470-487 Downloads
Jakub Bijak, George Disney, Allan M. Findlay, Jonathan J. Forster, Peter W.F. Smith and Arkadiusz Wiśniowski

Volume 38, issue 4, 2019

Sentiment indices and their forecasting ability pp. 257-276 Downloads
David A. Mascio and Frank Fabozzi
Forecasting in long horizons using smoothed direct forecast pp. 277-292 Downloads
Yaein Baek
Point forecasting of intraday volume using Bayesian autoregressive conditional volume models pp. 293-310 Downloads
Roman Huptas
Does geographic location matter to stock return predictability? pp. 311-326 Downloads
Sabri Boubaker, Imed Chkir, Lamia Chourou and Samir Saadi
The impact of parameter uncertainty in insurance pricing and reserve with the temperature‐related mortality model pp. 327-345 Downloads
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
Forecasting the Dubai financial market with a combination of momentum effect with a deep belief network pp. 346-353 Downloads
Andreas Karathanasopoulos and Mohammed Osman
Forecasting price delay and future stock returns: The role of corporate social responsibility pp. 354-373 Downloads
Yujing Gong, Kung‐Cheng Ho, Chia‐Chun Lo, Andreas Karathanasopoulos and I‐Ming Jiang

Volume 38, issue 3, 2019

Predicting opening spot prices using extended futures trading pp. 155-174 Downloads
Janchung Wang, Sunwu Winfred Chen and Bo‐Ting Wang
Real‐time inflation forecast combination for time‐varying coefficient models pp. 175-191 Downloads
Bo Zhang
Long‐term streamflow forecasting using artificial neural network based on preprocessing technique pp. 192-206 Downloads
Fang‐Fang Li, Zhi‐Yu Wang and Jun Qiu
Short‐term forecasts of economic activity: Are fortnightly factors useful? pp. 207-221 Downloads
Libero Monteforte and Valentina Raponi
Predictive likelihood for coherent forecasting of count time series pp. 222-235 Downloads
Siuli Mukhopadhyay and Vurukonda Sathish
Enhancing survey‐based investment forecasts pp. 236-255 Downloads
Ciaran Driver and Nigel Meade

Volume 38, issue 2, 2019

Model‐based forecast adjustment: With an illustration to inflation pp. 73-80 Downloads
Philip Hans Franses
Forecasting private consumption with Google Trends data pp. 81-91 Downloads
Jaemin Woo and Ann Owen
Hybridizing kernel‐based fuzzy c‐means with hierarchical selective neural network ensemble model for business failure prediction pp. 92-105 Downloads
Jiaming Liu and Chong Wu
A class of periodic trend models for seasonal time series pp. 106-121 Downloads
Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi
Learning dynamics in the formation of European inflation expectations pp. 122-135 Downloads
Christina Bräuning and Carin Cruijsen
An analysis on the predictability of CAPM beta for momentum returns pp. 136-153 Downloads
Tolga Cenesizoglu, Nicolas Papageorgiou, Jonathan J. Reeves and Haifeng Wu

Volume 38, issue 1, 2019

Valuable information in early sales proxies: The use of Google search ranks in portfolio optimization pp. 1-10 Downloads
Alexander Kupfer and Josef Zorn
Financial volatility modeling: The feedback asymmetric conditional autoregressive range model pp. 11-28 Downloads
Haibin Xie
Adaptive learning from model space pp. 29-38 Downloads
Jan Prüser
Mortality effects of economic fluctuations in selected eurozone countries pp. 39-62 Downloads
Malgorzata Seklecka, Norazliani Md. Lazam, Athanasios A. Pantelous and Colin O'Hare
Modeling eBay price using stochastic differential equations pp. 63-72 Downloads
Wei Wei Liu, Yan Liu and Ngai Hang Chan

