Journal of Forecasting

Article	Citations
The information content of uncertainty indices for natural gas futures volatility forecasting	75
Forecasting carbon price using a multi‐objective least squares support vector machine with mixture kernels	68
Trading volume and realized volatility forecasting: Evidence from the China stock market	56
Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models	45
Predicting stock market volatility based on textual sentiment: A nonlinear analysis	36
Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions	36
Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment	32
A new BISARMA time series model for forecasting mortality using weather and particulate matter data	29
An empirical study on the role of trading volume and data frequency in volatility forecasting	27
Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?	27
A bi‐level ensemble learning approach to complex time series forecasting: Taking exchange rates as an example	26
Forecasting unemployment in the euro area with machine learning	24
Forecasting US stock market volatility: How to use international volatility information	24
Research constituents, intellectual structure, and collaboration pattern in the Journal of Forecasting: A bibliometric analysis	22
Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility	22
Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis	21
Forecasting international equity market volatility: A new approach	21
Predicting financial crises with machine learning methods	21
Time series forecasting methods for the Baltic dry index	21
Volatility forecasting for crude oil based on text information and deep learning PSO‐LSTM model	20
Optimal hybrid framework for carbon price forecasting using time series analysis and least squares support vector machine	20
Stock index forecasting: A new fuzzy time series forecasting method	17
A novel deep learning model based on convolutional neural networks for employee churn prediction	17
Anticipating financial distress of high‐tech startups in the European Union: A machine learning approach for imbalanced samples	17
Nowcasting world GDP growth with high‐frequency data	17

Estimation of healthcare expenditure per capita of Turkey using artificial intelligence techniques with genetic algorithm‐based feature selection	17
Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work	17
Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH‐MIDAS and deep learning models	16
Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models	15
A novel hybrid fine particulate matter (PM2.5) forecasting and its further application system: Case studies in China	15
Forecasting stock return volatility using a robust regression model	15
Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect	15
Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump	14
A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies	13
On stock volatility forecasting based on text mining and deep learning under high‐frequency data	12
Text‐based soybean futures price forecasting: A two‐stage deep learning approach	12
Nonlinear inflation forecasting with recurrent neural networks	12
Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting	12
Stock markets and exchange rate behavior of the BRICS	12
Human resources and corporate failure prediction modeling: Evidence from Belgium	11
Meta‐learning how to forecast time series	11
Forecasting Baden‐Württemberg's GDP growth: MIDAS regressions versus dynamic mixed‐frequency factor models	11
Deep learning model for temperature prediction: A case study in New Delhi	11
Nowcasting the state of the Italian economy: The role of financial markets	11
Dendritic neuron model neural network trained by modified particle swarm optimization for time‐series forecasting	10
Recession probabilities for the Eurozone at the zero lower bound: Challenges to the term spread and rise of alternatives	10
A weights direct determination neuronet for time‐series with applications in the industrial indices of the Federal Reserve Bank of St. Louis	10
Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach	10
Cryptocurrency exchanges: Predicting which markets will remain active	9
Comprehensive commodity price forecasting framework using text mining methods	9
Interpreting the prediction results of the tree‐based gradient boosting models for financial distress prediction with an explainable machine learning approach	9
Application of Google Trends‐based sentiment index in exchange rate prediction	9
The prudential role of Basel III liquidity provisions towards financial stability	9
Distributional modeling and forecasting of natural gas prices	9
El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach	9
A dynamic scenario‐driven technique for stock price prediction and trading	8
Combined water quality forecasting system based on multiobjective optimization and improved data decomposition integration strategy	8
Forecasting systemic risk in portfolio selection: The role of technical trading rules	8
Multisource evidence theory‐based fraud risk assessment of China's listed companies	8
