Journal of Forecasting

1987 - 2025

Continuation of Journal of Forecasting.

Current editor(s): Derek W. Bunn

From John Wiley & Sons, Ltd.
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Volume 33, issue 8, 2014

Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes pp. 577-595

Lyudmila Grigoryeva and Juan‐Pablo Ortega

Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms pp. 596-610

Andreas Karatahansopoulos, Georgios Sermpinis, Jason Laws and Christian Dunis

Application of Machine Learning Methods to Risk Assessment of Financial Statement Fraud: Evidence from China pp. 611-626

Xin‐Ping Song, Zhi‐Hua Hu, Jian‐Guo Du and Zhao‐Han Sheng

Forecasting Stock Returns: Do Commodity Prices Help? pp. 627-639

Angela Black, Olga Klinkowska, David G. McMillan and Fiona J. McMillan

Forecasting Death Rates Using Exogenous Determinants pp. 640-650

Declan French and Colin O'Hare

Volume 33, issue 7, 2014

Forecasting Online Auctions via Self‐Exciting Point Processes pp. 501-514

Ngai Hang Chan, Zehang Richard Li and Chun Yip Yau

Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations pp. 515-531

Yiannis Dendramis, Giles E. Spungin and Elias Tzavalis

Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility pp. 532-541

Thomas Lux, Leonardo Morales‐Arias and Cristina Sattarhoff

How Predictable Are Equity Covariance Matrices? Evidence from High‐Frequency Data for Four Markets pp. 542-557

Mike Buckle, Jing Chen and Julian Williams

A Quantile Regression Approach to Equity Premium Prediction pp. 558-576

Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D. Vrontos and Spyridon D. Vrontos

Volume 33, issue 6, 2014

Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures pp. 391-408

Michael Breitner, Christian Dunis, Hans-Jörg Mettenheim, Christopher Neely, Georgios Sermpinis, Hamad Alsayed and Frank McGroarty

Does Mood Explain the Monday Effect? pp. 409-418

Michael Breitner, Christian Dunis, Hans-Jörg Mettenheim, Christopher Neely, Georgios Sermpinis, Azizah Abu Bakar, Antonios Siganos and Evangelos Vagenas‐Nanos

Real‐Time Pricing and Hedging of Options on Currency Futures with Artificial Neural Networks pp. 419-432

Michael H. Breitner, Christian Dunis, Hans-Jörg von Mettenheim, Christopher Neely, Georgios Sermpinis, Christian Spreckelsen, Hans‐Jörg Mettenheim and Michael H. Breitner

The Information Content of Equity Block Trades on the Warsaw Stock Exchange: An Estimation of Shares' Returns with the Usage of Simple Linear Regression and Multivariate Adaptive Regression Splines pp. 433-454

Michael Breitner, Christian Dunis, Hans-Jörg Mettenheim, Christopher Neely, Georgios Sermpinis and Bartosz Kurek

Pascal's Wager and Information pp. 455-470

Michael Breitner, Christian Dunis, Hans-Jörg Mettenheim, Christopher Neely, Georgios Sermpinis and Klaus Schredelseker

Inflation and Unemployment Forecasting with Genetic Support Vector Regression pp. 471-487

Michael Breitner, Christian Dunis, Hans-Jörg Mettenheim, Christopher Neely, Georgios Sermpinis, Georgios Sermpinis, Charalampos Stasinakis, Konstantinos Theofilatos and Andreas Karathanasopoulos

Stock Market Simulation Using Support Vector Machines pp. 488-500

Michael Breitner, Christian Dunis, Hans-Jörg Mettenheim, Christopher Neely, Georgios Sermpinis, Rafael Rosillo, Javier Giner and David De la Fuente

Volume 33, issue 5, 2014

Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union pp. 315-338

Massimiliano Marcellino and Yuliya Rychalovska

Monthly Employment Indicators of the Euro Area and Larger Member States: Real‐Time Analysis of Indirect Estimates pp. 339-349

Filippo Moauro

Forecasting the Term Structure when Short‐Term Rates are Near Zero pp. 350-363

James Steeley

The Forecasting Performance of a Finite Mixture Regime‐Switching Model for Daily Electricity Prices pp. 364-375

Dipeng Chen and Derek Bunn

Multivariate Time Series Model with Hierarchical Structure for Over‐Dispersed Discrete Outcomes pp. 376-390

Nobuhiko Terui and Masataka Ban

Volume 33, issue 4, 2014

Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany pp. 231-242

Klaus Wohlrabe and Teresa Buchen

Overreaction in Survey Exchange Rate Forecasts pp. 243-258

Francesca Pancotto, Filippo Maria Pericoli and Marco Pistagnesi

Estimating and Forecasting APARCH‐Skew‐t Model by Wavelet Support Vector Machines pp. 259-269

Yushu Li

Estimating and Predicting the General Random Effects Model pp. 270-283

Eugene Kouassi, Alain Constant Kamdem, Mbodja Mougoue and Jean Marcelin Bosson Brou

Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA pp. 284-299

Douglas G. Santos and Flavio A. Ziegelmann

The Effects of Disaggregation on Forecasting Nonstationary Time Series pp. 300-314

Pilar Poncela and Antonio García‐Ferrer

Volume 33, issue 3, 2014

How Informative are the Subjective Density Forecasts of Macroeconomists? pp. 163-185

Geoff Kenny, Thomas Kostka and Federico Masera

The Euro‐Sting Revisited: The Usefulness of Financial Indicators to Obtain Euro Area GDP Forecasts pp. 186-197

Maximo Camacho and Agustin Garcia‐Serrador

Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models pp. 198-213

Thomas Götz, Alain Hecq and Jean-Pierre Urbain

Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations pp. 214-230

Márcio Laurini and Luiz Hotta

Volume 33, issue 2, 2014

Accounting for Word‐of‐Mouth Effects in Preference‐Based Market Forecasts pp. 95-107

Christian Pescher and Martin Spann

Forecasting Forward Defaults with the Discrete‐Time Hazard Model pp. 108-123

Ruey‐Ching Hwang and Chih‐Kang Chu

Nonparametric Quantile Regression‐Based Classifiers for Bankruptcy Forecasting pp. 124-133

Pedro Lorca, Manuel Landajo and Javier De Andrés

A Neuro‐wavelet Model for the Short‐Term Forecasting of High‐Frequency Time Series of Stock Returns pp. 134-146

Luis Ortega and Khaldoun Khashanah

Long‐Run and Cyclical Dynamics in the US Stock Market pp. 147-161

Guglielmo Maria Caporale and Luis Gil‐Alana

Volume 33, issue 1, 2014

US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010 pp. 1-14

Michael Clements

In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence pp. 15-31

Helmut Herwartz and Konstantin Kholodilin

Building Scenarios of Multiple Time Series that Take into Account the Effects of an Expected Intervention pp. 32-46

Víctor M. Guerrero, Eliud Silva and Nicolás Gómez

Introducing the Euro Area‐wide Leading Indicator (ALI): Real‐Time Signals of Turning Points in the Growth Cycle from 2007 to 2011 pp. 47-68

Gabe de Bondt and Elke Hahn

Do Experts’ SKU Forecasts Improve after Feedback? pp. 69-79

Rianne Legerstee and Philip Hans Franses

Hierarchical Shrinkage in Time‐Varying Parameter Models pp. 80-94

Miguel A.G. Belmonte, Gary Koop and Dimitris Korobilis

Volume 32, issue 8, 2013

Forecasting Simultaneously High‐Dimensional Time Series: A Robust Model‐Based Clustering Approach pp. 673-684

Yongning Wang, Ruey S. Tsay, Johannes Ledolter and Keshab M. Shrestha

Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model pp. 685-701

Ioannis Vlachos and Dimitris Kugiumtzis

Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? pp. 702-723

Wali Ullah, Yoshihiko Tsukuda and Yasumasa Matsuda

Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models pp. 724-742

Axel Groß‐KlußMann and Nikolaus Hautsch

Forecasting Volatility with Many Predictors pp. 743-754

Tsung-Han Ke and Yu‐Pin Hu

Prediction in an Unbalanced Nested Error Components Panel Data Model pp. 755-768

Badi Baltagi and Alain Pirotte

Volume 32, issue 7, 2013

Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area pp. 577-586

Monica Billio, Laurent Ferrara, Dominique Guégan and Gian Luigi Mazzi

A Dynamic Factor Approach to Mortality Modeling pp. 587-599

Declan French and Colin O'Hare

The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach pp. 600-612

Hossein Asgharian, Ai Jun Hou and Farrukh Javed

Weighted Empirical Likelihood Estimator for Vector Multiplicative Error Model pp. 613-627

Hao Ding and Kai‐pui Lam

Forecasting Call Centre Arrivals pp. 628-638

David Millán‒Ruiz and J. Ignacio Hidalgo

Forecasting the Effects of a Canada–US Currency Union on Output and Prices: A Counterfactual Analysis pp. 639-653

S. Mahdi Barakchian

A Novel Credit Rating Migration Modeling Approach Using Macroeconomic Indicators pp. 654-672

Koen Berteloot, Wouter Verbeke, Gerd Castermans, Tony Van Gestel, David Martens and Bart Baesens

Volume 32, issue 6, 2013

Predicting Recessions with Factor Linear Dynamic Harmonic Regressions pp. 481-499

Marcos Bujosa, Antonio García‐Ferrer and Aránzazu Juan

Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors pp. 500-511

Marie Bessec

An Option‐Based Approach to Risk Arbitrage in Emerging Markets: Evidence from Taiwan Takeover Attempts pp. 512-521

Luke Lin, Li‐Huei Lan and Shuang‐shii Chuang

Comparison of Realized Measure and Implied Volatility in Forecasting Volatility pp. 522-533

