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 35, issue 8, 2016

Improving the Timeliness of Turning Signals for Business Cycles with Monthly Data pp. 669-689

Ta‐Sheng Chou, Ping‐Hung Chou and Eric Lin

Why Do Students Leave Education Early? Theory and Evidence on High School Dropout Rates pp. 690-702

Sofie J. Cabus and Kristof De Witte

Retrospective Testing of Mortality Forecasting Methods for the Projection of Very Elderly Populations in Australia pp. 703-717

Wilma Terblanche

Multivariate Forecasting with BVARs and DSGE Models pp. 718-740

Tim Berg

Removing Forecasting Errors with White Gaussian Noise after Square Root Transformation pp. 741-750

Zheng‐Ling Yang, Ya‐Di Liu, Xin‐Shan Zhu, Xi Chen and Jun Zhang

Bayesian Assessment of Dynamic Quantile Forecasts pp. 751-764

Richard Gerlach, Cathy W. S. Chen and Edward Lin

Volume 35, issue 7, 2016

Prediction in a Generalized Spatial Panel Data Model with Serial Correlation pp. 573-591

Badi Baltagi and Long Liu

LASSO‐Type Penalties for Covariate Selection and Forecasting in Time Series pp. 592-612

Evandro Konzen and Flavio A. Ziegelmann

Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models pp. 613-632

Stelios Bekiros and Alessia Paccagnini

An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting pp. 633-651

Bangzhu Zhu, Xuetao Shi, Julien Chevallier, Ping Wang and Yi-Ming Wei

Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate pp. 652-668

Mauro Costantini, Jesus Crespo Cuaresma and Jaroslava Hlouskova

Volume 35, issue 5, 2016

Multiple Hypothesis Testing of Market Risk Forecasting Models pp. 381-399

Francesco P. Esposito and Mark Cummins

The Role of Survey Data in Nowcasting Euro Area GDP Growth pp. 400-418

Alessandro Girardi, Christian Gayer and Andreas Reuter

Forecasting Based on Decomposed Financial Return Series: A Wavelet Analysis pp. 419-433

Theo Berger

Modeling Realized Volatility Dynamics with a Genetic Algorithm pp. 434-444

Hui Qu and Ping Ji

Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas pp. 445-461

Phoebe Koundouri, Nikolaos Kourogenis, Nikitas Pittis and Panagiotis Samartzis

Bayesian Analysis of a Threshold Stochastic Volatility Model pp. 462-476

Tony S. Wirjanto, Adam W. Kolkiewicz and Zhongxian Men

Volume 35, issue 4, 2016

Backtesting Aggregate Risk pp. 285-307

Cristina Danciulescu

Forecasting Elections pp. 308-328

Leighton Vaughan Williams and J Reade

Affine Term Structure Model with Macroeconomic Factors: Do No‐Arbitrage Restriction and Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? pp. 329-346

Wali Ullah

Estimating the Out‐of‐Sample Predictive Ability of Trading Rules: A Robust Bootstrap Approach pp. 347-372

Julien Hambuckers and Cédric Heuchenne

Combination of Forecasts across Estimation Windows: An Application to Air Travel Demand pp. 373-380

Andre Jungmittag

Volume 35, issue 3, 2016

Probabilistic Forecasts of Wind Power Generation by Stochastic Differential Equation Models pp. 189-205

Jan Kloppenborg Møller, Marco Zugno and Henrik Madsen

Real‐Time Signal Extraction with Regularized Multivariate Direct Filter Approach pp. 206-216

Ginters Buss

Comparison of Near Neighbour and Neural Network in Travel Forecasting pp. 217-223

Elena Olmedo

Forecasting High‐Frequency Risk Measures pp. 224-249

Denisa Banulescu-Radu, Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi

Bayesian Model Averaging under Regime Switching with Application to Cyclical Macro Variable Forecasting pp. 250-262

Jianmin Shi

Google's MIDAS Touch: Predicting UK Unemployment with Internet Search Data pp. 263-284