Forecasting value at risk and expected shortfall using high‐frequency data of domestic and international stock markets	8
The influence of policy uncertainty on exchange rate forecasting	8
An evolutionary cost‐sensitive support vector machine for carbon price trend forecasting	8
Default return spread: A powerful predictor of crude oil price returns	7
Random forest versus logit models: Which offers better early warning of fiscal stress?	7
Deep learning meets decision trees: An application of a heterogeneous deep forest approach in credit scoring for online consumer lending	7
Stochastic configuration network based on improved whale optimization algorithm for nonstationary time series prediction	7
Predicting customer churn using grey wolf optimization‐based support vector machine with principal component analysis	7
Bayesian quantile forecasting via the realized hysteretic GARCH model	7
The reliability of geometric Brownian motion forecasts of S&P500 index values	7
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	7
Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach	6
The role of investor sentiment in forecasting housing returns in China: A machine learning approach	6
A comparative study of combining tree‐based feature selection methods and classifiers in personal loan default prediction	6
Forecasting of intermittent demands under the risk of inventory obsolescence	6
A new PM2.5 concentration forecasting system based on AdaBoost‐ensemble system with deep learning approach	6

Geopolitical risk and global financial cycle: Some forecasting experiments	6
Forecasting Bitcoin volatility: A new insight from the threshold regression model	6
ANN–polynomial–Fourier series modeling and Monte Carlo forecasting of tourism data	6
A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes	6
Power grid operation optimization and forecasting using a combined forecasting system	6
Forecasting nonperforming loans using machine learning	6
Forecasting US overseas travelling with univariate and multivariate models	6
Bayesian bilinear neural network for predicting the mid‐price dynamics in limit‐order book markets	6
A multisource data‐driven combined forecasting model based on internet search keyword screening method for interval soybean futures price	6
Forecasting financial markets with semantic network analysis in the COVID‐19 crisis	6
Cryptocurrencies trading algorithms: A review	6
Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses	6
Parallel architecture of CNN‐bidirectional LSTMs for implied volatility forecast	6
Forecasting inflation and output growth with credit‐card‐augmented Divisia monetary aggregates	6
Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach	5
A hybrid forecasting model based on deep learning feature extraction and statistical arbitrage methods for stock trading strategies	5
Predicting earnings management through machine learning ensemble classifiers	5
Can night trading sessions improve forecasting performance of gold futures' volatility in China?	5
Advances in forecasting: An introduction in light of the debate on inflation forecasting	5
Forecasting value at risk and conditional value at risk using option market data	5
Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures	5
A dynamic performance evaluation of distress prediction models	5
Policy uncertainty and stock market volatility revisited: The predictive role of signal quality	5
Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting	5
Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity	5
Application of machine learning techniques to predict entrepreneurial firm valuation	4
Macro‐financial effects of monetary policy easing	4
Credit scoring prediction leveraging interpretable ensemble learning	4
Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning	4
The mutual predictability of Bitcoin and web search dynamics	4
Non‐linear mixed‐effects models for time series forecasting of smart meter demand	4
Forecasting air quality index considering socioeconomic indicators and meteorological factors: A data granularity perspective	4
Daily tourism forecasting through a novel method based on principal component analysis, grey wolf optimizer, and extreme learning machine	4
Do sentiment indices always improve the prediction accuracy of exchange rates?	4
Design of link prediction algorithm for complex network based on the comprehensive influence of predicting nodes and neighbor nodes	4
A classification application for using learning methods in bank costumer's portfolio churn	4
Prediction of remaining time on site for e‐commerce users: A SOM and long short‐term memory study	4
Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model	4
Forecasting inflation in open economies: What can a NOEM model do?	4
Worse than you think: Public debt forecast errors in advanced and developing economies	4
Using a machine learning approach and big data to augment WASDE forecasts: Empirical evidence from US corn yield	4
A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information	4
Embedding the weather prediction errors (WPE) into the photovoltaic (PV) forecasting method using deep learning	4