Heejoon Han and Myung D. Park

Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting pp. 534-550

Richard Gerlach, Zudi Lu and Hai Huang

Quantile Double AR Time Series Models for Financial Returns pp. 551-560

Yuzhi Cai, Gabriel Montes‐Rojas and Jose Olmo

The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting pp. 561-576

Dimitrios Louzis, Spyros Xanthopoulos‐Sisinis and Apostolos P. Refenes

Volume 32, issue 5, 2013

Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008? pp. 385-394

Lutz Kilian and Bruce Hicks

Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis pp. 395-408

Hossein Hassani, Saeed Heravi and Anatoly Zhigljavsky

Direction‐of‐Change Financial Time Series Forecasting using a Similarity‐Based Classification Model pp. 409-422

Andrew Skabar

Comparing Small‐ and Large‐Scale Models of Multicategory Buying Behavior pp. 423-434

Harald Hruschka

Long‐Term Forecasting of Global Carbon Dioxide Emissions: Reducing Uncertainties Using a Per Capita Approach pp. 435-451

Ross McKitrick, Mark Strazicich and Junsoo Lee

Early Warning with Calibrated and Sharper Probabilistic Forecasts pp. 452-468

Reason L. Machete

Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range pp. 469-480

Manabu Asai

Volume 32, issue 4, 2013

Nowcasting with Google Trends in an Emerging Market pp. 289-298

Yan Carrière‐Swallow and Felipe Labbé

Nowcasting Business Cycles Using Toll Data pp. 299-306

Nikos Askitas and Klaus Zimmermann

Shrinkage‐Based Tests of Predictability pp. 307-332

Pablo Pincheira

Prediction in the Random Effects Model with MA (q) Remainder Disturbances pp. 333-338

Badi Baltagi and Long Liu

Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models pp. 339-352

Massimiliano Caporin and Juliusz Preś

On the Predictive Content of Autoregression Residuals: A Semiparametric, Copula‐Based Approach to Time Series Prediction pp. 353-368

Helmut Herwartz

Hurricane Lifespan Modeling through a Semi‐Markov Parametric Approach pp. 369-384

Giovanni Masala

Volume 32, issue 3, 2013

Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model pp. 193-214

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

Estimation and Prediction Tests of Cash Flow Forecast Accuracy pp. 215-225

Choong‐Yuel Yoo and Jinhan Pae

Forecasting the European Credit Cycle Using Macroeconomic Variables pp. 226-246

Florian Ielpo

Global Capital Flows, Time‐Varying Fundamentals and Transitional Exchange Rate Dynamics pp. 247-255

Suleyman Kal

Constant versus Time‐Varying Beta Models: Further Forecast Evaluation pp. 256-266

Jonathan J. Reeves and Haifeng Wu

International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord pp. 267-288

Michael McAleer, Juan‐Ángel Jiménez‐Martín and Teodosio Pérez‐Amaral

Volume 32, issue 2, 2013

Testing Interval Forecasts: A GMM‐Based Approach pp. 97-110

Elena Ivona Dumitrescu, Christophe Hurlin and Jaouad Madkour

Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach pp. 111-123

Rafael B. De Rezende and Mauro S. Ferreira

Combining Economic Forecasts by Using a Maximum Entropy Econometric Approach pp. 124-136

Blanca Moreno and Ana López-Menéndez

Generalised Estimators for Seasonal Forecasting by Combining Grouping with Shrinkage Approaches pp. 137-150

Kui Zhang, Huijing Chen, John Boylan and Philip Scarf

Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach pp. 151-166

Andrey Vasnev, Margaret Skirtun and Laurent Pauwels

A Meta‐learning Framework for Bankruptcy Prediction pp. 167-179

Chih‐Fong Tsai and Yu‐Feng Hsu

Predicting Business Failure Using an RSF‐based Case‐Based Reasoning Ensemble Forecasting Method pp. 180-192

Hui Li and Jie Sun

Volume 32, issue 1, 2013

Does Information Help Intra‐Day Volatility Forecasts? pp. 1-9

David G. McMillan and Raquel Quiroga-Garcia

Forecasting Private Consumption by Consumer Surveys pp. 10-18

Christian Dreger and Konstantin Kholodilin

Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach pp. 19-31

Anders Wilhelmsson

Nonlinear Forecasting Using Factor‐Augmented Models pp. 32-40

Bruno Giovannetti

Optimal Hedge Ratio Estimation and Effectiveness Using ARCD pp. 41-50

Eleftheria Kostika and Raphael Markellos

Real‐Time Forecasts of Inflation: The Role of Financial Variables pp. 51-61

Libero Monteforte and Gianluca Moretti

Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation pp. 62-74

Jooyoung Jeon and James W. Taylor

Space‐Time Model versus VAR Model: Forecasting Electricity demand in Japan pp. 75-85

Yoshihiro Ohtsuka and Kazuhiko Kakamu

Estimation and Forecasting of Locally Stationary Processes pp. 86-96

Wilfredo Palma, Ricardo Olea and Guillermo Ferreira