Journal: Journal of Forecasting

Found 273 papers in total
Mincer‐Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
Mincer‐Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
2017,
Forecasts are pervasive in all areas of applications in business and daily life. Hence...
Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
2017,
We perform Bayesian model averaging across different regressions selected from a set...
Forecast robustness in macroeconometric models
Forecast robustness in macroeconometric models
2017,
This paper investigates potential invariance of mean forecast errors to structural...
Robust estimation of conditional variance of time series using density power divergences
Robust estimation of conditional variance of time series using density power divergences
2017,
Suppose Z t is the square of a time series Y t whose conditional mean is zero. We do...
Forecasting key US macroeconomic variables with a factor-augmented Qual VAR
Forecasting key US macroeconomic variables with a factor-augmented Qual VAR
2017,
In this paper, we first extract factors from a monthly dataset of 130 macroeconomic...
Understanding algorithm aversion: When is advice from automation discounted?
Understanding algorithm aversion: When is advice from automation discounted?
2017,
Forecasting advice from human advisors is often utilized more than advice from...
The importance of time-varying volatility and country interactions in forecasting economic activity
The importance of time-varying volatility and country interactions in forecasting economic activity
2017,
This paper examines the relative importance of allowing for time‐varying...
Modeling and forecasting realized volatility in German‐Austrian continuous intraday electricity prices
Modeling and forecasting realized volatility in German‐Austrian continuous intraday electricity prices
2017,
This paper uses high‐frequency continuous intraday electricity price data from...
New Evidence on the Ability of Asset Prices and Real Economic Activity Forecast Errors to Predict Inflation Forecast Errors
New Evidence on the Ability of Asset Prices and Real Economic Activity Forecast Errors to Predict Inflation Forecast Errors
2017,
This paper investigates the impact of both asset and macroeconomic forecast errors on...
Short-Term Stock Price Prediction Based on Limit Order Book Dynamics
Short-Term Stock Price Prediction Based on Limit Order Book Dynamics
2017,
Interaction of capital market participants is a complicated dynamic process. A...
Backtesting Value-at-Risk: A Generalized Markov Test
Backtesting Value-at-Risk: A Generalized Markov Test
2017,
Testing the validity of value‐at‐risk (VaR) forecasts, or backtesting,...
Do Media Data Help to Predict German Industrial Production?
Do Media Data Help to Predict German Industrial Production?
2017,
In an uncertain world, decisions by market participants are based on expectations....
Forecast Combination for Euro Area Inflation: A Cure in Times of Crisis?
Forecast Combination for Euro Area Inflation: A Cure in Times of Crisis?
2017,
The period of extraordinary volatility in euro area headline inflation starting in...
Forecasting with Specification-Switching VARs
Forecasting with Specification-Switching VARs
2017,
The specification choices of vector autoregressions (VARs) in forecasting are often...
The Role of Credit in Predicting US Recessions
The Role of Credit in Predicting US Recessions
2017,
We study the role of credit in forecasting US recession periods with probit models. We...
Incorporating the Beige Book into a Quantitative Index of Economic Activity
Incorporating the Beige Book into a Quantitative Index of Economic Activity
2017,
We apply customized text analytics to the written description of economic activity...
Time-Varying Parameter Realized Volatility Models
Time-Varying Parameter Realized Volatility Models
2017,
In this paper, we introduce the functional coefficient to heterogeneous autoregressive...
Forecast Combinations in a DSGE-VAR Lab
Forecast Combinations in a DSGE-VAR Lab
2017,
We explore the benefits of forecast combinations based on forecast‐encompassing...
Identifying Expensive Trades by Monitoring the Limit Order Book
Identifying Expensive Trades by Monitoring the Limit Order Book
2017,
This paper provides an analysis of the impact of microstructure variables on the...
Bayesian Forecasting for Time Series of Categorical Data
Bayesian Forecasting for Time Series of Categorical Data
2017,
Time series of categorical data is not a widely studied research topic. Particularly,...
Two Tales of Return Predictability: The Case of Asia‐Pacific Equity Markets
Two Tales of Return Predictability: The Case of Asia‐Pacific Equity Markets
2017,
If past prices can successfully predict future price movements, it would contradict...
Adaptive Interest Rate Modelling
Adaptive Interest Rate Modelling
2017,
A good description of the dynamic process of interest rates is crucial to price...
Validating Policy-Induced Economic Change Using Sequential General Equilibrium SAMs
Validating Policy-Induced Economic Change Using Sequential General Equilibrium SAMs
2017,
We present a novel sequential approach that explores the capacity of Computable...
Multicategory Purchase Incidence Models for Partitions of Product Categories
Multicategory Purchase Incidence Models for Partitions of Product Categories
2017,
We analyze multicategory purchases of households by means of heterogeneous...
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