Journal of Forecasting

Article	Citations
Is implied volatility more informative for forecasting realized volatility: An international perspective	80
Forecasting carbon price using a multi‐objective least squares support vector machine with mixture kernels	62
The information content of uncertainty indices for natural gas futures volatility forecasting	59
Cryptocurrency volatility forecasting: A Markov regime‐switching MIDAS approach	45
Trading volume and realized volatility forecasting: Evidence from the China stock market	45
On the forecasting of high‐frequency financial time series based on ARIMA model improved by deep learning	43
Sparse Bayesian vector autoregressions in huge dimensions	43
Forecasting Australia's real house price index: A comparison of time series and machine learning methods	37
Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models	33
Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index	32
Stock‐induced Google trends and the predictability of sectoral stock returns	28
Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions	28
Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment	27
A new BISARMA time series model for forecasting mortality using weather and particulate matter data	27
Stock index prediction based on wavelet transform and FCD‐MLGRU	25
An empirical study on the role of trading volume and data frequency in volatility forecasting	23
Financial distress prediction model: The effects of corporate governance indicators	23
Forecasting US stock market volatility: How to use international volatility information	21
Predicting stock market volatility based on textual sentiment: A nonlinear analysis	21
The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles	18
Time series forecasting methods for the Baltic dry index	18
Research constituents, intellectual structure, and collaboration pattern in the Journal of Forecasting: A bibliometric analysis	18
Assessment of agricultural energy consumption of Turkey by MLR and Bayesian optimized SVR and GPR models	18
Forecasting international equity market volatility: A new approach	17
Market timing using combined forecasts and machine learning	16

Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?	16
A detailed look at crude oil price volatility prediction using macroeconomic variables	16
Stock index forecasting: A new fuzzy time series forecasting method	15
Optimal hybrid framework for carbon price forecasting using time series analysis and least squares support vector machine	15
The industrial asymmetry of the stock price prediction with investor sentiment: Based on the comparison of predictive effects with SVR	15
Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis	15
Volatility forecasting for crude oil based on text information and deep learning PSO‐LSTM model	15
Predicting intraday jumps in stock prices using liquidity measures and technical indicators	15
A novel deep learning model based on convolutional neural networks for employee churn prediction	14
Forecasting unemployment in the euro area with machine learning	13
A novel hybrid fine particulate matter (PM2.5) forecasting and its further application system: Case studies in China	13
Anticipating financial distress of high‐tech startups in the European Union: A machine learning approach for imbalanced samples	13
Forecasting stock return volatility using a robust regression model	12
Predictive modeling of consumer color preference: Using retail data and merchandise images	12
Estimation of healthcare expenditure per capita of Turkey using artificial intelligence techniques with genetic algorithm‐based feature selection	12
Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility	12
Predicting financial crises with machine learning methods	11
Modeling of frequency containment reserve prices with econometrics and artificial intelligence	11
A bi‐level ensemble learning approach to complex time series forecasting: Taking exchange rates as an example	11
Analysis of the relationship between LSTM network traffic flow prediction performance and statistical characteristics of standard and nonstandard data	11
Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH‐MIDAS and deep learning models	11
A hybrid model considering cointegration for interval‐valued pork price forecasting in China	11
Forecasting aggregate market volatility: The role of good and bad uncertainties	11
Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting	10
Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump	10
Using the yield curve to forecast economic growth	10
Nowcasting world GDP growth with high‐frequency data	10
Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect	10
A weights direct determination neuronet for time‐series with applications in the industrial indices of the Federal Reserve Bank of St. Louis	9
Volatility specifications versus probability distributions in VaR forecasting	9
Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models	9
Forecasting systemic risk in portfolio selection: The role of technical trading rules	8
Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints	8
Recession probabilities for the Eurozone at the zero lower bound: Challenges to the term spread and rise of alternatives	8
Dendritic neuron model neural network trained by modified particle swarm optimization for time‐series forecasting	8
Human resources and corporate failure prediction modeling: Evidence from Belgium	8
What can we learn from the return predictability over the business cycle?	8
Moving average threshold heterogeneous autoregressive (MAT‐HAR) models	8
On stock volatility forecasting based on text mining and deep learning under high‐frequency data	8
Nonlinear inflation forecasting with recurrent neural networks	8
Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work	7
Dynamic VaR forecasts using conditional Pearson type IV distribution	7
Predictive models for influence of primary delays using high‐speed train operation records	7
Forecasting mortality rates with the adaptive spatial temporal autoregressive model	7
Random forest versus logit models: Which offers better early warning of fiscal stress?	7
Deep learning model for temperature prediction: A case study in New Delhi	7
Text‐based soybean futures price forecasting: A two‐stage deep learning approach	6
Distributional modeling and forecasting of natural gas prices	6
Forecasting models in the manufacturing processes and operations management: Systematic literature review	6
Application of Google Trends‐based sentiment index in exchange rate prediction	6

Deep learning meets decision trees: An application of a heterogeneous deep forest approach in credit scoring for online consumer lending	6
Forecasting Bitcoin volatility: A new insight from the threshold regression model	6
Multisource evidence theory‐based fraud risk assessment of China's listed companies	6
A performance analysis of prediction intervals for count time series	6
Forecasting of intermittent demands under the risk of inventory obsolescence	6
Forecasting Baden‐Württemberg's GDP growth: MIDAS regressions versus dynamic mixed‐frequency factor models	6
Cryptocurrency exchanges: Predicting which markets will remain active	6
Stochastic configuration network based on improved whale optimization algorithm for nonstationary time series prediction	6
Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach	6
Equity return predictability, its determinants, and profitable trading strategies	6
Forecasting US overseas travelling with univariate and multivariate models	6
Bayesian quantile forecasting via the realized hysteretic GARCH model	5
Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach	5
Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures	5
The reliability of geometric Brownian motion forecasts of S&P500 index values	5
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes	5
Forecasting value at risk and conditional value at risk using option market data	5
Combined water quality forecasting system based on multiobjective optimization and improved data decomposition integration strategy	5
The prudential role of Basel III liquidity provisions towards financial stability	5
Power grid operation optimization and forecasting using a combined forecasting system	5
Interpreting the prediction results of the tree‐based gradient boosting models for financial distress prediction with an explainable machine learning approach	5
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility	4
Forecasting nonperforming loans using machine learning	4
Forecasting inflation and output growth with credit‐card‐augmented Divisia monetary aggregates	4
Do sentiment indices always improve the prediction accuracy of exchange rates?	4
Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach	4
Fiscal transparency, fiscal forecasting and budget credibility in developing countries	4
Predicting earnings management through machine learning ensemble classifiers	4
Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation	4
Forecasting financial vulnerability in the USA: A factor model approach	4
Should crude oil price volatility receive more attention than the price of crude oil? An empirical investigation via a large‐scale out‐of‐sample forecast evaluation of US macroeconomic data	4
Bayesian bilinear neural network for predicting the mid‐price dynamics in limit‐order book markets	4
A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies	4
ANN–polynomial–Fourier series modeling and Monte Carlo forecasting of tourism data	4
Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses	4
Forecasting value at risk and expected shortfall using high‐frequency data of domestic and international stock markets	4
Stock markets and exchange rate behavior of the BRICS	4
Neural network structure identification in inflation forecasting	4
Default return spread: A powerful predictor of crude oil price returns	4
Meta‐learning how to forecast time series	4
A dynamic scenario‐driven technique for stock price prediction and trading	4
The role of investor sentiment in forecasting housing returns in China: A machine learning approach	3