Paul Smith

Volume 35, issue 2, 2016

Decision‐Based Forecast Evaluation of UK Interest Rate Predictability pp. 93-112

Kavita Sirichand and Stephen Hall

Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals? pp. 113-146

Henning Fischer, Ángela Blanco‐FERNÁndez and Peter Winker

The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts pp. 147-166

Michal Franta

The Information Content of Intraday Implied Volatility for Volatility Forecasting pp. 167-178

Yaw‐Huei Wang and Yun‐Yi Wang

On Forecasting Conflict in the Sudan: 2009–2012 pp. 179-188

David Bessler, Shahriar Kibriya, Junyi Chen and Edwin Price

Volume 35, issue 1, 2016

Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data‐Snooping Bias pp. 1-12

Georgios Sermpinis, Thanos Verousis and Konstantinos Theofilatos

How to Finance Pensions: Optimal Strategies for Pay‐as‐You‐Go Pension Systems pp. 13-33

Humberto Godínez‐Olivares, María del Carmen Boado‐Penas and Athanasios A. Pantelous

Impact of Macroeconomic Announcements on US Equity Prices: 2009–2013 pp. 34-42

Daniel Nadler and Anatoly B. Schmidt

The Information Content of Equity Block Trades on the Warsaw Stock Exchange: Conventional and Bootstrap Approaches pp. 43-53

Bartosz Kurek

Forecasting Latent Volatility through a Markov Chain Approximation Filter pp. 54-69

Chia Chun Lo, Konstantinos Skindilias and Andreas Karathanasopoulos

Signal Diffusion Mapping: Optimal Forecasting with Time‐Varying Lags pp. 70-85

Paul Gaskell, Frank McGroarty and Thanassis Tiropanis

Forecasting Government Bond Yields with Neural Networks Considering Cointegration pp. 86-92

Christoph Wegener, Christian Spreckelsen, Tobias Basse and Hans-Jörg von Mettenheim

Volume 34, issue 8, 2015

Dynamic Model Averaging and CPI Inflation Forecasts: A Comparison between the Euro Area and the United States pp. 619-648

Gabriele Di Filippo

Do US Macroeconomic Forecasters Exaggerate their Differences? pp. 649-660

Michael Clements

Forecasting Longevity Gains Using a Seemingly Unrelated Time Series Model pp. 661-674

César Neves, Cristiano Fernandes and Álvaro Veiga

A Time‐Simultaneous Prediction Box for a Multivariate Time Series pp. 675-693

Dag Kolsrud

Time Series of Zero‐Inflated Counts and their Coherent Forecasting pp. 694-707

Raju Maiti, Atanu Biswas and Samarjit Das

Volume 34, issue 7, 2015

Augmented Half‐Life Estimation Based on High‐Frequency Data pp. 523-532

Mao‐Lung Huang, Shu‐Yi Liao and Kuo‐Chin Lin

Monetary Aggregates to Improve Early Output Gap Estimates in the Euro Area: An Empirical Assessment pp. 533-542

Jens Boysen‐Hogrefe

A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates pp. 543-559

Tzuling Lin and Cary Chi‐liang Tsai

Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques pp. 560-573

Vasilios Plakandaras, Theophilos Papadimitriou and Periklis Gogas

ECB Projections as a Tool for Understanding Policy Decisions pp. 574-587

Paul Hubert

Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach pp. 588-603

Jörg Breitung and Christoph Roling

Efficient Multistep Forecast Procedures for Multivariate Time Series pp. 604-618

Tarek Jouini

Volume 34, issue 6, 2015

Predictability of Equity Models pp. 427-440

Rodrigo Chicaroli and Pedro Valls Pereira

A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis pp. 441-454

Wai‐Sum Chan, Siu Hung Cheung, Wai Kit Chow and Li‐Xin Zhang

Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle pp. 455-471

Travis Berge

Self‐Restraining Bass Models pp. 472-477

Xiaoying Liang, Lei Xie and Houmin Yan

Forecasting Core Business Transformation Risk Using the Optimal Rough Set and the Neural Network pp. 478-491

