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
Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions	36
Predicting stock market volatility based on textual sentiment: A nonlinear analysis	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
Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?	27
An empirical study on the role of trading volume and data frequency in volatility forecasting	27
A bi‐level ensemble learning approach to complex time series forecasting: Taking exchange rates as an example	26
Forecasting US stock market volatility: How to use international volatility information	24
Forecasting unemployment in the euro area with machine learning	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
Predicting financial crises with machine learning methods	21
Time series forecasting methods for the Baltic dry index	21
Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis	21
Forecasting international equity market volatility: A new approach	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
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

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
Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH‐MIDAS and deep learning models	16
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 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 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
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
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
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
Human resources and corporate failure prediction modeling: Evidence from Belgium	11
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
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
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
Cryptocurrency exchanges: Predicting which markets will remain active	9
Comprehensive commodity price forecasting framework using text mining methods	9
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
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
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
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
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
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
Bayesian bilinear neural network for predicting the mid‐price dynamics in limit‐order book markets	6
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
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
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
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
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
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
Limited memory predictors based on polynomial approximation of periodic exponentials	3
Uncertainty and the predictability of stock returns	3
How media content influences economic expectations: Evidence from a global expert survey	3
Forecasting energy prices: Quantile‐based risk models	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
The value added of the Bank of Japan's range forecasts	3
Forecasting tourist flows in the COVID‐19 era using nonparametric mixed‐frequency VARs	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
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
What matters when developing oil price volatility forecasting frameworks?	3
Forecasting sovereign risk in the Euro area via machine learning	3
Interest rate uncertainty and the predictability of bank revenues	3
Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts	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