Journal: Journal of Forecasting

Found 273 papers in total
Ensemble Forecasting for Complex Time Series Using Sparse Representation and Neural Networks
2017,
Based on the concept of ‘decomposition and ensemble’, a novel ensemble...
Revisiting Targeted Factors
2017,
This paper proposes new methods for ‘targeting’ factors estimated from a...
Modeling and Forecasting Online Auction Prices: A Semiparametric Regression Analysis
2017,
Interest in online auctions has been growing in recent years. There is an extensive...
The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach
2017,
The difficulty in modelling inflation and the significance in discovering the...
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
2017,
Recent multivariate extensions of the popular heterogeneous autoregressive model (HAR)...
Stochastic Multivariate Mixture Covariance Model
2017,
Stochastic covariance models have been explored in recent research to model the...
Treed Avalanche Forecasting: Mitigating Avalanche Danger Utilizing Bayesian Additive Regression Trees
2017,
Little Cottonwood Canyon Highway is a dead‐end, two‐lane road leading to...
Predicting Systemic Risk with Entropic Indicators
2017,
This paper concentrates on quantifying the behavioral aspects of systemic risk by...
Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?
2017,
Including disaggregate variables or using information extracted from the disaggregate...
Forecasting the US Term Structure of Interest Rates Using Nonparametric Functional Data Analysis
2017,
In this paper we consider a novel procedure to forecasting the US zero coupon bond...
Severity Prediction of Traffic Accident Using an Artificial Neural Network
2017,
In this paper, an artificial neural network (ANN) was used to predict the injury...
Forecasting Ability of a Periodic Component Extracted from Large-Cap Index Time Series
2017,
We develop a method to extract periodic variations in a time series that are hidden in...
Detecting and Predicting Economic Accelerations, Recessions, and Normal Growth Periods in Real-Time
2017,
The dichotomous characterization of the business cycle in recessions and expansions...
Yield Curve Forecasting with the Burg Model
2017,
We introduce a versatile and robust model that may help policymakers, bond portfolio...
Forecasting with Micro Panels: The Case of Health Care Costs
2017,
Micro panels characterized by large numbers of individuals observed over a short time...
Improving the Timeliness of Turning Signals for Business Cycles with Monthly Data
2016,
The conventional growth rate measures (such as month‐on‐month,...
Retrospective Testing of Mortality Forecasting Methods for the Projection of Very Elderly Populations in Australia
2016,
The purpose of this paper is to present the results of retrospective tests of various...
Bayesian Assessment of Dynamic Quantile Forecasts
2016,
Bayesian methods for assessing the accuracy of dynamic financial...
Removing Forecasting Errors with White Gaussian Noise after Square Root Transformation
2016,
An analytical model has been developed in the present paper based on a square root...
Multivariate Forecasting with BVARs and DSGE Models
2016,
In this paper I assess the ability of Bayesian vector autoregressions (BVARs) and...
Why Do Students Leave Education Early? Theory and Evidence on High School Dropout Rates
2016,
This paper contributes to the growing literature on school dropout by proposing and...
The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market
2016,
This article examines the role of market momentum, investor sentiment, and economic...
Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns
2016,
This paper evaluates the accuracy of 1‐month‐ahead systematic (beta)...
Forecasting US Recessions with a Large Set of Predictors
2016,
In this paper, I use a large set of macroeconomic and financial predictors to forecast...
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