Volume 37, issue 8, 2018

Volatility forecasting of crude oil market: A new hybrid method pp. 781-789 Downloads
Yue‐Jun Zhang and Jin‐Liang Zhang
Value‐at‐risk under market shifts through highly flexible models pp. 790-804 Downloads
Ahmed BenSaïda, Sabri Boubaker, Duc Khuong Nguyen and Skander Slim
Understanding the interplay between covariance forecasting factor models and risk‐based portfolio allocations in currency carry trades pp. 805-831 Downloads
Matthew Ames, Guillaume Bagnarosa, Gareth W. Peters and Pavel V. Shevchenko
Forecasting electricity spot price for Nord Pool market with a hybrid k‐factor GARMA–LLWNN model pp. 832-851 Downloads
Souhir Ben Amor, Heni Boubaker and Lotfi Belkacem
Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods pp. 852-866 Downloads
Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis

Volume 37, issue 7, 2018

The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions pp. 705-719 Downloads
Christina Christou, Rangan Gupta, Christis Hassapis and Tahir Suleman
Particle filtering of volatility dynamics for KOSPI200 and its sequential prediction pp. 720-728 Downloads
Tae Yeon Kwon
Modeling and forecasting intraday VaR of an exchange rate portfolio pp. 729-738 Downloads
Omar Abbara and Mauricio Zevallos
Workforce forecasting models: A systematic review pp. 739-753 Downloads
Anahita Safarishahrbijari
A separate reduced‐form volatility forecasting model for nonferrous metal market: Evidence from copper and aluminum pp. 754-766 Downloads
Hongwei Zhang, Xuehong Zhu, Yaoqi Guo and Haibo Liu
Forecasting accident frequency of an urban road network: A comparison of four artificial neural network techniques pp. 767-780 Downloads
Hamid Behbahani, Amir Mohamadian Amiri, Reza Imaninasab and Meysam Alizamir

Volume 37, issue 6, 2018

Predicting crypto‐currencies using sparse non‐Gaussian state space models pp. 627-640 Downloads
Christian Hotz‐Behofsits, Florian Huber and Thomas Otto Zörner
Low and high prices can improve covariance forecasts: The evidence based on currency rates pp. 641-649 Downloads
Piotr Fiszeder
Do IMF fiscal forecasts add value? pp. 650-665 Downloads
Zidong An, Joao Jalles, Prakash Loungani and Ricardo Sousa
Macroeconomic forecasting with mixed data sampling frequencies: Evidence from a small open economy pp. 666-675 Downloads
Albert K. Tsui, Cheng Yang Xu and Zhaoyong Zhang
Robust model rankings of forecasting performance pp. 676-690 Downloads
Prasad Bhattacharya and Dimitrios Thomakos
Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates pp. 691-704 Downloads
Ji‐Eun Choi and Dong Wan Shin

Volume 37, issue 5, 2018

Exchange rate forecasting and the performance of currency portfolios pp. 519-540 Downloads
Jesus Crespo Cuaresma, Ines Fortin and Jaroslava Hlouskova
Forecasting US GNP growth: The role of uncertainty pp. 541-559 Downloads
Mawuli Segnon, Rangan Gupta, Stelios Bekiros and Mark E. Wohar
A test of the joint efficiency of macroeconomic forecasts using multivariate random forests pp. 560-572 Downloads
Christoph Behrens, Christian Pierdzioch and Marian Risse
Enhancing momentum investment strategy using leverage pp. 573-588 Downloads
Carlos Forner, Yaz Muradoglu and Sheeja Sivaprasad
Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes pp. 589-603 Downloads
Ricardo Crisóstomo and Lorena Couso
Out‐of‐sample equity premium prediction: A scenario analysis approach pp. 604-626 Downloads
Xiaoxiao Tang, Feifang Hu and Peiming Wang

Volume 37, issue 4, 2018

Forecasting realized volatility of oil futures market: A new insight pp. 419-436 Downloads
Feng Ma, Yu Wei, Li Liu and Dengshi Huang
Restructuring performance prediction with a rebalanced and clustered support vector machine pp. 437-456 Downloads
Hui Li, Lu†Yao Hong, Yu†Chang Mo, Bang†Zhu Zhu and Pei†Chann Chang
The influence of transparency on budget forecast deviations in municipal governments pp. 457-474 Downloads
Ana†María Ríos, María†Dolores Guillamón, Bernardino Benito and Francisco Bastida
Forecasting the duration of short†term deflation episodes pp. 475-488 Downloads
Wojciech Charemza, Svetlana Makarova and Yinkai Wu
Scenario planning: An investigation of the construct and its measurement pp. 489-505 Downloads
Arafet Bouhalleb and Ali Smida
What does the tail of the distribution of current stock prices tell us about future economic activity? pp. 506-516 Downloads
José Vicente and Gustavo Araujo

