Journal of Forecasting

Article	Citations
Forecasting carbon price using a multi‐objective least squares support vector machine with mixture kernels	64
The information content of uncertainty indices for natural gas futures volatility forecasting	61
Trading volume and realized volatility forecasting: Evidence from the China stock market	49
Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models	34
Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions	33
Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index	32
Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment	30
Stock‐induced Google trends and the predictability of sectoral stock returns	29
A new BISARMA time series model for forecasting mortality using weather and particulate matter data	27
Predicting stock market volatility based on textual sentiment: A nonlinear analysis	23
An empirical study on the role of trading volume and data frequency in volatility forecasting	23
Forecasting US stock market volatility: How to use international volatility information	22
Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?	21
Forecasting unemployment in the euro area with machine learning	21
Research constituents, intellectual structure, and collaboration pattern in the Journal of Forecasting: A bibliometric analysis	20
Time series forecasting methods for the Baltic dry index	19
Forecasting international equity market volatility: A new approach	18
The industrial asymmetry of the stock price prediction with investor sentiment: Based on the comparison of predictive effects with SVR	17
Optimal hybrid framework for carbon price forecasting using time series analysis and least squares support vector machine	17
Market timing using combined forecasts and machine learning	17
Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis	16
Volatility forecasting for crude oil based on text information and deep learning PSO‐LSTM model	16
Predicting financial crises with machine learning methods	16
A bi‐level ensemble learning approach to complex time series forecasting: Taking exchange rates as an example	16
A novel deep learning model based on convolutional neural networks for employee churn prediction	15

Stock index forecasting: A new fuzzy time series forecasting method	15
Predicting intraday jumps in stock prices using liquidity measures and technical indicators	15
Estimation of healthcare expenditure per capita of Turkey using artificial intelligence techniques with genetic algorithm‐based feature selection	15
Anticipating financial distress of high‐tech startups in the European Union: A machine learning approach for imbalanced samples	14
Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility	14
A novel hybrid fine particulate matter (PM2.5) forecasting and its further application system: Case studies in China	13
Forecasting stock return volatility using a robust regression model	12
Forecasting aggregate market volatility: The role of good and bad uncertainties	12
A hybrid model considering cointegration for interval‐valued pork price forecasting in China	12
Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect	12
Nowcasting world GDP growth with high‐frequency data	12
Predictive modeling of consumer color preference: Using retail data and merchandise images	12
Modeling of frequency containment reserve prices with econometrics and artificial intelligence	11
Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting	11
Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH‐MIDAS and deep learning models	11
Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work	11
Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump	10
Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models	10
Nonlinear inflation forecasting with recurrent neural networks	10
Forecasting mortality rates with the adaptive spatial temporal autoregressive model	9
Human resources and corporate failure prediction modeling: Evidence from Belgium	9
What can we learn from the return predictability over the business cycle?	9
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
Dendritic neuron model neural network trained by modified particle swarm optimization for time‐series forecasting	9
Forecasting Baden‐Württemberg's GDP growth: MIDAS regressions versus dynamic mixed‐frequency factor 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
Text‐based soybean futures price forecasting: A two‐stage deep learning approach	8
Application of Google Trends‐based sentiment index in exchange rate prediction	8
On stock volatility forecasting based on text mining and deep learning under high‐frequency data	8
Recession probabilities for the Eurozone at the zero lower bound: Challenges to the term spread and rise of alternatives	8
A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies	7
Dynamic VaR forecasts using conditional Pearson type IV distribution	7
Comprehensive commodity price forecasting framework using text mining methods	7
Random forest versus logit models: Which offers better early warning of fiscal stress?	7
Cryptocurrency exchanges: Predicting which markets will remain active	7
Distributional modeling and forecasting of natural gas prices	7
Combined water quality forecasting system based on multiobjective optimization and improved data decomposition integration strategy	7
Stock markets and exchange rate behavior of the BRICS	7
A dynamic scenario‐driven technique for stock price prediction and trading	7
Deep learning model for temperature prediction: A case study in New Delhi	7
Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach	7
Default return spread: A powerful predictor of crude oil price returns	6
Forecasting Bitcoin volatility: A new insight from the threshold regression model	6
Interpreting the prediction results of the tree‐based gradient boosting models for financial distress prediction with an explainable machine learning approach	6
Forecasting of intermittent demands under the risk of inventory obsolescence	6
Deep learning meets decision trees: An application of a heterogeneous deep forest approach in credit scoring for online consumer lending	6
Bayesian quantile forecasting via the realized hysteretic GARCH model	6
The reliability of geometric Brownian motion forecasts of S&P500 index values	6

Stochastic configuration network based on improved whale optimization algorithm for nonstationary time series prediction	6
Equity return predictability, its determinants, and profitable trading strategies	6
