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 38, issue 8, 2019

The role of forward‐ and backward‐looking information for inflation expectations formation pp. 733-748

Paul Hubert and Harun Mirza

The effect of target function on the predictive performance of the two‐stage ridge estimator pp. 749-772

Selma Toker and Nimet Özbay

Modeling and forecasting the oil volatility index pp. 773-787

João H. Gonçalves Mazzeu, Helena Veiga and Massimo B. Mariti

A Bayesian structural model for predicting algal blooms pp. 788-802

Xinyu Sun, Tao Liu and Jiayin Wang

Using accounting‐based information on young firms to predict bankruptcy pp. 803-819

Christian Lohmann and Thorsten Ohliger

Challenging the spanning hypothesis at short horizons: Evidence from Norway pp. 820-832

Siri Valseth

Constructing and evaluating core inflation measures from component‐level inflation data pp. 833-852

Edward N. Gamber and Julie Smith

Volume 38, issue 7, 2019

Forecasting with many predictors using Bayesian additive regression trees pp. 621-631

Jan Prüser

Predicting multistage financial distress: Reflections on sampling, feature and model selection criteria pp. 632-648

Umar Farooq and Muhammad Ali Jibran Qamar

Can urban coffee consumption help predict US inflation? pp. 649-668

Afees Salisu, Raymond Swaray and Idris Adediran

Out‐of‐sample volatility prediction: A new mixed‐frequency approach pp. 669-680

Yaojie Zhang, Feng Ma, Tianyi Wang and Li Liu

A forecasting analysis of risk‐neutral equity and Treasury volatilities pp. 681-698

Ana González‐Urteaga, Belén Nieto and Gonzalo Rubio

Do stock markets have predictive content for exchange rate movements? pp. 699-713

Shiu-Sheng Chen and Cheng‐Che Hsu

Why do EMD‐based methods improve prediction? A multiscale complexity perspective pp. 714-731

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

Jeong‐Ryeol Kurz‐Kim

Forecasting economic indicators using a consumer sentiment index: Survey‐based versus text‐based data pp. 504-518

Minchae Song and Kyung‐shik Shin

Information content of DSGE forecasts pp. 519-524

Ray C. Fair

Predictive power of Markovian models: Evidence from US recession forecasting pp. 525-551

Ruilin Tian and Gang Shen

WTI crude oil option implied VaR and CVaR: An empirical application pp. 552-563

Giovanni Barone‐Adesi, Marinela Adriana Finta, Chiara Legnazzi and Carlo Sala

Oil financialization and volatility forecast: Evidence from multidimensional predictors pp. 564-581

Yan‐ran Ma, Qiang Ji and Jiaofeng Pan

Trading volume and prediction of stock return reversals: Conditioning on investor types' trading pp. 582-599

Numan Ülkü and Olena Onishchenko

An ensemble of LSTM neural networks for high‐frequency stock market classification pp. 600-619

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

Christian Lohmann and Thorsten Ohliger

A modified sequential Monte Carlo procedure for the efficient recursive estimation of extreme quantiles pp. 390-399

Serdar Neslihanoglu and Paresh Date

The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence pp. 400-414

Feng Ma, Yaojie Zhang, M. I. M. Wahab and Xiaodong Lai

Combining expert‐adjusted forecasts pp. 415-421

Dick van Dijk and Philip Hans Franses

Bayesian structure selection for vector autoregression model pp. 422-439

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

Nobuhiko Terui and Yinxing Li

Intermittent demand forecasting in the Enterprise: Empirical verification pp. 459-469

Mariusz Doszyń

Assessing time series models for forecasting international migration: Lessons from the United Kingdom pp. 470-487

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

David A. Mascio and Frank Fabozzi

Forecasting in long horizons using smoothed direct forecast pp. 277-292

Yaein Baek

Point forecasting of intraday volume using Bayesian autoregressive conditional volume models pp. 293-310

Roman Huptas

Does geographic location matter to stock return predictability? pp. 311-326

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

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

Andreas Karathanasopoulos and Mohammed Osman

Forecasting price delay and future stock returns: The role of corporate social responsibility pp. 354-373

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

Janchung Wang, Sunwu Winfred Chen and Bo‐Ting Wang

Real‐time inflation forecast combination for time‐varying coefficient models pp. 175-191

Bo Zhang

Long‐term streamflow forecasting using artificial neural network based on preprocessing technique pp. 192-206

Fang‐Fang Li, Zhi‐Yu Wang and Jun Qiu

Short‐term forecasts of economic activity: Are fortnightly factors useful? pp. 207-221

Libero Monteforte and Valentina Raponi

Predictive likelihood for coherent forecasting of count time series pp. 222-235

Siuli Mukhopadhyay and Vurukonda Sathish

Enhancing survey‐based investment forecasts pp. 236-255

Ciaran Driver and Nigel Meade

Volume 38, issue 2, 2019

Model‐based forecast adjustment: With an illustration to inflation pp. 73-80

Philip Hans Franses

Forecasting private consumption with Google Trends data pp. 81-91

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

Jiaming Liu and Chong Wu

A class of periodic trend models for seasonal time series pp. 106-121

Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi

Learning dynamics in the formation of European inflation expectations pp. 122-135

Christina Bräuning and Carin Cruijsen

An analysis on the predictability of CAPM beta for momentum returns pp. 136-153

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

Alexander Kupfer and Josef Zorn

Financial volatility modeling: The feedback asymmetric conditional autoregressive range model pp. 11-28

Haibin Xie

Adaptive learning from model space pp. 29-38

Jan Prüser

Mortality effects of economic fluctuations in selected eurozone countries pp. 39-62

Malgorzata Seklecka, Norazliani Md. Lazam, Athanasios A. Pantelous and Colin O'Hare

Modeling eBay price using stochastic differential equations pp. 63-72

Wei Wei Liu, Yan Liu and Ngai Hang Chan