International Journal of Forecasting

Volume 32, n° 4, October-December 2016

  • BARROW Devon K., CRONE Sven F. - A comparison of AdaBoost algorithms for time series forecast combination, pp. 1103-1119
  • BARROW Devon K., CRONE Sven F. - Cross-validation aggregation for combining autoregressive neural network forecasts, pp. 1120-1137
  • LIU Weiling, MOENCH Emanuel - What predicts US recessions? pp. 1138-1150
  • FIORUCCI Jose A., PELLEGRINI Tiago R., LOUZADA Francisco, PETROPOULOS Fotios, KOEHLER Anne B. - Models for optimising the theta method and their relationship to state space models, pp. 1151-1161
  • WESTERLUND Joakim, NARAYAN Paresh - Testing for predictability in panels of any time series dimension, pp. 1162-1177
  • ATALLA Tarek, JOUTZ Fred, PIERRU Axel - Does disagreement among oil price, pp. 1178-1192
  • BAETJE Fabian, MENKHOFF Lukas - Equity premium prediction: Are economic and technical indicators unstable? pp. 1193-1207
  • GARDNER Everette Shaw, ACAR Yavuz - The forecastability quotient reconsidered, pp. 1208-1211
  • ATHANASAKOU Vasiliki, SIMPSON Ana - Investor attention to rounding as a salient forecast feature, pp. 1212-1233
  • BEENSTOCK Michael, REINGEWERTZ Yaniv, PALDOR Nathan - Testing the historic tracking of climate models, pp. 1234-1246
  • BREITUNG Jörg, HAFNER Christian M. - A simple model for now-casting volatility series, pp. 1247-1255
  • WILMS Ines, CROUX Christophe - Forecasting using sparse cointegration, pp. 1256-1267
  • PSARADELLIS Ioannis, SERMPINIS Georgios - Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices, pp. 1268-1283
  • HINDRAYANTO Irma, KOOPMAN Siem Jan, DE WINTER Jasper - Forecasting and nowcasting economic growth in the euro area using factor models, pp. 1284-1305
  • BEL Koen, PAAP Richard - Modeling the impact of forecast-based regime switches on US inflation, pp. 1306-1316
  • BUNCIC Daniel, GISLER Katja I.M. - Global equity market volatility spillovers: A broader role for the United States, pp. 1317-1339
  • CANALE Antonio, VANTINI Simone - Constrained functional time series: Applications to the Italian gas market, pp. 1340-1351
  • FÜSS Roland, KOLLER Jan A. - The role of spatial and temporal structure for residential rent predictions, pp. 1352-1368
  • MODUGNO Michele, SOYBILGEN Barış, YAZGAN Ege - Nowcasting Turkish GDP and news decomposition, pp. 1369-1384
  • GERLACH Richard, ABEYWARDANA Sachin - Variational Bayes for assessment of dynamic quantile forecasts, pp. 1385-1402

(résumés du n° 4/2016)

