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 37, issue 8, 2018

Volatility forecasting of crude oil market: A new hybrid method pp. 781-789

Yue‐Jun Zhang and Jin‐Liang Zhang

Value‐at‐risk under market shifts through highly flexible models pp. 790-804

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

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

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

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

Christina Christou, Rangan Gupta, Christis Hassapis and Tahir Suleman

Particle filtering of volatility dynamics for KOSPI200 and its sequential prediction pp. 720-728

Tae Yeon Kwon

Modeling and forecasting intraday VaR of an exchange rate portfolio pp. 729-738

Omar Abbara and Mauricio Zevallos

Workforce forecasting models: A systematic review pp. 739-753

Anahita Safarishahrbijari

A separate reduced‐form volatility forecasting model for nonferrous metal market: Evidence from copper and aluminum pp. 754-766

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

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

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

Piotr Fiszeder

Do IMF fiscal forecasts add value? pp. 650-665

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

Albert Tsui, Cheng Yang Xu and Zhaoyong Zhang

Robust model rankings of forecasting performance pp. 676-690

Prasad Bhattacharya and Dimitrios Thomakos

Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates pp. 691-704

Ji‐Eun Choi and Dong Wan Shin

Volume 37, issue 5, 2018

Exchange rate forecasting and the performance of currency portfolios pp. 519-540

Jesus Crespo Cuaresma, Ines Fortin and Jaroslava Hlouskova

Forecasting US GNP growth: The role of uncertainty pp. 541-559

Mawuli Segnon, Rangan Gupta, Stelios Bekiros and Mark Wohar

A test of the joint efficiency of macroeconomic forecasts using multivariate random forests pp. 560-572

Christoph Behrens, Christian Pierdzioch and Marian Risse

Enhancing momentum investment strategy using leverage pp. 573-588

Carlos Forner, Yaz Muradoglu and Sheeja Sivaprasad

Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes pp. 589-603

Ricardo Crisóstomo and Lorena Couso

Out‐of‐sample equity premium prediction: A scenario analysis approach pp. 604-626

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

Feng Ma, Yu Wei, Li Liu and Dengshi Huang

Restructuring performance prediction with a rebalanced and clustered support vector machine pp. 437-456

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

Ana†María Ríos, María†Dolores Guillamón, Bernardino Benito and Francisco Bastida

Forecasting the duration of short†term deflation episodes pp. 475-488

Wojciech Charemza, Svetlana Makarova and Yinkai Wu

Scenario planning: An investigation of the construct and its measurement pp. 489-505

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

José Vicente and Gustavo Araujo

Volume 37, issue 3, 2018

Robust forecast aggregation: Fourier L2E regression pp. 259-268

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

Jong†Min Kim and Hojin Jung

Methods for backcasting, nowcasting and forecasting using factor†MIDAS: With an application to Korean GDP pp. 281-302

Hyun Hak Kim and Norman Swanson

Google Trends and the forecasting performance of exchange rate models pp. 303-315

Levent Bulut

Extracting information shocks from the Bank of England inflation density forecasts pp. 316-326

Carlos Díaz

The versatility of spectrum analysis for forecasting financial time series pp. 327-339

Pierre Rostan and Alexandra Rostan

Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium pp. 340-351

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

Zhang Chen, Zulfiqar Ali Wagan and Hakimzadi Seelro

Modeling European industrial production with multivariate singular spectrum analysis: A cross†industry analysis pp. 371-384

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

Yudong Wang, Zhiyuan Pan and Chongfeng Wu

Quantile estimators with orthogonal pinball loss function pp. 401-417

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

Emrah Gulay and Hamdi Emec

Short†term salmon price forecasting pp. 151-169

Daumantas Bloznelis

Forecasting house prices in OECD economies pp. 170-190

N Kishor and Hardik Marfatia

A new parsimonious recurrent forecasting model in singular spectrum analysis pp. 191-200

Rahim Mahmoudvand and Paulo Canas Rodrigues

Measuring the market risk of freight rates: A forecast combination approach pp. 201-224

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

Shuang Li, Zewei Yang, Hongsheng Li and Guangwen Shu

Predicting US bank failures: A comparison of logit and data mining models pp. 235-256

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

Henri Nyberg

The informational content of unconventional monetary policy on precious metal markets pp. 16-36

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

Fabian Baetje

Yield curve forecast combinations based on bond portfolio performance pp. 64-82

João F. Caldeira, Guilherme Moura and Andre Santos

Direct multiperiod forecasting for algorithmic trading pp. 83-101

Hiroyuki Kawakatsu

Multi†step forecasting in the presence of breaks pp. 102-118

Jari Hännikäinen

Regional, individual and political determinants of FOMC members' key macroeconomic forecasts pp. 119-132

Stefan Eichler and Tom Lähner