Design of link prediction algorithm for complex network based on the comprehensive influence of predicting nodes and neighbor nodes	3
Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility	3
Forecasting exchange rates for Central and Eastern European currencies using country‐specific factors	3
The global latent factor and international index futures returns predictability	3
Can night trading sessions improve forecasting performance of gold futures' volatility in China?	3
Geopolitical risk and global financial cycle: Some forecasting experiments	3
A large Bayesian VAR with a block‐specific shrinkage: A forecasting application for Italian industrial production	3
Interest rate uncertainty and the predictability of bank revenues	3
A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information	3
Withdrawal: “Bitcoin Futures, Technical Analysis and Return Predictability in Bitcoin Prices”: Andrei Shynkevich	3
A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes	3
Forecasting volatility with outliers in Realized GARCH models	3
Assessing liquidity‐adjusted risk forecasts	3
Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years	3
Estimating the volatility of asset pricing factors	3
Parallel architecture of CNN‐bidirectional LSTMs for implied volatility forecast	3
Credit scoring prediction leveraging interpretable ensemble learning	3
Evaluating the OECD’s main economic indicators at anticipating recessions*	3
The value added of the Bank of Japan's range forecasts	3
The influence of policy uncertainty on exchange rate forecasting	3
Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning	3
The mutual predictability of Bitcoin and web search dynamics	3
Comprehensive commodity price forecasting framework using text mining methods	3
Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises	3
A dynamic performance evaluation of distress prediction models	3
Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages	3
What matters when developing oil price volatility forecasting frameworks?	3
How media content influences economic expectations: Evidence from a global expert survey	3
The effect of environment on housing prices: Evidence from the Google Street View	2
A causal model for short‐term time series analysis to predict incoming Medicare workload	2
Spatial beta‐convergence forecasting models: Evidence from municipal homicide rates in Colombia	2
An evolutionary cost‐sensitive support vector machine for carbon price trend forecasting	2
El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach	2
A new insight into combining forecasts for elections: The role of social media	2
Time‐varying trend models for forecasting inflation in Australia	2
A state‐dependent linear recurrent formula with application to time series with structural breaks	2
Limited memory predictors based on polynomial approximation of periodic exponentials	2
A new PM2.5 concentration forecasting system based on AdaBoost‐ensemble system with deep learning approach	2

Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market	2
Cryptocurrencies trading algorithms: A review	2
Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations	2
A comparative study of combining tree‐based feature selection methods and classifiers in personal loan default prediction	2
Investigating the predictive ability of ONS big data‐based indicators	2
Non‐linear mixed‐effects models for time series forecasting of smart meter demand	2
Forecasting inflation: The use of dynamic factor analysis and nonlinear combinations	2
Scheduled macroeconomic news announcements and Forex volatility forecasting	2
Modeling credit risk with a multi‐stage hybrid model: An alternative statistical approach	2
Professional forecasters' expectations, consistency, and international spillovers	2
Worse than you think: Public debt forecast errors in advanced and developing economies	2
Uncertainty and the predictability of stock returns	2
Recession forecasting with high‐dimensional data	2
State‐dependent evaluation of predictive ability	2
Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting	2
Modeling interval trendlines: Symbolic singular spectrum analysis for interval time series	2
Convolution‐based filtering and forecasting: An application to WTI crude oil prices	2
Prediction of remaining time on site for e‐commerce users: A SOM and long short‐term memory study	2
Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis	2
Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model	2
Application of machine learning techniques to predict entrepreneurial firm valuation	2
Advances in forecasting: An introduction in light of the debate on inflation forecasting	2
Subsampled factor models for asset pricing: The rise of Vasa	2
A model sufficiency test using permutation entropy	2
Forecasting energy prices: Quantile‐based risk models	2
Deep learning with regularized robust long‐ and short‐term memory network for probabilistic short‐term load forecasting	2
Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions	2