Volume 32, n° 3, July-September 2016

  • WANG Pu, LIU Bidong, HONG Tao - Electric load forecasting with recency effect: A big data approach, pp. 585-597
  • GHANDAR Adam, MICHALEWICZ Zbigniew, ZURBRUEGG Ralf - The relationship between model complexity and forecasting performance for computer intelligence optimization in finance, pp. 598-613
  • CLEMENTS Michael P. - Long-run restrictions and survey forecasts of output, consumption and investment, pp. 614-628
  • SHANG Han Lin, SMITH Peter W.F., BIJAK Jakub, WISNIOWSKI Arkadiusz - A multilevel functional data method for forecasting population, with an application to the United Kingdom, pp. 629-649
  • ÇAKMAKLI Cem, VAN DIJK Dick - Getting the most out of macroeconomic information for predicting excess stock returns, pp. 650-668
  • KIM Sungil, KIM Heeyoung - A new metric of absolute percentage error for intermittent demand forecasts, pp. 669-679
  • ALVAREZ Rocio, CAMACHO Maximo, PEREZ-QUIROS Gabriel - Aggregate versus disaggregate information in dynamic factor models, pp 680-694
  • ANDRADA-FÉLIX Julián, FERNANDEZ-RODRIGUEZ Fernando, FUERTES Ana-Maria - Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? pp. 695-715
  • XIE Zixiong, HSU Shih-Hsun - Time varying biases and the state of the economy, pp. 716-725
  • KEILMAN Nico - Household forecasting: Preservation of age patterns, pp. 726-735
  • EXTERKATE Peter, GROENEN Patrick J.F., HEIJ Christiaan, VAN DIJK Dick - Nonlinear forecasting with many predictors using kernel ridge regression, pp. 736-753
  • CLAESKENS Gerda, MAGNUS Jan R., VASNEV Andrey L., WANG Wendun - The forecast combination puzzle: A simple theoretical explanation, pp. 754-762
  • OUYSSE Rachida - Bayesian model averaging and principal component regression forecasts in a data rich environment, pp. 763-787
  • KOLASSA Stephan - Evaluating predictive count data distributions in retail sales forecasting, pp. 788-803 
  • CHAREMZA Wojciech, LADLEY Daniel - Central banks’ forecasts and their bias: Evidence, effects and explanation, pp. 804-817
  • HUBER Florian - Density forecasting using Bayesian global vector autoregressions with stochastic volatility, pp. 818-837
  • AHUMADA H.a, CORNEJO M. - Forecasting food prices: The case of corn, soybeans and wheat, pp. 838-848
  • PFAIFAR Damjan, ZAKELJ Blaž - Uncertainty in forecasting inflation and monetary policy design: Evidence from the laboratory, pp. 849-864
  • IBRAHIM Rouba, YE Han, L'ECUYER Pierre, SHEN Haipeng - Modeling and forecasting call center arrivals: A literature survey and a case study, pp. 865-874
  • In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
  • BLASQUES Francisco, KOOPMAN Siem Jan, LASAK Katarzyna, LUCAS André - In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models, pp. 875-887
  • FORBES Catherine Scipione - In-sample confidence bands and out-of-sample forecast bands for time-varying parameters: Some comments, pp. 888-890
  • PERRON Pierre, XU Jiawen - Comments on “In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models”, pp. 891-892
  • BLASQUES Francisco, KOOPMAN Siem Jan, LASAK Katarzyna, LUCAS André - Rejoinder to the discussion “In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models”, pp. 893-894

Book Review

  • PAVLIDIS Efthymios - Handbook of Economic Forecasting, Volume 2A, Graham Elliot, Allan Timmermann (Eds.) (2013), p. 895