Delu Wang, Xuefeng Song, Wenying Yin and Jingying Yuan

Volume 34, issue 5, 2015

The Predictive Power of Survey‐Based Exchange Rate Forecasts: Is there a Role for Dispersion? pp. 337-353

Nevin Cavusoglu and Andre Neveu

Beating the VAR: Improving Swedish GDP Forecasts Using Error and Intercept Corrections pp. 354-363

Johan Lyhagen, Stefan Ekberg and Richard Eidestedt

The Predictive Performance Evaluation of Biased Regression Predictors With Correlated Errors pp. 364-378

Issam Dawoud and Selahattin Kaçiranlar

Cross‐Section Stock Return and Implied Covariance between Jump and Diffusive Volatility pp. 379-390

Samuel Y.M. Ze‐To

Forecasting the Outcome of Closed‐Door Decisions: Evidence from 500 Years of Betting on Papal Conclaves pp. 391-404

Leighton Vaughan Williams and David Paton

Measuring Disagreement in Qualitative Expectations pp. 405-426

Frieder Mokinski, Xuguang Simon Sheng and Jingyun Yang

Volume 34, issue 4, 2015

Forward Rates, Monetary Policy and the Economic Cycle pp. 241-260

Florian Ielpo

A Method of Retail Mortgage Stress Testing: Based on Time‐Frame and Magnitude Analysis pp. 261-274

Chang Liu, Raja Nassar and Min Guo

Bootstrap Replacement to Validate the Influence of the Economic Cycle on the Structure and the Accuracy Level of Business Failure Prediction Models pp. 275-289

Montserrat Manzaneque, Domingo GarcíA‐Pérez‐ De‐Lema and Marcos Antón Renart

Does Disagreement Amongst Forecasters Have Predictive Value? pp. 290-302

Rianne Legerstee and Philip Hans Franses

Modeling Compositional Time Series with Vector Autoregressive Models pp. 303-314

Petra Kynčlová, Peter Filzmoser and Karel Hron

When are Direct Multi‐step and Iterative Forecasts Identical? pp. 315-336

Tucker McElroy

Volume 34, issue 3, 2015

Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models pp. 163-176

Matteo Luciani and David Veredas

The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility pp. 177-190

Arjun Chatrath, Hong Miao, Sanjay Ramchander and Tianyang Wang

Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance pp. 191-208

Daniele Massacci

A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility pp. 209-219

Heejoon Han, Myung D. Park and Shen Zhang

Forecasting Multivariate Time Series with the Theta Method pp. 220-229

Dimitrios Thomakos and Konstantinos Nikolopoulos

Improving Forecast of Binary Rare Events Data: A GAM‐Based Approach pp. 230-239

Raffaella Calabrese and Silvia Angela Osmetti

Volume 34, issue 2, 2015

Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction pp. 83-91

Alessandra Amendola and Giuseppe Storti

On the Difficulty of Measuring Forecasting Skill in Financial Markets pp. 92-113

Stephen E. Satchell and Oliver J. Williams

Predictable Return Distributions pp. 114-132

Thomas Pedersen

Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors pp. 133-144

Paul Hofmarcher, Jesus Crespo Cuaresma, Bettina Grün and Kurt Hornik

Semi‐Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve pp. 145-162

Johanna Posch and Fabio Rumler

Volume 34, issue 1, 2015

Dynamic Latent Class Model Averaging for Online Prediction pp. 1-14

Hongxia Yang, Jonathan R. M. Hosking and Yasuo Amemiya

Empirical Bayesian Density Forecasting in Iowa and Shrinkage for the Monte Carlo Era pp. 15-35

Kurt Lewis and Charles H. Whiteman

Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model pp. 36-56

Zhongxian Men, Adam W. Kolkiewicz and Tony S. Wirjanto

Realized Volatility Forecast of Stock Index Under Structural Breaks pp. 57-82

Ke Yang, Langnan Chen and Fengping Tian