Journal: Journal of Forecasting

Found 273 papers in total
Two-Dimensional Kernel Smoothing of Mortality Surface: An Evaluation of Cohort Strength
Two-Dimensional Kernel Smoothing of Mortality Surface: An Evaluation of Cohort Strength
2016,
Accurate mortality forecasts are of primary interest to insurance companies, pension...
The Relation Between Overreaction in Forecasts and Uncertainty: A Nonlinear Approach
The Relation Between Overreaction in Forecasts and Uncertainty: A Nonlinear Approach
2016,
This paper examines overreaction of oil price forecasters. It takes into account...
Evaluating Forecasts of a Vector of Variables: A German Forecasting Competition
Evaluating Forecasts of a Vector of Variables: A German Forecasting Competition
2016,
In this paper we explore methodologies appropriate for evaluating a forecasting...
Factor-Augmented Bridge Models (FABM) and Soft Indicators to Forecast Italian Industrial Production
Factor-Augmented Bridge Models (FABM) and Soft Indicators to Forecast Italian Industrial Production
2016,
This paper presents a new forecasting approach straddling the conventional methods...
An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting
An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting
2016,
For forecasting nonstationary and nonlinear energy prices time series, a novel...
Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate
Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate
2016,
We provide a comprehensive study of out‐of‐sample forecasts for the...
Policy-Oriented Macroeconomic Forecasting with Hybrid DGSE and Time-Varying Parameter VAR Models
Policy-Oriented Macroeconomic Forecasting with Hybrid DGSE and Time-Varying Parameter VAR Models
2016,
Micro‐founded dynamic stochastic general equilibrium (DSGE) models appear to be...
LASSO-Type Penalties for Covariate Selection and Forecasting in Time Series
LASSO-Type Penalties for Covariate Selection and Forecasting in Time Series
2016,
This paper studies some forms of LASSO‐type penalties in time series to reduce...
Estimating the Out-of-Sample Predictive Ability of Trading Rules: A Robust Bootstrap Approach
Estimating the Out-of-Sample Predictive Ability of Trading Rules: A Robust Bootstrap Approach
2016,
In this paper, we provide a novel way to estimate the out‐of‐sample...
Forecasting Elections
Forecasting Elections
2016,
In this paper we assess opinion polls, prediction markets, expert opinion and...
Backtesting Aggregate Risk
Backtesting Aggregate Risk
2016,
This paper proposes the implementation of a VaR backtesting procedure able to overcome...
Combination of Forecasts across Estimation Windows: An Application to Air Travel Demand
Combination of Forecasts across Estimation Windows: An Application to Air Travel Demand
2016,
This paper applies combining forecasts of air travel demand generated from the same...
Affine Term Structure Model with Macroeconomic Factors: Do No-Arbitrage Restriction and Macroeconomic Factors Imply Better Out-of-Sample Forecasts?
Affine Term Structure Model with Macroeconomic Factors: Do No-Arbitrage Restriction and Macroeconomic Factors Imply Better Out-of-Sample Forecasts?
2016,
This study extends the affine dynamic Nelson–Siegel model for the inclusion of...
Factor Models of Stock Returns: GARCH Errors versus Time-Varying Betas
Factor Models of Stock Returns: GARCH Errors versus Time-Varying Betas
2016,
This paper investigates the implications of time‐varying betas in factor models...
Modeling Realized Volatility Dynamics with a Genetic Algorithm
Modeling Realized Volatility Dynamics with a Genetic Algorithm
2016,
The heterogeneous autoregressive model of realized volatility (HAR‐RV) is...
Bayesian Analysis of a Threshold Stochastic Volatility Model
Bayesian Analysis of a Threshold Stochastic Volatility Model
2016,
This paper proposes a parsimonious threshold stochastic volatility (SV) model for...
Multiple Hypothesis Testing of Market Risk Forecasting Models
Multiple Hypothesis Testing of Market Risk Forecasting Models
2016,
Extending previous risk model backtesting literature, we construct multiple hypothesis...
Forecasting Based on Decomposed Financial Return Series: A Wavelet Analysis
Forecasting Based on Decomposed Financial Return Series: A Wavelet Analysis
2016,
We transform financial return series into its frequency and time domain via wavelet...
The Role of Survey Data in Nowcasting Euro Area GDP Growth
The Role of Survey Data in Nowcasting Euro Area GDP Growth
2016,
This paper evaluates the impact of new releases of financial, real activity and survey...
The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts
The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts
2016,
This paper examines the effect of nonlinearities on density forecasting. It focuses on...
Decision-Based Forecast Evaluation of UK Interest Rate Predictability
Decision-Based Forecast Evaluation of UK Interest Rate Predictability
2016,
This paper illustrates the importance of density forecasting and forecast evaluation...
Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?
Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?
2016,
We study the performance of recently developed linear regression models for interval...
On Forecasting Conflict in the Sudan: 2009‐2012
On Forecasting Conflict in the Sudan: 2009‐2012
2016,
This paper considers univariate and multivariate models to forecast monthly conflict...
The Information Content of Intraday Implied Volatility for Volatility Forecasting
The Information Content of Intraday Implied Volatility for Volatility Forecasting
2016,
This study examines the intraday S&P 500 implied volatility index (VIX) to...
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