Forecasting inflation and output growth with credit‐card‐augmented Divisia monetary aggregates	6
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes	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
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	6
Forecasting US overseas travelling with univariate and multivariate models	6
Forecasting value at risk and expected shortfall using high‐frequency data of domestic and international stock markets	5
The prudential role of Basel III liquidity provisions towards financial stability	5
Forecasting value at risk and conditional value at risk using option market data	5
A comparative study of combining tree‐based feature selection methods and classifiers in personal loan default prediction	5
Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures	5
Can night trading sessions improve forecasting performance of gold futures' volatility in China?	5
Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach	5
Meta‐learning how to forecast time series	5
Power grid operation optimization and forecasting using a combined forecasting system	5
Forecasting financial vulnerability in the USA: A factor model approach	5
Neural network structure identification in inflation forecasting	5
Evaluating the OECD’s main economic indicators at anticipating recessions*	5
Fiscal transparency, fiscal forecasting and budget credibility in developing countries	5
A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes	5
Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses	5
ANN–polynomial–Fourier series modeling and Monte Carlo forecasting of tourism data	4
The mutual predictability of Bitcoin and web search dynamics	4
El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach	4
A dynamic performance evaluation of distress prediction models	4
Do sentiment indices always improve the prediction accuracy of exchange rates?	4
Predicting earnings management through machine learning ensemble classifiers	4
Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility	4
Forecasting nonperforming loans using machine learning	4
Parallel architecture of CNN‐bidirectional LSTMs for implied volatility forecast	4
Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach	4
The influence of policy uncertainty on exchange rate forecasting	4
Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning	4
Predicting customer churn using grey wolf optimization‐based support vector machine with principal component analysis	4
A new PM2.5 concentration forecasting system based on AdaBoost‐ensemble system with deep learning approach	4
Bayesian bilinear neural network for predicting the mid‐price dynamics in limit‐order book markets	4
What matters when developing oil price volatility forecasting frameworks?	3
How media content influences economic expectations: Evidence from a global expert survey	3
Withdrawal: “Bitcoin Futures, Technical Analysis and Return Predictability in Bitcoin Prices”: Andrei Shynkevich	3
Cryptocurrencies trading algorithms: A review	3
Forecasting volatility with outliers in Realized GARCH models	3
The global latent factor and international index futures returns predictability	3
Assessing liquidity‐adjusted risk forecasts	3
Forecasting inflation: The use of dynamic factor analysis and nonlinear combinations	3
Estimating the volatility of asset pricing factors	3
Application of machine learning techniques to predict entrepreneurial firm valuation	3
A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information	3
Interest rate uncertainty and the predictability of bank revenues	3
A large Bayesian VAR with a block‐specific shrinkage: A forecasting application for Italian industrial production	3
The effect of environment on housing prices: Evidence from the Google Street View	3
Modeling interval trendlines: Symbolic singular spectrum analysis for interval time series	3
Design of link prediction algorithm for complex network based on the comprehensive influence of predicting nodes and neighbor nodes	3
Forecasting exchange rates for Central and Eastern European currencies using country‐specific factors	3
An evolutionary cost‐sensitive support vector machine for carbon price trend forecasting	3
Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity	3
Worse than you think: Public debt forecast errors in advanced and developing economies	3
The value added of the Bank of Japan's range forecasts	3
Limited memory predictors based on polynomial approximation of periodic exponentials	3
The role of investor sentiment in forecasting housing returns in China: A machine learning approach	3
Convolution‐based filtering and forecasting: An application to WTI crude oil prices	3
Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility	3
Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting	3
Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years	3
Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model	3
Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises	3
Geopolitical risk and global financial cycle: Some forecasting experiments	3
Credit scoring prediction leveraging interpretable ensemble learning	3
State‐dependent evaluation of predictive ability	2
A hybrid forecasting model based on deep learning feature extraction and statistical arbitrage methods for stock trading strategies	2
Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations	2
Modeling credit risk with a multi‐stage hybrid model: An alternative statistical approach	2
Non‐linear mixed‐effects models for time series forecasting of smart meter demand	2
Recession forecasting with high‐dimensional data	2
Prediction of remaining time on site for e‐commerce users: A SOM and long short‐term memory study	2
Multistage optimization filter for trend‐based short‐term forecasting	2
Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis	2
Scheduled macroeconomic news announcements and Forex volatility forecasting	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
Subsampled factor models for asset pricing: The rise of Vasa	2
A retrospective analysis of Journal of Forecasting: From 1982 to 2019	2
Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions	2
Time‐varying trend models for forecasting inflation in Australia	2
Wind power prediction based on wind speed forecast using hidden Markov model	2
Policy uncertainty and stock market volatility revisited: The predictive role of signal quality	2
Forecasting real‐time economic activity using house prices and credit conditions	2
