Journal of Forecasting

Cover image for Vol. 36 Issue 1

Early View (Online Version of Record published before inclusion in an issue)

Edited By: Derek W. Bunn

Impact Factor: 0.818

ISI Journal Citation Reports © Ranking: 2015: 141/192 (Management); 177/345 (Economics)

Online ISSN: 1099-131X


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  1. Research Articles

    1. Time-Varying Parameter Realized Volatility Models

      Yudong Wang, Zhiyuan Pan and Chongfeng Wu

      Version of Record online: 28 NOV 2016 | DOI: 10.1002/for.2454

    2. Forecasting with Specification-Switching VARs

      Youngjin Hwang

      Version of Record online: 28 NOV 2016 | DOI: 10.1002/for.2455

    3. Short-Term Stock Price Prediction Based on Limit Order Book Dynamics

      Yang An and Ngai Hang Chan

      Version of Record online: 23 NOV 2016 | DOI: 10.1002/for.2452

    4. Incorporating the Beige Book into a Quantitative Index of Economic Activity

      Nathan S. Balke, Michael Fulmer and Ren Zhang

      Version of Record online: 21 NOV 2016 | DOI: 10.1002/for.2450

  2. Special Issue Articles

    1. Modelling and Trading the English and German Stock Markets with Novelty Optimization Techniques

      Andreas Karathanasopoulos, Sovan Mitra, Konstantinos Skindilias and Chia Chun Lo

      Version of Record online: 6 NOV 2016 | DOI: 10.1002/for.2445

  3. Research Articles

    1. Do Media Data Help to Predict German Industrial Production?

      Dirk Ulbricht, Konstantin A. Kholodilin and Tobias Thomas

      Version of Record online: 3 NOV 2016 | DOI: 10.1002/for.2449

    2. Can We Predict the Financial Markets Based on Google's Search Queries?

      Marcelo S. Perlin, João F. Caldeira, André A. P. Santos and Martin Pontuschka

      Version of Record online: 17 OCT 2016 | DOI: 10.1002/for.2446

    3. Benchmark Forecast and Error Modeling

      Zhao-Guo Chen and Ka Ho Wu

      Version of Record online: 18 SEP 2016 | DOI: 10.1002/for.2439

    4. The Role of Credit in Predicting US Recessions

      Harri Ponka

      Version of Record online: 15 SEP 2016 | DOI: 10.1002/for.2448

  4. Special Issue Articles

    1. Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

      Peter Nystrup, Henrik Madsen and Erik Lindström

      Version of Record online: 13 SEP 2016 | DOI: 10.1002/for.2447

  5. Research Articles

    1. Multi-model Forecasts of the West Texas Intermediate Crude Oil Spot Price

      Laura Ryan and Bronwen Whiting

      Version of Record online: 13 SEP 2016 | DOI: 10.1002/for.2440

    2. Analysts’ Dynamic Decisions: Timeliness versus Accuracy

      Steven J. Jordan, Byungjin Kwak and Changhee Lee

      Version of Record online: 1 SEP 2016 | DOI: 10.1002/for.2438

    3. On the Predictive Information of Futures' Prices: A Wavelet-Based Assessment

      Helmut Herwartz and Stephan Schlüter

      Version of Record online: 26 AUG 2016 | DOI: 10.1002/for.2435

    4. Integrating Quarterly Data into a Dynamic Factor Model of US Monthly GDP

      Firmin Vlavonou and Stephen Gordon

      Version of Record online: 19 AUG 2016 | DOI: 10.1002/for.2432

  6. Special Issue Articles

    1. Exploiting Spillovers to Forecast Crashes

      Francine Gresnigt, Erik Kole and Philip Hans Franses

      Version of Record online: 18 AUG 2016 | DOI: 10.1002/for.2434

  7. Research Articles

    1. Heterogeneous Forecast Adjustment

      Bert De Bruijn and Philip Hans Franses

      Version of Record online: 28 JUL 2016 | DOI: 10.1002/for.2433

  8. Special Issue Articles

  9. Research Articles

    1. Adaptive Interest Rate Modelling

      Mengmeng Guo and Wolfgang Karl Härdle

      Version of Record online: 20 JUL 2016 | DOI: 10.1002/for.2431

    2. Revisiting Targeted Factors

      Jack Fosten

      Version of Record online: 14 JUN 2016 | DOI: 10.1002/for.2429

    3. Identifying Expensive Trades by Monitoring the Limit Order Book

      Benoit Detollenaere and Catherine D'hondt

      Version of Record online: 1 JUN 2016 | DOI: 10.1002/for.2422

    4. Stochastic Multivariate Mixture Covariance Model

      Mike K. P. So, Raymond W. M. Li, Manabu Asai and Yue Jiang

      Version of Record online: 9 MAY 2016 | DOI: 10.1002/for.2419

    5. Bayesian Forecasting for Time Series of Categorical Data

      Jean-François Angers, Atanu Biswas and Raju Maiti

      Version of Record online: 9 MAY 2016 | DOI: 10.1002/for.2426

    6. Forecast Combinations in a DSGE-VAR Lab

      Mauro Costantini, Ulrich Gunter and Robert M. Kunst

      Version of Record online: 9 MAY 2016 | DOI: 10.1002/for.2427

    7. Validating Policy-Induced Economic Change Using Sequential General Equilibrium SAMs

      M. Alejandro Cardenete, M. Carmen Lima and Ferran Sancho

      Version of Record online: 27 APR 2016 | DOI: 10.1002/for.2424

    8. The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach

      Vasilios Plakandaras, Periklis Gogas, Theophilos Papadimitriou and Rangan Gupta

      Version of Record online: 19 APR 2016 | DOI: 10.1002/for.2417

  10. Special Issue Articles

    1. A Comparison of the Forecasting Ability of Immediate Price Impact Models

      Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier

      Version of Record online: 2 MAR 2016 | DOI: 10.1002/for.2405

    2. Nonlinearities in the CAPM: Evidence from Developed and Emerging Markets

      Serdar Neslihanoglu, Vasilios Sogiakas, John H. McColl and Duncan Lee

      Version of Record online: 25 JAN 2016 | DOI: 10.1002/for.2389


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