Journal: Journal of Forecasting

Found 273 papers in total
When are Direct Multi-step and Iterative Forecasts Identical?
When are Direct Multi-step and Iterative Forecasts Identical?
2015,
Although both direct multi‐step‐ahead forecasting and iterated...
Modeling Compositional Time Series with Vector Autoregressive Models
Modeling Compositional Time Series with Vector Autoregressive Models
2015,
Multivariate time series describing relative contributions to a total (like...
Forward Rates, Monetary Policy and the Economic Cycle
Forward Rates, Monetary Policy and the Economic Cycle
2015,
The short end of the yield curve incorporates essential information to forecast...
Does Disagreement Amongst Forecasters Have Predictive Value?
Does Disagreement Amongst Forecasters Have Predictive Value?
2015,
In the present study we examine the predictive power of disagreement amongst...
Bootstrap Replacement to Validate the Influence of the Economic Cycle on the Structure and the Accuracy Level of Business Failure Prediction Models
Bootstrap Replacement to Validate the Influence of the Economic Cycle on the Structure and the Accuracy Level of Business Failure Prediction Models
2015,
The aim of this study was to answer the question of how the economic cycle affects the...
Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle
Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle
2015,
Four methods of model selection–equally weighted forecasts, Bayesian...
Forecasting Core Business Transformation Risk Using the Optimal Rough Set and the Neural Network
Forecasting Core Business Transformation Risk Using the Optimal Rough Set and the Neural Network
2015,
In the process of enterprise growth, core business transformation is an eternal theme....
A Robust Test for Threshold-Type Nonlinearity in Multivariate Time Series Analysis
A Robust Test for Threshold-Type Nonlinearity in Multivariate Time Series Analysis
2015,
There is growing interest in exploring potential forecast gains from the nonlinear...
Predictability of Equity Models
Predictability of Equity Models
2015,
In this study, we verify the existence of predictability in the Brazilian equity...
Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union
Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union
2014,
In this paper we lay out a two‐region dynamic stochastic general equilibrium...
Multivariate Time Series Model with Hierarchical Structure for Over-Dispersed Discrete Outcomes
Multivariate Time Series Model with Hierarchical Structure for Over-Dispersed Discrete Outcomes
2014,
In this paper, we propose a multivariate time series model for over‐dispersed...
The Forecasting Performance of a Finite Mixture Regime-Switching Model for Daily Electricity Prices
The Forecasting Performance of a Finite Mixture Regime-Switching Model for Daily Electricity Prices
2014,
Forecasting prices in electricity markets is a crucial activity for both risk...
Forecasting the Term Structure when Short-Term Rates are Near Zero
Forecasting the Term Structure when Short-Term Rates are Near Zero
2014,
This paper compares the experience of forecasting the UK government bond yield curve...
Monthly Employment Indicators of the Euro Area and Larger Member States: Real-Time Analysis of Indirect Estimates
Monthly Employment Indicators of the Euro Area and Larger Member States: Real-Time Analysis of Indirect Estimates
2014,
The paper presents a comparative real‐time analysis of alternative indirect...
Inflation and Unemployment Forecasting with Genetic Support Vector Regression
Inflation and Unemployment Forecasting with Genetic Support Vector Regression
2014,
In this paper a hybrid genetic algorithm–support vector regression...
Does Mood Explain the Monday Effect?
Does Mood Explain the Monday Effect?
2014,
A number of studies have explored the sources of the Monday effect, according to which...
Long-Run and Cyclical Dynamics in the US Stock Market
Long-Run and Cyclical Dynamics in the US Stock Market
2014,
This paper uses fractional integration to examine the long‐run dynamics and...
Accounting for Word-of-Mouth Effects in Preference-Based Market Forecasts
Accounting for Word-of-Mouth Effects in Preference-Based Market Forecasts
2014,
Consumers differ in their involvement in new product purchase decisions. Opinion...
A Neuro-wavelet Model for the Short-Term Forecasting of High-Frequency Time Series of Stock Returns
A Neuro-wavelet Model for the Short-Term Forecasting of High-Frequency Time Series of Stock Returns
2014,
We propose a wavelet neural network (neuro‐wavelet) model for the...
Forecasting Forward Defaults with the Discrete-Time Hazard Model
Forecasting Forward Defaults with the Discrete-Time Hazard Model
2014,
For predicting forward default probabilities of firms, the discrete‐time...
Nonparametric Quantile Regression-Based Classifiers for Bankruptcy Forecasting
Nonparametric Quantile Regression-Based Classifiers for Bankruptcy Forecasting
2014,
An improved classification device for bankruptcy forecasting is proposed. The proposed...
Forecasting Mixed-Frequency Time Series with ECM-MIDAS Models
Forecasting Mixed-Frequency Time Series with ECM-MIDAS Models
2014,
This paper proposes a mixed‐frequency error correction model for possibly...
How Informative are the Subjective Density Forecasts of Macroeconomists?
How Informative are the Subjective Density Forecasts of Macroeconomists?
2014,
In this paper, we propose a framework to evaluate the subjective density forecasts of...
The Euro-Sting Revisited: The Usefulness of Financial Indicators to Obtain Euro Area GDP Forecasts
The Euro-Sting Revisited: The Usefulness of Financial Indicators to Obtain Euro Area GDP Forecasts
2014,
This paper uses an extension of the Euro‐Sting single‐index dynamic...
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