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 40, issue 8, 2021

Scheduled macroeconomic news announcements and Forex volatility forecasting pp. 1379-1397

Tomáš Plíhal

Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach pp. 1398-1419

Wei Kuang

Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach pp. 1420-1443

Ghufran Ahmad, Muhammad Suhail Rizwan and Dawood Ashraf

The reliability of geometric Brownian motion forecasts of S&P500 index values pp. 1444-1462

Amit K. Sinha

Forecasting stock return volatility using a robust regression model pp. 1463-1478

Mengxi He, Xianfeng Hao, Yaojie Zhang and Fanyi Meng

Predicting stock market volatility based on textual sentiment: A nonlinear analysis pp. 1479-1500

Weiguo Zhang, Xue Gong, Chao Wang and Xin Ye

Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump pp. 1501-1523

Xiafei Li, Dongxin Li, Xuhui Zhang, Guiwu Wei, Lan Bai and Yu Wei

Multisource evidence theory‐based fraud risk assessment of China's listed companies pp. 1524-1539

Shi Qiu, Yuansheng Luo and Hongwei Guo

Time series forecasting methods for the Baltic dry index pp. 1540-1565

Christos Katris and Manolis Kavussanos

Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work pp. 1566-1580

Giuseppe Orlando and Michele Bufalo

Stock markets and exchange rate behavior of the BRICS pp. 1581-1595

Afees Salisu, Juncal Cuñado, Kazeem Isah and Rangan Gupta

On stock volatility forecasting based on text mining and deep learning under high‐frequency data pp. 1596-1610

Bolin Lei, Zhengdi Liu and Yuping Song

Volume 40, issue 7, 2021

The prudential role of Basel III liquidity provisions towards financial stability pp. 1133-1153

Stephanos Papadamou, Dimitrios Sogiakas, Vasilios Sogiakas and Kanellos Toudas

Application of Google Trends‐based sentiment index in exchange rate prediction pp. 1154-1178

Takumi Ito, Motoki Masuda, Ayaka Naito and Fumiko Takeda

Assessing liquidity‐adjusted risk forecasts pp. 1179-1189

Theo Berger and Christina Uffmann

Forecasting value at risk and conditional value at risk using option market data pp. 1190-1213

Annalisa Molino and Carlo Sala

Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment pp. 1214-1229

Oguzhan Cepni, Ibrahim Ethem Guney, Doruk Kucuksarac and M. Hasan Yilmaz

Convolution‐based filtering and forecasting: An application to WTI crude oil prices pp. 1230-1244

Christian Gourieroux, Joann Jasiak and Michelle Tong

Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach pp. 1245-1273

Jesus Crespo Cuaresma, Jaroslava Hlouskova and Michael Obersteiner

Prediction of remaining time on site for e‐commerce users: A SOM and long short‐term memory study pp. 1274-1290

Ling‐Jing Kao, Chih‐Chou Chiu, Hung‐Jui Wang and Chang Yu Ko

Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market pp. 1291-1309

Victor Troster, José Penalva, Abderrahim Taamouti and Dominik Wied

The information content of uncertainty indices for natural gas futures volatility forecasting pp. 1310-1324

Chao Liang, Feng Ma, Lu Wang and Qing Zeng

Human resources and corporate failure prediction modeling: Evidence from Belgium pp. 1325-1341

Xavier Brédart, Eric Séverin and David Veganzones

Forecasting asset returns with network‐based metrics: A statistical and economic analysis pp. 1342-1375

Eduard Baitinger

Volume 40, issue 6, 2021

Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility pp. 945-962

Feng He and Libo Yin

Forecasting US overseas travelling with univariate and multivariate models pp. 963-976

Nicholas Apergis

Forecasting exchange rates for Central and Eastern European currencies using country‐specific factors pp. 977-999

Krystian Jaworski

Recession probabilities for the Eurozone at the zero lower bound: Challenges to the term spread and rise of alternatives pp. 1000-1026

Ralf Fendel, Nicola Mai and Oliver Mohr

Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures pp. 1027-1053

Helder de Mendonça, Pedro Mendes Garcia and José Valentim Machado Vicente

Forecasting of intermittent demands under the risk of inventory obsolescence pp. 1054-1069

Kamal Sanguri and Kampan Mukherjee

Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models pp. 1070-1085

Feng Ma, Xinjie Lu, Lu Wang and Julien Chevallier

Testing bias in professional forecasts pp. 1086-1094

Philip Hans Franses

Strategic bias and popularity effect in the prediction of economic surprises pp. 1095-1117

Luiz Félix, Roman Kräussl and Philip Stork

Non‐linear mixed‐effects models for time series forecasting of smart meter demand pp. 1118-1130

Cameron Roach, Rob Hyndman and Souhaib Ben Taieb

Volume 40, issue 5, 2021

Forecasting US stock market volatility: How to use international volatility information pp. 733-768

Yaojie Zhang, Yudong Wang and Feng Ma

Should crude oil price volatility receive more attention than the price of crude oil? An empirical investigation via a large‐scale out‐of‐sample forecast evaluation of US macroeconomic data pp. 769-791

Nima Nonejad

An empirical study on the role of trading volume and data frequency in volatility forecasting pp. 792-816

Min Liu, Chien-Chiang Lee and Wei‐Chong Choo

The value added of the Bank of Japan's range forecasts pp. 817-833

Yoichi Tsuchiya

Treating cross‐sectional and time series momentum returns as forecasts pp. 834-848

Oh Kang Kwon and Stephen Satchell

Can night trading sessions improve forecasting performance of gold futures' volatility in China? pp. 849-860

Xuan Yao, Xiaofeng Hui and Kaican Kang

Forecasting Baden‐Württemberg's GDP growth: MIDAS regressions versus dynamic mixed‐frequency factor models pp. 861-882

