Journal of Forecasting

1987 - 2025

Current editor(s): Derek W. Bunn

From John Wiley & Sons, Ltd.
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Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis pp. 661-687: Cathy W. S. Chen, Richard Gerlach, Edward Lin and W. C. W. Lee
Break Detectability and Mean Square Forecast Error Ratios for Selecting Estimation Windows pp. 688-705: Hildegart Ahumada
Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk pp. 706-720: Chang‐Cheng Changchien, Chu‐Hsiung Lin and Hsien‐Chueh Peter Yang
The Accuracy of Non‐traditional versus Traditional Methods of Forecasting Lumpy Demand pp. 721-735: Somnath Mukhopadhyay, Adriano O. Solis and Rafael S. Gutierrez
Are Analysts' Loss Functions Asymmetric? pp. 736-756: Mark Clatworthy, David Peel and Peter F. Pope

Can We Predict Exchange Rate Movements at Short Horizons? pp. 565-579: Chongcheul Cheong, Young‐Jae Kim and Seong-Min Yoon
Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates pp. 580-595: Efthymios Pavlidis, Ivan Paya and David Peel
Twisting the Dollar? On the Consistency of Short‐Run and Long‐Run Exchange Rate Expectations pp. 596-616: Michael Frenkel, Jan‐Christoph Rülke and Georg Stadtmann
Prediction from the One‐Way Error Components Model with AR(1) Disturbances pp. 617-638: Eugene Kouassi, Joel Sango, J.M. Bosson Brou, Francis N. Teubissi and Kern O. Kymn
The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks pp. 639-660: John F. Garvey and Liam Gallagher

Second‐Generation Prediction Markets for Information Aggregation: A Comparison of Payoff Mechanisms pp. 469-489: Christian Slamka, Wolfgang Jank and Bernd Skiera
Forecasting Stock Market Volatility in Central and Eastern European Countries pp. 490-503: Barry Harrison and Winston Moore
A Robust Data‐Mining Approach to Bankruptcy Prediction pp. 504-523: Mehdi Divsalar, Habib Roodsaz, Farshad Vahdatinia, Ghassem Norouzzadeh and Amir Hossein Behrooz
Exploring Survey‐Based Inflation Forecasts pp. 524-539: Luis Gil‐Alana, Antonio Moreno and Fernando Pérez de Gracia
Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting? pp. 540-564: Ken Nyholm and Rositsa Vidova‐Koleva

A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models pp. 377-390: Farhat Iqbal and Kanchan Mukherjee
Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach pp. 391-400: Christina Beneki, Bruno Eeckels and Costas Leon
Do Long‐Run Theory Restrictions Help in Forecasting? pp. 401-422: S. Mahdi Barakchian
Price–Dividend Ratios and Stock Price Predictability pp. 423-442: Jyh‐Lin Wu and Yu‐Hau Hu
Multivariate GARCH Models with Correlation Clustering pp. 443-468: Mike K. P. So and Iris W. H. Yip

Adaptive modelling and forecasting of offshore wind power fluctuations with Markov‐switching autoregressive models pp. 281-313: Pierre Pinson and Henrik Madsen
Forecasting Hourly Peak Call Volume for a Rural Electric Cooperative Call Center pp. 314-329: Taeyoon Kim, Phil Kenkel and B Brorsen
Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data? pp. 330-343: David G. Mcmillan and Alan E. H. Speight
The Effect of Estimating Parameters on Long‐Term Forecasts for Cointegrated Systems pp. 344-360: Hiroaki Chigira and Taku Yamamoto
Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis pp. 361-376: Martin Feldkircher

Semiparametric forecast intervals pp. 189-228: Jason Wu
A latent variable approach to forecasting the unemployment rate pp. 229-244: Chew Chua, Guay Lim and Sarantis Tsiaplias
Spurious Forecasts? pp. 245-259: Berenice Martínez‐Rivera, Daniel Ventosa‐Santaulària and J. Eduardo Vera‐Valdés
Using Firm‐Level Leverage as an Investment Strategy pp. 260-279: Yaz Muradoglu and Sheeja Sivaprasad

Analyzing Macroeconomic Forecastability pp. 99-108: Ray C. Fair
Parameter Space Restrictions in State Space Models pp. 109-123: Duk Bin Jun, Dong Soo Kim, Sungho Park and Myoung Hwan Park
Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set pp. 124-156: Carlo Favero, Linlin Niu and Luca Sala
The Volatility and Density Prediction Performance of Alternative GARCH Models pp. 157-171: Teng‐Hao Huang and Yaw‐Huei Wang
Forecasting Performance of Nonlinear Models for Intraday Stock Returns pp. 172-188: José M. Matías and Juan Reboredo

Business Cycle Forecasts and their Implications for High Frequency Stock Market Returns pp. 1-14: Horst Entorf, Anne Gross and Christian Steiner
The Role of Financial Variables in predicting economic activity pp. 15-46: Raphael Espinoza, Fabio Fornari and Marco Lombardi
Predicting the Direction of the Fed's Target Rate pp. 47-67: Heikki Kauppi
Henderson‐Trending of Macroeconomic Variables and Forecasting Accuracy pp. 68-84: Liam Lenten
Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate pp. 85-98: Giacomo Sbrana

Long‐term forecasting with innovation diffusion models: The impact of replacement purchases pp. 1-19: Wagner A. Kamakura and Siva K. Balasubramanian
Structural change and the combination of forecasts pp. 21-40: Francis Diebold and Peter Pauly
Forecasting demand in international markets: The case of correlated time series pp. 41-50: Chezy Ofir and Adi Raveh
Expert judgments of political riskiness pp. 51-65: Jeryl L. Mumpower, Steven Livingston and Thomas J. Lee
Software reviews pp. 67-74: Chris Beaumont