Journal: Journal of Forecasting

Found 273 papers in total
Bayesian Model Averaging under Regime Switching with Application to Cyclical Macro Variable Forecasting
Bayesian Model Averaging under Regime Switching with Application to Cyclical Macro Variable Forecasting
2016,
Model uncertainty and recurrent or cyclical structural changes in macroeconomic time...
Comparison of Near Neighbour and Neural Network in Travel Forecasting
Comparison of Near Neighbour and Neural Network in Travel Forecasting
2016,
In this paper we confirm the existence of nonlinear dynamics in a time series of...
Real-Time Signal Extraction with Regularized Multivariate Direct Filter Approach
Real-Time Signal Extraction with Regularized Multivariate Direct Filter Approach
2016,
The paper studies the regularized direct filter approach as a tool for...
Forecasting High-Frequency Risk Measures
Forecasting High-Frequency Risk Measures
2016,
This article proposes intraday high‐frequency risk (HFR) measures for market...
Probabilistic Forecasts of Wind Power Generation by Stochastic Differential Equation Models
Probabilistic Forecasts of Wind Power Generation by Stochastic Differential Equation Models
2016,
The increasing penetration of wind power has resulted in larger shares of volatile...
Google's MIDAS Touch: Predicting UK Unemployment with Internet Search Data
Google's MIDAS Touch: Predicting UK Unemployment with Internet Search Data
2016,
Internet search data could be a useful source of information for policymakers when...
Forecasting Government Bond Yields with Neural Networks Considering Cointegration
Forecasting Government Bond Yields with Neural Networks Considering Cointegration
2016,
This paper discusses techniques that might be helpful in predicting interest rates and...
Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data-Snooping Bias
Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data-Snooping Bias
2016,
In this paper, we present two neural‐network‐based techniques: an...
How to Finance Pensions: Optimal Strategies for Pay-as-You-Go Pension Systems
How to Finance Pensions: Optimal Strategies for Pay-as-You-Go Pension Systems
2016,
The aim of this paper was to design optimal strategies using nonlinear dynamic...
Impact of Macroeconomic Announcements on US Equity Prices: 2009‐2013
Impact of Macroeconomic Announcements on US Equity Prices: 2009‐2013
2016,
Returns of several US equity exchange‐traded funds on the days of major...
Signal Diffusion Mapping: Optimal Forecasting with Time-Varying Lags
Signal Diffusion Mapping: Optimal Forecasting with Time-Varying Lags
2016,
We introduce a new methodology for forecasting, which we call signal diffusion...
The Information Content of Equity Block Trades on the Warsaw Stock Exchange: Conventional and Bootstrap Approaches
The Information Content of Equity Block Trades on the Warsaw Stock Exchange: Conventional and Bootstrap Approaches
2016,
This paper focuses on the Polish stock market by analysing the information content of...
Forecasting Latent Volatility through a Markov Chain Approximation Filter
Forecasting Latent Volatility through a Markov Chain Approximation Filter
2016,
We propose a new methodology for filtering and forecasting the latent variance in a...
Time Series of Zero-Inflated Counts and their Coherent Forecasting
Time Series of Zero-Inflated Counts and their Coherent Forecasting
2015,
Poisson integer‐valued auto‐regressive process of order 1 (PINAR(1)) due...
Forecasting Longevity Gains Using a Seemingly Unrelated Time Series Model
Forecasting Longevity Gains Using a Seemingly Unrelated Time Series Model
2015,
In this paper a multivariate time series model using the seemingly unrelated time...
A Time-Simultaneous Prediction Box for a Multivariate Time Series
A Time-Simultaneous Prediction Box for a Multivariate Time Series
2015,
A sample‐based method in Kolsrud (Journal of Forecasting 2007; 26(3):...
Dynamic Model Averaging and CPI Inflation Forecasts: A Comparison between the Euro Area and the United States
Dynamic Model Averaging and CPI Inflation Forecasts: A Comparison between the Euro Area and the United States
2015,
The paper forecasts consumer price inflation in the euro area (EA) and in the USA...
Do US Macroeconomic Forecasters Exaggerate their Differences?
Do US Macroeconomic Forecasters Exaggerate their Differences?
2015,
Application of the Bernhardt et al. (Journal of Financial Economics 2006; 80(3):...
Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach
Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach
2015,
In this paper a nonparametric approach for estimating mixed‐frequency forecast...
Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques
Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques
2015,
In this paper we propose and test a forecasting model on monthly and daily spot prices...
Monetary Aggregates to Improve Early Output Gap Estimates in the Euro Area: An Empirical Assessment
Monetary Aggregates to Improve Early Output Gap Estimates in the Euro Area: An Empirical Assessment
2015,
Output gap estimates at the current edge are subject to severe revisions. This study...
Augmented Half-Life Estimation Based on High-Frequency Data
Augmented Half-Life Estimation Based on High-Frequency Data
2015,
Half‐life estimation has been widely used to evaluate the speed of mean...
A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates
A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates
2015,
Observing that a sequence of negative logarithms of 1‐year survival...
Efficient Multistep Forecast Procedures for Multivariate Time Series
Efficient Multistep Forecast Procedures for Multivariate Time Series
2015,
Upon the evidence that infinite‐order vector autoregression setting is more...
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