Spatial beta‐convergence forecasting models: Evidence from municipal homicide rates in Colombia	2
The tensor auto‐regressive model	2
Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model	2
Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts	2
Uncertainty and the predictability of stock returns	2
Nowcasting inflation with Lasso‐regularized vector autoregressions and mixed frequency data	2
Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market	2
Cross‐sectional return dispersion and stock market volatility: Evidence from high‐frequency data	2
Dynamic forecasting for nonstationary high‐frequency financial data with jumps based on series decomposition and reconstruction	2
Advances in forecasting: An introduction in light of the debate on inflation forecasting	2
A causal model for short‐term time series analysis to predict incoming Medicare workload	2
Bootstrap VAR forecasts: The effect of model uncertainties	2
Investigating the predictive ability of ONS big data‐based indicators	2
Forgetting approaches to improve forecasting	2
Forecasting housing investment	2
A new insight into combining forecasts for elections: The role of social media	2
Forecasting energy prices: Quantile‐based risk models	2
A state‐dependent linear recurrent formula with application to time series with structural breaks	2
Deep learning with regularized robust long‐ and short‐term memory network for probabilistic short‐term load forecasting	2
Forecasting sovereign risk in the Euro area via machine learning	1
Embedding the weather prediction errors (WPE) into the photovoltaic (PV) forecasting method using deep learning	1
Yield spread selection in predicting recession probabilities	1
The role of expectations for currency crisis dynamics—The case of the Turkish lira	1
Granger causality of bivariate stationary curve time series	1
Testing bias in professional forecasts	1
Forecasting realized volatility of crude oil futures prices based on machine learning	1
Corporate failure prediction using threshold‐based models	1
Macro‐financial effects of monetary policy easing	1
Local prediction pools	1
A deep learning model for online doctor rating prediction	1
Forecasting intraday financial time series with sieve bootstrapping and dynamic updating	1
Effective multi‐step ahead container throughput forecasting under the complex context	1
Forecasting air quality index considering socioeconomic indicators and meteorological factors: A data granularity perspective	1
The benefit of the Covid‐19 pandemic on global temperature projections	1
The ENSO cycle and forecastability of global inflation and output growth: Evidence from standard and mixed‐frequency multivariate singular spectrum analyses	1
Multiperiod default probability forecasting	1
Assessing components of uncertainty in demographic forecasts with an application to fiscal sustainability	1
Competition can help predict sales	1
Forecasting inflation in open economies: What can a NOEM model do?	1
A hybrid approach with step‐size aggregation to forecasting hierarchical time series	1
Forecast combination puzzle in the HAR model	1
A new model for forecasting VaR and ES using intraday returns aggregation	1
A classification application for using learning methods in bank costumer's portfolio churn	1
An approach to increasing forecast‐combination accuracy through VAR error modeling	1
Measuring multi‐volatility states of financial markets based on multifractal clustering model	1
A hybrid prediction model with time‐varying gain tracking differentiator in Taylor expansion: Evidence from precious metals	1
Electricity demand forecasting and risk management using Gaussian process model with error propagation	1
Optimal out‐of‐sample forecast evaluation under stationarity	1
Using a machine learning approach and big data to augment WASDE forecasts: Empirical evidence from US corn yield	1
Comparison of improved relevance vector machines for streamflow predictions	1
Forecasting asset returns with network‐based metrics: A statistical and economic analysis	1
Evaluating the predictive power of intraday technical trading in China's crude oil market	1
Firm dynamics and bankruptcy processes: A new theoretical model	1
A Siamese network framework for bank intelligent Q&A prediction	1
Trading cryptocurrencies using algorithmic average true range systems	1
A comparison of Range Value at Risk (RVaR) forecasting models	1
Stock market as a nowcasting indicator for real investment	1
Forecasting chlorophyll‐a concentration using empirical wavelet transform and support vector regression	1
A new recurrent pi‐sigma artificial neural network inspired by exponential smoothing feedback mechanism	1
Forecasting tourist flows in the COVID‐19 era using nonparametric mixed‐frequency VARs	1
Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage	1
Deep learning on mixed frequency data	1
Forecasting the production side of GDP	1
Can Brazilian Central Bank communication help to predict the yield curve?	1
Point and density forecasting of macroeconomic and financial uncertainties of the USA	1
Block bootstrap prediction intervals for parsimonious first‐order vector autoregression	1
Stock picking with machine learning	1
A multisource data‐driven combined forecasting model based on internet search keyword screening method for interval soybean futures price	1
Variable selection for classification and forecasting of the family firm's socioemotional wealth	1
Assessing the usefulness of survey‐based data in forecasting firms' capital formation: Evidence from Italy	1
	1
Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment	1
Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models	1
Forecasting financial markets with semantic network analysis in the COVID‐19 crisis	1
An investigation into the probability that this is the last year of the economic expansion	1
Mixed data sampling regression: Parameter selection of smoothed least squares estimator	1
Modeling and forecasting percent changes in national park visitation using social media	1
A new Markov regime‐switching count time series approach for forecasting initial public offering volumes and detecting issue cycles	1
Daily tourism forecasting through a novel method based on principal component analysis, grey wolf optimizer, and extreme learning machine	1
Electricity price forecasting using hybrid deep learned networks	1
Singular spectrum analysis for value at risk in stochastic volatility models	1