Forecasting tourist flows in the COVID‐19 era using nonparametric mixed‐frequency VARs	1
A new Markov regime‐switching count time series approach for forecasting initial public offering volumes and detecting issue cycles	1
Assessing components of uncertainty in demographic forecasts with an application to fiscal sustainability	1
Policy uncertainty and stock market volatility revisited: The predictive role of signal quality	1
Point and density forecasting of macroeconomic and financial uncertainties of the USA	1
Measuring multi‐volatility states of financial markets based on multifractal clustering model	1
Wind power prediction based on wind speed forecast using hidden Markov model	1
A new model for forecasting VaR and ES using intraday returns aggregation	1
Evaluating the predictive power of intraday technical trading in China's crude oil market	1
Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage	1
Electricity demand forecasting and risk management using Gaussian process model with error propagation	1
Forecasting real‐time economic activity using house prices and credit conditions	1
Using a machine learning approach and big data to augment WASDE forecasts: Empirical evidence from US corn yield	1
Local prediction pools	1
Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment	1
Predicting customer churn using grey wolf optimization‐based support vector machine with principal component analysis	1
Stock market as a nowcasting indicator for real investment	1
Multistage optimization filter for trend‐based short‐term forecasting	1
A Siamese network framework for bank intelligent Q&A prediction	1
Trading cryptocurrencies using algorithmic average true range systems	1
Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model	1
Forecasting asset returns with network‐based metrics: A statistical and economic analysis	1
Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country	1
Competition can help predict sales	1
Nowcasting inflation with Lasso‐regularized vector autoregressions and mixed frequency data	1
Can Brazilian Central Bank communication help to predict the yield curve?	1
Block bootstrap prediction intervals for parsimonious first‐order vector autoregression	1
An approach to increasing forecast‐combination accuracy through VAR error modeling	1
Testing bias in professional forecasts	1
A hybrid approach with step‐size aggregation to forecasting hierarchical time series	1
Variable selection for classification and forecasting of the family firm's socioemotional wealth	1
Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts	1
A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility	1
Forecasting intraday financial time series with sieve bootstrapping and dynamic updating	1
A retrospective analysis of Journal of Forecasting: From 1982 to 2019	1
Comparison of improved relevance vector machines for streamflow predictions	1
A hybrid forecasting model based on deep learning feature extraction and statistical arbitrage methods for stock trading strategies	1
Forecasting air quality index considering socioeconomic indicators and meteorological factors: A data granularity perspective	1
Firm dynamics and bankruptcy processes: A new theoretical model	1
Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models	1
Forgetting approaches to improve forecasting	1
Cross‐sectional return dispersion and stock market volatility: Evidence from high‐frequency data	1
	1
Mixed data sampling regression: Parameter selection of smoothed least squares estimator	1
Daily tourism forecasting through a novel method based on principal component analysis, grey wolf optimizer, and extreme learning machine	1
Bootstrap VAR forecasts: The effect of model uncertainties	1
Forecasting inflation in open economies: What can a NOEM model do?	1
The role of expectations for currency crisis dynamics—The case of the Turkish lira	1
Dynamic forecasting for nonstationary high‐frequency financial data with jumps based on series decomposition and reconstruction	1
Granger causality of bivariate stationary curve time series	1
A hybrid prediction model with time‐varying gain tracking differentiator in Taylor expansion: Evidence from precious metals	1
Yield spread selection in predicting recession probabilities	1
Optimal out‐of‐sample forecast evaluation under stationarity	1
Forecasting chlorophyll‐a concentration using empirical wavelet transform and support vector regression	1
A multisource data‐driven combined forecasting model based on internet search keyword screening method for interval soybean futures price	1
Corporate failure prediction using threshold‐based models	1
Effective multi‐step ahead container throughput forecasting under the complex context	1
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Multiperiod default probability forecasting	1
Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity	1
Forecasting housing investment	1
Forecasting financial markets with semantic network analysis in the COVID‐19 crisis	1
The tensor auto‐regressive model	1
The benefit of the Covid‐19 pandemic on global temperature projections	1