Konstantin Kuck and Karsten Schweikert

Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach pp. 883-910

Tobias Eckernkemper and Bastian Gribisch

Design of link prediction algorithm for complex network based on the comprehensive influence of predicting nodes and neighbor nodes pp. 911-920

Yang Wang and Jifa Wang

Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect pp. 921-941

Jiqian Wang, Feng Ma, M.I.M. Wahab and Dengshi Huang

Volume 40, issue 4, 2021

Research constituents, intellectual structure, and collaboration pattern in the Journal of Forecasting: A bibliometric analysis pp. 577-602

H. Kent Baker, Satish Kumar and Debidutta Pattnaik

A performance analysis of prediction intervals for count time series pp. 603-625

Annika Homburg, Christian H. Weiß, Layth C. Alwan, Gabriel Frahm and Rainer Göb

Granger causality of bivariate stationary curve time series pp. 626-635

Han Lin Shang, Kaiying Ji and Ufuk Beyaztas

The tensor auto‐regressive model pp. 636-652

Chelsey Hill, James Li, Matthew J. Schneider and Martin T. Wells

Stock index forecasting: A new fuzzy time series forecasting method pp. 653-666

Hao Wu, Haiming Long, Yue Wang and Yanqi Wang

Forecasting volatility with outliers in Realized GARCH models pp. 667-685

Guanghui Cai, Zhimin Wu and Lei Peng

An approach to increasing forecast‐combination accuracy through VAR error modeling pp. 686-699

Till Weigt and Bernd Wilfling

Point and density forecasting of macroeconomic and financial uncertainties of the USA pp. 700-707

Afees Salisu, Rangan Gupta and Ahamuefula Ogbonna

Forecasting systemic risk in portfolio selection: The role of technical trading rules pp. 708-729

Noureddine Kouaissah and Amin Hocine

Volume 40, issue 3, 2021

Forecasting negative yield‐curve distributions pp. 367-386

Jae‐Yun Jun, Victor Lebreton and Yves Rakotondratsimba

Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints pp. 387-415

Mazin A.M. Al Janabi

Predicting intraday jumps in stock prices using liquidity measures and technical indicators pp. 416-438

Ao Kong, Hongliang Zhu and Robert Azencott

Forecasting financial vulnerability in the USA: A factor model approach pp. 439-457

Hyeongwoo Kim and Wen Shi

Forecasting the production side of GDP pp. 458-480

Gregor Bäurle, Elizabeth Steiner and Gabriel Züllig

Forecasting US inflation using Markov dimension switching pp. 481-499

Jan Prüser

Dynamic VaR forecasts using conditional Pearson type IV distribution pp. 500-511

Wei Kuang

Block bootstrap prediction intervals for parsimonious first‐order vector autoregression pp. 512-527

Jing Li

Forecasting mortality rates with the adaptive spatial temporal autoregressive model pp. 528-546

Yanlin Shi

State‐dependent evaluation of predictive ability pp. 547-574

Boriss Siliverstovs and Daniel S. Wochner

Volume 40, issue 2, 2021

Volatility specifications versus probability distributions in VaR forecasting pp. 189-212

Laura Garcia‐Jorcano and Alfonso Novales

Forecasting real‐time economic activity using house prices and credit conditions pp. 213-227

N Kishor

A causal model for short‐term time series analysis to predict incoming Medicare workload pp. 228-242

Tasquia Mizan and Sharareh Taghipour

Out‐of‐sample performance of bias‐corrected estimators for diffusion processes pp. 243-268

Zi‐Yi Guo

Estimating the volatility of asset pricing factors pp. 269-278

Janis Becker and Christian Leschinski

Estimation of healthcare expenditure per capita of Turkey using artificial intelligence techniques with genetic algorithm‐based feature selection pp. 279-290

Zeynep Ceylan and Abdulkadir Atalan

Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions pp. 291-300

Lu Ou and Zhibiao Zhao

Forecast performance and bubble analysis in noncausal MAR(1, 1) processes pp. 301-326

Christian Gourieroux, Andrew Hencic and Joann Jasiak

Stock‐induced Google trends and the predictability of sectoral stock returns pp. 327-345

Afees Salisu, Ahamuefula Ogbonna and Idris Adediran

A new BISARMA time series model for forecasting mortality using weather and particulate matter data pp. 346-364

Víctor Leiva, Helton Saulo, Rubens Souza, Robert G. Aykroyd and Roberto Vila

Volume 40, issue 1, 2021

Market timing using combined forecasts and machine learning pp. 1-16

David A. Mascio, Frank J. Fabozzi and J. Kenton Zumwalt

Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index pp. 17-39

Yu Wei, Lan Bai, Kun Yang and Guiwu Wei

Forecasting aggregate market volatility: The role of good and bad uncertainties pp. 40-61

Li Liu and Yudong Wang

Neural network structure identification in inflation forecasting pp. 62-79

Tea Šestanović and Josip Arneric

Evaluating the OECD’s main economic indicators at anticipating recessions pp. 80-93

Maximo Camacho and Gonzalo Palmieri

Directional news impact curve pp. 94-107

Stanislav Anatolyev

What can we learn from the return predictability over the business cycle? pp. 108-131

Li Liu, Zhiyuan Pan and Yudong Wang

A new insight into combining forecasts for elections: The role of social media pp. 132-143

Chih‐Yu Chin and Cheng‐Lung Wang

Fiscal transparency, fiscal forecasting and budget credibility in developing countries pp. 144-161

Nada Elberry and Stijn Goeminne

Equity return predictability, its determinants, and profitable trading strategies pp. 162-186

Md Lutfur Rahman, Mahbub Khan, Samuel A. Vigne and Gazi Uddin