Special Section: Probabilistic Energy Forecasting

  • HONG Tao, PINSON Pierre, FAN Shu, ZAREIPOUR Hamidreza, TROCCOLI Alberto, HYNDMAN Rob J. - Probabilistic energy forecasting: Global Energy Forecasting Competition 2014 and beyond, pp. 896-913
  • HONG Tao, FAN Shu - Probabilistic electric load forecasting: A tutorial review, pp. 914-938
  • ANTONIADIS Anestis, BROSSAT Xavier, CUGLIARI Jairo, POGGI Jean-Michel - A prediction interval for a function-valued forecast model: Application to load forecasting, pp. 939-947
  • AKOUEMO Hermine N., POVINELLI Richard J. - Probabilistic anomaly detection in natural gas time series data, pp. 948-956
  • MACIENJOWSKA Katarzyna, NOWOTARSKI Jakub, WERON Rafał - Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging, pp. 957-965
  • BELLO Antonio, RENESES Javier, MUNOZ Antonio, DELGADILLO Andrés - Probabilistic forecasting of hourly electricity prices in the medium-term using spatial interpolation techniques, pp. 966-980
  • IVERSEN Emil B., MORALES Juan M., MØLLER Jan K., MADSEN Henrik - Short-term probabilistic forecasting of wind speed using stochastic differential equations, pp. 981-990
  • JEON Jooyoung, TAYLOR James W. - Short-term density forecasting of wave energy using ARMA-GARCH models and kernel density estimation, pp. 991-1004
  • DORDONNAT V., PICHAVANT A., PIERROT A. - GEFCom2014 probabilistic electric load forecasting using time series and semi-parametric regression models, pp. 1005-1011
  • XIE Jingrui, HONG Tao - GEFCom2014 probabilistic electric load forecasting: An integrated solution with forecast combination and residual simulation, pp. 1012-1016
  • HABEN Stephen, GIASEMIDIS Georgios - A hybrid model of kernel density estimation and quantile regression for GEFCom2014 probabilistic load forecasting, pp. 1017-1022
  • MANGALOVA Ekaterina, SHESTERNEVA Olesya - Sequence of nonparametric models for GEFCom2014 probabilistic electric load forecasting, pp. 1023-1028
  • ZIEL Florian, LIU Bidong - Lasso estimation for GEFCom2014 probabilistic electric load forecasting, pp. 1029-1037
  • GAILLARD Pierre, GOUDE Yannig, NEDELLEC Raphaël - Additive models and robust aggregation for GEFCom2014 probabilistic electric load and electricity price forecasting, pp. 1038-1050
  • MACIEJOWSKA Katarzyna, NOWOTARSKI Jakub - A hybrid model for GEFCom2014 probabilistic electricity price forecasting, pp. 1051-1056
  • DUDEK Grzegorz - Multilayer perceptron for GEFCom2014 probabilistic electricity price forecasting, pp. 1057-1060
  • LANDRY Mark, ERLINGER Thomas P., PATSCHKE David, VARRICHIO Craig - Probabilistic gradient boosting machines for GEFCom2014 wind forecasting, pp. 1061-1066
  • MANAGLOVA Ekaterina, SHESTERNEVA Olesya - K-nearest neighbors for GEFCom2014 probabilistic wind power forecasting, pp. 1067-1073
  • ZHANG Yao, WANG Jianxue - K-nearest neighbors and a kernel density estimator for GEFCom2014 probabilistic wind power forecasting, pp. 1074-1080
  • HUANG Jing, PERRY Matthew - A semi-empirical approach using gradient boosting and image-nearest neighbors regression for GEFCom2014 probabilistic solar power forecasting, pp. 1081-1086
  • NAGY Gábor I., BARTA Gergő, KAZI Sándor, BORBÉLY Gyula, SIMON Gábor - GEFCom2014: Probabilistic solar and wind power forecasting using a generalized additive tree ensemble approach, pp. 1087-1093
  • JUBAN Romain, OHLSSON Henrik, MAASOUMY Mehdi, POIRIER Louis, KOLTER J. Zico - A multiple quantile regression approach to the wind, solar, and price tracks of GEFCom2014, pp. 1094-1102

(résumés du n° 3/2016)