Convolution‐based filtering and forecasting: An application to WTI crude oil prices	4
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility	4
Forecasting inflation: The use of dynamic factor analysis and nonlinear combinations	4
Seeing is believing: Forecasting crude oil price trend from the perspective of images	3
Volatility forecasting with an extended GARCH‐MIDAS approach	3
An investigation into the probability that this is the last year of the economic expansion	3
Forecasting sovereign risk in the Euro area via machine learning	3
What matters when developing oil price volatility forecasting frameworks?	3
Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts	3
Interest rate uncertainty and the predictability of bank revenues	3
Mixed data sampling regression: Parameter selection of smoothed least squares estimator	3
Deep learning with regularized robust long‐ and short‐term memory network for probabilistic short‐term load forecasting	3
Forecasting volatility with outliers in Realized GARCH models	3
A new recurrent pi‐sigma artificial neural network inspired by exponential smoothing feedback mechanism	3
Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations	3
Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years	3
The global latent factor and international index futures returns predictability	3
Explainable machine learning techniques based on attention gate recurrent unit and local interpretable model‐agnostic explanations for multivariate wind speed forecasting	3
Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises	3
Uncertainty and the predictability of stock returns	3
Limited memory predictors based on polynomial approximation of periodic exponentials	3
Forecasting energy prices: Quantile‐based risk models	3
How media content influences economic expectations: Evidence from a global expert survey	3
Recession forecasting with high‐dimensional data	3
Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment	3
Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility	3
The effect of environment on housing prices: Evidence from the Google Street View	3
Comparison of improved relevance vector machines for streamflow predictions	3
Assessing liquidity‐adjusted risk forecasts	3
Forecasting exchange rates for Central and Eastern European currencies using country‐specific factors	3
Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model	3
Modeling uncertainty in financial tail risk: A forecast combination and weighted quantile approach	3
Forecasting tourist flows in the COVID‐19 era using nonparametric mixed‐frequency VARs	3
The value added of the Bank of Japan's range forecasts	3
Forecasting the realized volatility of agricultural commodity prices: Does sentiment matter?	3
A retrospective analysis of Journal of Forecasting: From 1982 to 2019	3
Forecasting air passenger travel: A case study of Norwegian aviation industry	3

Modeling interval trendlines: Symbolic singular spectrum analysis for interval time series	3
Measuring multi‐volatility states of financial markets based on multifractal clustering model	3
Stock picking with machine learning	3
Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis	2
Dynamic forecasting for nonstationary high‐frequency financial data with jumps based on series decomposition and reconstruction	2
Forecast combination puzzle in the HAR model	2
Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country	2
A model sufficiency test using permutation entropy	2
Forecasting global solar radiation using a robust regularization approach with mixture kernels	2
Cross‐sectional return dispersion and stock market volatility: Evidence from high‐frequency data	2
Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market	2
A Bayesian time‐varying autoregressive model for improved short‐term and long‐term prediction	2
Forgetting approaches to improve forecasting	2
Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs	2
Jump forecasting in foreign exchange markets: A high‐frequency analysis	2
Deep learning on mixed frequency data	2
Interval time series forecasting: A systematic literature review	2
A new hedging hypothesis regarding prediction interval formation in stock price forecasting	2
Spatial beta‐convergence forecasting models: Evidence from municipal homicide rates in Colombia	2
Modeling and forecasting percent changes in national park visitation using social media	2
Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage	2
Time‐varying trend models for forecasting inflation in Australia	2
Bootstrap VAR forecasts: The effect of model uncertainties	2
Effective multi‐step ahead container throughput forecasting under the complex context	2
Withdrawal: “Bitcoin Futures, Technical Analysis and Return Predictability in Bitcoin Prices”: Andrei Shynkevich	2
Scheduled macroeconomic news announcements and Forex volatility forecasting	2
Multistage optimization filter for trend‐based short‐term forecasting	2
A new Markov regime‐switching count time series approach for forecasting initial public offering volumes and detecting issue cycles	2
Forecasting housing investment	2