Volume 37, issue 3, 2018

Robust forecast aggregation: Fourier L2E regression pp. 259-268 Downloads
Daniel Cross, Jaime Ramos, Barbara Mellers, Philip E. Tetlock and David W. Scott
Time series forecasting using functional partial least square regression with stochastic volatility, GARCH, and exponential smoothing pp. 269-280 Downloads
Jong†Min Kim and Hojin Jung
Methods for backcasting, nowcasting and forecasting using factor†MIDAS: With an application to Korean GDP pp. 281-302 Downloads
Hyun Hak Kim and Norman Swanson
Google Trends and the forecasting performance of exchange rate models pp. 303-315 Downloads
Levent Bulut
Extracting information shocks from the Bank of England inflation density forecasts pp. 316-326 Downloads
Carlos Díaz
The versatility of spectrum analysis for forecasting financial time series pp. 327-339 Downloads
Pierre Rostan and Alexandra Rostan
Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium pp. 340-351 Downloads
Fan Zhang and Zhichao Zhang
New evidence on the robust identification of news shocks: Role of revisions in utilization†adjusted TFP series and term structure data pp. 352-370 Downloads
Zhang Chen, Zulfiqar Ali Wagan and Hakimzadi Seelro
Modeling European industrial production with multivariate singular spectrum analysis: A cross†industry analysis pp. 371-384 Downloads
Emmanuel Sirimal Silva, Hossein Hassani and Saeed Heravi
Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model pp. 385-400 Downloads
Yudong Wang, Zhiyuan Pan and Chongfeng Wu
Quantile estimators with orthogonal pinball loss function pp. 401-417 Downloads
Lean Yu, Zebin Yang and Ling Tang

Volume 37, issue 2, 2018

Comparison of forecasting performances: Does normalization and variance stabilization method beat GARCH(1,1)†type models? Empirical evidence from the stock markets pp. 133-150 Downloads
Emrah Gulay and Hamdi Emec
Short†term salmon price forecasting pp. 151-169 Downloads
Daumantas Bloznelis
Forecasting house prices in OECD economies pp. 170-190 Downloads
N Kishor and Hardik Marfatia
A new parsimonious recurrent forecasting model in singular spectrum analysis pp. 191-200 Downloads
Rahim Mahmoudvand and Paulo Canas Rodrigues
Measuring the market risk of freight rates: A forecast combination approach pp. 201-224 Downloads
Christos Argyropoulos and Ekaterini Panopoulou
Projection of population structure in China using least squares support vector machine in conjunction with a Leslie matrix model pp. 225-234 Downloads
Shuang Li, Zewei Yang, Hongsheng Li and Guangwen Shu
Predicting US bank failures: A comparison of logit and data mining models pp. 235-256 Downloads
Zhongbo Jing and Yi Fang

Volume 37, issue 1, 2018

Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model pp. 1-15 Downloads
Henri Nyberg
The informational content of unconventional monetary policy on precious metal markets pp. 16-36 Downloads
Stephanos Papadamou and Vasilios Sogiakas
Does a lot help a lot? Forecasting stock returns with pooling strategies in a data†rich environment pp. 37-63 Downloads
Fabian Baetje
Yield curve forecast combinations based on bond portfolio performance pp. 64-82 Downloads
João F. Caldeira, Guilherme V. Moura and André A. P. Santos
Direct multiperiod forecasting for algorithmic trading pp. 83-101 Downloads
Hiroyuki Kawakatsu
Multi†step forecasting in the presence of breaks pp. 102-118 Downloads
Jari Hännikäinen
Regional, individual and political determinants of FOMC members' key macroeconomic forecasts pp. 119-132 Downloads
Stefan Eichler and Tom Lähner
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