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 36, issue 8, 2017

Nonlinearities in the CAPM: Evidence from Developed and Emerging Markets pp. 867-897

Serdar Neslihanoglu, Vasilios Sogiakas, John H. McColl and Duncan Lee

A Comparison of the Forecasting Ability of Immediate Price Impact Models pp. 898-918

Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier

The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises pp. 919-935

Claudio Morana

Exploiting Spillovers to Forecast Crashes pp. 936-955

Francine Gresnigt, Erik Kole and Philip Hans Franses

Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter pp. 956-973

Yuanyuan Zhang and Taufiq Choudhry

Modelling and Trading the English and German Stock Markets with Novelty Optimization Techniques pp. 974-988

Andreas Karathanasopoulos, Sovan Mitra, Konstantinos Skindilias and Chia Chun Lo

Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters pp. 989-1002

Peter Nystrup, Henrik Madsen and Erik Lindström

Volume 36, issue 7, 2017

Forecasting intraday S&P 500 index returns: A functional time series approach pp. 741-755

Han Lin Shang

What can we learn from the fifties? pp. 756-775

Fabian Gouret

Improvement of the Liu‐type Shiller estimator for distributed lag models pp. 776-783

Nimet Özbay and Selahattin Kaçıranlar

Adjusting for information content when comparing forecast performance pp. 784-794

Michael K Andersson, Ted Aranki and André Reslow

PARX model for football match predictions pp. 795-807

Giovanni Angelini and Luca De Angelis

The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models pp. 808-823

David Ardia, Jeremy Kolly and Denis‐Alexandre Trottier

Mortality effects of temperature changes in the United Kingdom pp. 824-841

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

Prediction‐based adaptive compositional model for seasonal time series analysis pp. 842-853

Kun Chang, Rong Chen and Thomas Fomby

On assessing the relative performance of default predictions pp. 854-858

Walter Krämer

Prediction of α ‐stable GARCH and ARMA‐GARCH‐M models pp. 859-866

Mohammad Mohammadi

Volume 36, issue 6, 2017

The importance of time‐varying volatility and country interactions in forecasting economic activity pp. 615-628

Steven Trypsteen

Forecast robustness in macroeconometric models pp. 629-639

Gunnar Bårdsen, Dag Kolsrud and Ragnar Nymoen

Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR pp. 640-650

Rangan Gupta, Eric Olson and Mark Wohar

Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions pp. 651-679

Kemal Guler, Pin T. Ng and Zhijie Xiao

Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices pp. 680-690

Aitor Ciarreta, Peru Muniain and Ainhoa Zarraga

Understanding algorithm aversion: When is advice from automation discounted? pp. 691-702

Andrew Prahl and Lyn Van Swol

Robust estimation of conditional variance of time series using density power divergences pp. 703-717

Jin‐Hong Park and T. N. Sriram

Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions pp. 718-740

Nima Nonejad

Volume 36, issue 5, 2017

The Role of Credit in Predicting US Recessions pp. 469-482

Harri Pönkä

Do Media Data Help to Predict German Industrial Production? pp. 483-496

Dirk Ulbricht, Konstantin Kholodilin and Tobias Thomas

Incorporating the Beige Book into a Quantitative Index of Economic Activity pp. 497-514

Nathan Balke, Michael Fulmer and Ren Zhang

Forecast Combination for Euro Area Inflation: A Cure in Times of Crisis? pp. 515-540

Kirstin Hubrich and Frauke Skudelny

Short‐Term Stock Price Prediction Based on Limit Order Book Dynamics pp. 541-556

Yang An and Ngai Hang Chan

New Evidence on the Ability of Asset Prices and Real Economic Activity Forecast Errors to Predict Inflation Forecast Errors pp. 557-565

Nicholas Apergis

Time‐Varying Parameter Realized Volatility Models pp. 566-580

Yudong Wang, Zhiyuan Pan and Chongfeng Wu

Forecasting with Specification‐Switching VARs pp. 581-596

Youngjin Hwang

Backtesting Value‐at‐Risk: A Generalized Markov Test pp. 597-613

Thor Pajhede

Volume 36, issue 4, 2017

Integrating Quarterly Data into a Dynamic Factor Model of US Monthly GDP pp. 325-336

Firmin Vlavonou and Stephen Gordon

Heterogeneous Forecast Adjustment pp. 337-344

Bert De Bruijn and Philip Hans Franses

On the Predictive Information of Futures' Prices: A Wavelet‐Based Assessment pp. 345-356