Wind power prediction based on wind speed forecast using hidden Markov model	2
How to detect and forecast corporate fraud by media reports? An approach using machine learning and qualitative comparative analysis	2
Forecasting chlorophyll‐a concentration using empirical wavelet transform and support vector regression	2
Nowcasting inflation with Lasso‐regularized vector autoregressions and mixed frequency data	2
A state‐dependent linear recurrent formula with application to time series with structural breaks	2
Modeling credit risk with a multi‐stage hybrid model: An alternative statistical approach	2
Multiperiod default probability forecasting	2
Time‐varying partial‐directed coherence approach to forecast global energy prices with stochastic volatility model	2
Investigating the predictive ability of ONS big data‐based indicators	2
Subsampled factor models for asset pricing: The rise of Vasa	2
Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models	2
The tensor auto‐regressive model	2
Forecasting asset returns with network‐based metrics: A statistical and economic analysis	2
Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?	1
A Siamese network framework for bank intelligent Q&A prediction	1
Trading cryptocurrencies using algorithmic average true range systems	1
Optimal forecasts in the presence of discrete structural breaks under long memory	1
The effects of shocks to interest rate expectations in the euro area: Estimates at the country level	1
Singular spectrum analysis for value at risk in stochastic volatility models	1
The benefit of the Covid‐19 pandemic on global temperature projections	1
Does herding effect help forecast market volatility?—Evidence from the Chinese stock market	1
Electricity price forecasting using hybrid deep learned networks	1
Granger causality of bivariate stationary curve time series	1
A Markov chain model of crop conditions and intrayear crop yield forecasting	1
A hybrid prediction model with time‐varying gain tracking differentiator in Taylor expansion: Evidence from precious metals	1
Semiparametric estimation of expected shortfall and its application in finance	1
Evaluating the predictive power of intraday technical trading in China's crude oil market	1
Optimal out‐of‐sample forecast evaluation under stationarity	1
Forecasting realized volatility of crude oil futures prices based on machine learning	1
	1
A deep learning model for online doctor rating prediction	1
Forecasting stock return volatility: Realized volatility‐type or duration‐based estimators	1
Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach	1
Forecasting GDP growth: The economic impact of COVID‐19 pandemic	1
Hybrid convolutional long short‐term memory models for sales forecasting in retail	1
Multi‐step air quality index forecasting via data preprocessing, sequence reconstruction, and improved multi‐objective optimization algorithm	1
Competition can help predict sales	1
A comparison of Range Value at Risk (RVaR) forecasting models	1
An infinite hidden Markov model with stochastic volatility	1
Point and density forecasting of macroeconomic and financial uncertainties of the USA	1
The role of expectations for currency crisis dynamics—The case of the Turkish lira	1
Yield spread selection in predicting recession probabilities	1
Can Brazilian Central Bank communication help to predict the yield curve?	1
Volatility forecasting for stock market incorporating media reports, investors' sentiment, and attention based on MTGNN model	1
Corporate failure prediction using threshold‐based models	1
Forecast evaluation of DSGE models: Linear and nonlinear likelihood	1
Probabilistic electricity price forecasting based on penalized temporal fusion transformer	1
Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments	1
Using shapely values to define subgroups of forecasts for combining	1
The ENSO cycle and forecastability of global inflation and output growth: Evidence from standard and mixed‐frequency multivariate singular spectrum analyses	1
Firm dynamics and bankruptcy processes: A new theoretical model	1
A new model for forecasting VaR and ES using intraday returns aggregation	1
Stock movement prediction: A multi‐input LSTM approach	1
Forecasting food price inflation during global crises	1
Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach	1
A hybrid approach with step‐size aggregation to forecasting hierarchical time series	1
Liquidity‐adjusted value‐at‐risk using extreme value theory and copula approach	1
An approach to increasing forecast‐combination accuracy through VAR error modeling	1
Assessing components of uncertainty in demographic forecasts with an application to fiscal sustainability	1
Testing bias in professional forecasts	1
The battle of the factors: Macroeconomic variables or investor sentiment?	1
Variable selection for classification and forecasting of the family firm's socioemotional wealth	1
Local prediction pools	1
Forecasting intraday financial time series with sieve bootstrapping and dynamic updating	1
Stock market as a nowcasting indicator for real investment	1
Post‐COVID inflation dynamics: Higher for longer	1