Volume 32, n° 2, April-June 2016

  • TSUCHIYA Yoichi - Assessing macroeconomic forecasts for Japan under an asymmetric loss function, pp. 233-242
  • SCHNEIDER Matthew J., GUPTA Sachin - Forecasting sales of new and existing products using consumer reviews: A random projections approach, pp. 243-256
  • SCHUMACHER Christian - A comparison of MIDAS and bridge equations, pp. 257-270
  • MOKINSKI Frieder - Using time-stamped survey responses to measure expectations at a daily frequency, pp. 271-282
  • AASTVEIT Knut Are, JORE Anne Sofie, RAVAZZOLO Francesco - Identification and real-time forecasting of Norwegian business cycles, pp. 283-292
  • LUCAS André, ZHANG Xin - Score-driven exponentially weighted moving averages and Value-at-Risk forecasting, pp. 293-302
  • BERGMEIR Christoph, HYNDMAN Rob J., BENITEZ José M. - Bagging exponential smoothing methods using STL decomposition and Box–Cox transformation, pp. 303-312
  • EL-SHAGI Makram, GIESEN Sebastian, JUNG Alexander - Revisiting the relative forecast performances of Fed staff and private forecasters: A dynamic approach, pp. 313-323
  • CHAUVET Marcelle, SENYUZ Zeynep - A dynamic factor model of the yield curve components as a predictor of the economy, pp. 324-343
  • NIKOLOPOULOS Konstantinos, BUXTON Samantha, KHAMMASH Marwan, STERN Philip - Forecasting branded and generic pharmaceuticals, pp. 344-357
  • GALIMBERTI Jaqueson K., MOURA Marcelo L. - Improving the reliability of real-time output gap estimates using survey forecasts, pp. 358-373
  • GARRATT Anthony, LEE Kevin, SHIELDS Kalvinder - Forecasting global recessions in a GVAR model of actual and expected output, pp. 374-390
  • PAUWELS Laurent L., VASNEV Andrey L. - A note on the estimation of optimal weights for density forecast combinations, pp. 391-397
  • FISZEDER Piotr, PERCZAK Grzegorz - Low and high prices can improve volatility forecasts during periods of turmoil, pp. 398-410
  • JANSEN W. Jos, JIN Xiaowen, DE WINTER Jasper M. - Forecasting and nowcasting re, pp 411-436
  • TAKAHASHI Makotoi, WATANABE Toshiaki, OMORI Yasuhiro - Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution, pp. 437-457
  • BROOKS Chris, BURKE Simon P., STANESCU Silvia - Finite sample weighting of recursive forecast errors, pp. 458-474
  • NIETO Maria Rosa, RUIZ Esther - Frontiers in VaR forecasting and backtesting, pp. 475-501
  • ALI Ozden Gur, PINAR Efe - Multi-period-ahead forecasting with residual extrapolation and information sharing — Utilizing a multitude of retail series, pp. 502-517
  • BLUEDORN John C., DECRESSIN Jörg, TERRONES Marco E. - Do asset price drops foreshadow recessions? pp. 518-526
  • MARKOPOULOU Chryssa, SKINTZI Vasiliki, REFENES Apostolos - On the predictability of model-free implied correlation, pp. 527-547
  • PAPAGEORGIOU Nicolas, REEVES Jonathan J., XIE Xuan - Betas and the myth of market neutrality, pp. 548-558
  • STEKLER Herman, SYMINGTON Hilary - Evaluating qualitative forecasts: The FOMC minutes, 2006–2010, pp. 559-570
  • ERICSSON Neil R. - Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis, pp. 571-583

 (résumés du n° 2/2016)

Volume 32, n° 1, January-March 2016

  • WANG Yudong, WU Chongfeng, YANG Li - Forecasting crude oil market volatility: A Markov switching multifractal volatility approach, pp. 1-9
  • FORNARO Paolo - Predicting Finnish economic activity using firm-level data, pp. 10-19
  • FRANSES Philip Hans - A note on the Mean Absolute Scaled Error, pp. 20-22
  • RÜLKE Jan-Christoph, SILGONER Maria, WÖRZ Julia - Herding behavior of business cycle forecasters, pp. 23-33
  • ASIF Muhammad, McHALE Ian G. - In-play forecasting of win probability in One-Day International cricket: A dynamic logistic regression model, pp. 34-43
  • THEOCHARIS Zoe, HARVEY Nigel - Order effects in judgmental forecasting, pp. 44-60
  • GÖTZ Thomas B., HECQ Alain, URBAIN Jean-Pierre - Combining forecasts from successive data vintages: An application to U.S. growth, pp. 61-74
  • AHMED Shamim, LIU Xiaoquan, VALENTE Giorgio - Can currency-based risk factors help forecast exchange rates? pp. 75-97
  • BEGER Andreas, DORFF Cassy L., WARD Michael D. - Irregular leadership changes in 2014: Forecasts using ensemble, split-population duration models, pp. 97-111
  • MEERAN Sheik, GOODWIN Paul, YALABIK Baris - A parsimonious explanation of observed biases when forecasting one’s own performance, pp. 112-120
  • CHEVILLON Guillaume - Multistep forecasting in the presence of location shifts, pp. 121-137
  • ALTUG Sumru, ÇAKMAKLI Cem - Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey, pp. 138-153
  • CHEN Qiwei, COSTANTINI Mauro, DESCHAMPS Bruno - How accurate are professional forecasts in Asia? Evidence from ten countries, pp. 154-167
  • BIN JUN Duk, KIM Kyunghoon, PARK Myoung Hwan - Forecasting annual lung and bronchus cancer deaths using individual survival times, pp. 168-179
  • MARCZAK Martyna, PROIETTI Tommaso - Outlier detection in structural time series models: The indicator saturation approach, pp. 180-202
  • DE PACE Pierangelo, WEBER Kyle D. - The time-varying leading properties of the high yield spread in the United States, pp. 203-230

(résumés du n°1/2016)

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