Helmut Herwartz and Stephan Schlüter

A Flexible Functional Form Approach To Mortality Modeling: Do We Need Additional Cohort Dummies? pp. 357-367

Han Li, Colin O'hare and Farshid Vahid

Analysts’ Dynamic Decisions: Timeliness versus Accuracy pp. 368-381

Steven J. Jordan, Byungjin Kwak and Changhee Lee

Benchmark Forecast and Error Modeling pp. 382-394

Zhao‐Guo Chen and Ka Ho Wu

Multi‐model Forecasts of the West Texas Intermediate Crude Oil Spot Price pp. 395-406

Laura Ryan and Bronwen Whiting

An Inhomogeneous Hidden Markov Model for Efficient Virtual Machine Placement in Cloud Computing Environments pp. 407-420

Hugo Lewi Hammer, Anis Yazidi and Kyrre Begnum

Realized Volatility Forecasting of Agricultural Commodity Futures Using Long Memory and Regime Switching pp. 421-430

Fengping Tian, Ke Yang and Langnan Chen

Forecasting Inflation Across Euro Area Countries and Sectors: A Panel VAR Approach pp. 431-453

Stephane Dees and Jochen Güntner

Can We Predict the Financial Markets Based on Google's Search Queries? pp. 454-467

Marcelo Perlin, João F. Caldeira, Andre Santos and Martin Pontuschka

Volume 36, issue 3, 2017

Bayesian Forecasting for Time Series of Categorical Data pp. 217-229

Jean‐François Angers, Atanu Biswas and Raju Maiti

Multicategory Purchase Incidence Models for Partitions of Product Categories pp. 230-240

Harald Hruschka

Adaptive Interest Rate Modelling pp. 241-256

Mengmeng Guo and Wolfgang Härdle

Two Tales of Return Predictability: The Case of Asia–Pacific Equity Markets pp. 257-272

Andrei Shynkevich

Identifying Expensive Trades by Monitoring the Limit Order Book pp. 273-290

Benoit Detollenaere and Catherine D'hondt

Validating Policy‐Induced Economic Change Using Sequential General Equilibrium SAMs pp. 291-304

Manuel Alejandro Cardenete, M. Carmen Lima and Ferran Sancho

Forecast Combinations in a DSGE‐VAR Lab pp. 305-324

Mauro Costantini, Ulrich Gunter and Robert Kunst

Volume 36, issue 2, 2017

The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach pp. 109-121

Vasilios Plakandaras, Periklis Gogas, Theophilos Papadimitriou and Rangan Gupta

Ensemble Forecasting for Complex Time Series Using Sparse Representation and Neural Networks pp. 122-138

Lean Yu, Yang Zhao and Ling Tang

Stochastic Multivariate Mixture Covariance Model pp. 139-155

Mike K. P. So, Raymond W. M. Li, Manabu Asai and Yue Jiang

Modeling and Forecasting Online Auction Prices: A Semiparametric Regression Analysis pp. 156-164

Ngai Hang Chan and Wei Wei Liu

Treed Avalanche Forecasting: Mitigating Avalanche Danger Utilizing Bayesian Additive Regression Trees pp. 165-180

Gail Blattenberger and Richard Fowles

On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model pp. 181-206

Frantisek Cech and Jozef Baruník

Revisiting Targeted Factors pp. 207-216

Jack Fosten

Volume 36, issue 1, 2017

Forecasting with Micro Panels: The Case of Health Care Costs pp. 1-15

Denzil Fiebig and Meliyanni Johar

Predicting Systemic Risk with Entropic Indicators pp. 16-25

Nikola Gradojevic and Marko Caric

Detecting and Predicting Economic Accelerations, Recessions, and Normal Growth Periods in Real‐Time pp. 26-42

Christian Proaño

Forecasting Ability of a Periodic Component Extracted from Large‐Cap Index Time Series pp. 43-55

Michael J. O'Shea

Forecasting the US Term Structure of Interest Rates Using Nonparametric Functional Data Analysis pp. 56-73

JoÃo Caldeira and Hudson Torrent

Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors? pp. 74-90

Jing Zeng

Yield Curve Forecasting with the Burg Model pp. 91-99

Pierre Rostan, Rachid Belhachemi and François-Éric Racicot

Severity Prediction of Traffic Accident Using an Artificial Neural Network pp. 100-108

Sharaf Alkheder, Madhar Taamneh and Salah Taamneh