Journal of Forecasting
SCOPUS (1982-2025)SSCI-ISI
0277-6693
1099-131X
Anh Quốc
Cơ quản chủ quản: WILEY , John Wiley and Sons Ltd
Lĩnh vực:
Computer Science ApplicationsManagement Science and Operations ResearchEconomics and EconometricsModeling and SimulationStatistics, Probability and UncertaintyStrategy and Management
Các bài báo tiêu biểu
Improved methods of combining forecasts
Tập 3 Số 2 - Trang 197-204 - 1984
AbstractIt is well known that a linear combination of forecasts can outperform
individual forecasts. The common practice, however, is to obtain a weighted
average of forecasts, with the weights adding up to unity. This paper considers
three alternative approaches to obtaining linear combinations. It is shown that
the best method is to add a constant term and not to constrain the weights to
add to ...
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
Tập 32 Số 5 - Trang 385-394 - 2013
ABSTRACTRecently developed structural models of the global crude oil market
imply that the surge in the real price of oil between mid 2003 and mid 2008 was
driven by repeated positive shocks to the demand for all industrial commodities,
reflecting unexpectedly high growth mainly in emerging Asia. We evaluate this
proposition using an alternative data source and a different econometric
methodology....
From forecasting to foresight processes—new participative foresight activities in Germany
Tập 22 Số 2-3 - Trang 93-111 - 2003
AbstractThe definitions of forecasting vary to a certain extent, but they all
have the view into the future in common. The future is unknown, but the broad,
general directions can be guessed at and reasonably dealt with. Foresight goes
further than forecasting, including aspects of networking and the preparation of
decisions concerning the future. This is one reason why, in the 1990s, when
foresig...
Estimation procedures for structural time series models
Tập 9 Số 2 - Trang 89-108 - 1990
AbstractA univariate structural time series model based on the traditional
decomposition into trend, seasonal and irregular components is defined. A number
of methods of computing maximum likelihood estimators are then considered. These
include direct maximization of various time domain likelihood function. The
asymptotic properties of the estimators are given and a comparison between the
various ...
The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach
Tập 32 Số 7 - Trang 600-612 - 2013
ABSTRACTThis paper applies the GARCH‐MIDAS (mixed data sampling) model to
examine whether information contained in macroeconomic variables can help to
predict short‐term and long‐term components of the return variance. A principal
component analysis is used to incorporate the information contained in different
variables. Our results show that including low‐frequency macroeconomic
information in th...
Forecasting football results and the efficiency of fixed‐odds betting
Tập 23 Số 1 - Trang 51-66 - 2004
AbstractAn ordered probit regression model estimated using 10 years' data is
used to forecast English league football match results. As well as past match
results data, the significance of the match for end‐of‐season league outcomes,
the involvement of the teams in cup competition and the geographical distance
between the two teams' home towns all contribute to the forecasting model's
performance....
Adaptive modelling and forecasting of offshore wind power fluctuations with Markov‐switching autoregressive models
Tập 31 Số 4 - Trang 281-313 - 2012
ABSTRACTWind power production data at temporal resolutions of a few minutes
exhibit successive periods with fluctuations of various dynamic nature and
magnitude, which cannot be explained (so far) by the evolution of some
explanatory variable. Our proposal is to capture this regime‐switching behaviour
with an approach relying on Markov‐switching autoregressive (MSAR) models. An
appropriate paramet...
Rough sets bankruptcy prediction models versus auditor signalling rates
Tập 22 Số 8 - Trang 569-586 - 2003
AbstractBoth international and US auditing standards require auditors to
evaluate the risk of bankruptcy when planning an audit and to modify their audit
report if the bankruptcy risk remains high at the conclusion of the audit.
Bankruptcy prediction is a problematic issue for auditors as the development of
a cause–effect relationship between attributes that may cause or be related to
bankruptcy a...
Prediction uncertainty in an ecological model of the oosterschelde estuary
Tập 10 Số 1-2 - Trang 191-209 - 1991
AbstractA storm surge barrier was constructed in 1987 in the Oosterschelde
estuary in the south‐western delta of Holland to provide protection from
flooding, while largely maintaining the tidal characteristics of the estuary.
Despite efforts to minimize the hydraulic changes resulting from the barrage, it
was expected that exchange with the North Sea, suspended sediment concentration
and nutrient ...
Modeling and forecasting commodity market volatility with long‐term economic and financial variables
Tập 39 Số 2 - Trang 126-142 - 2020
AbstractThis paper investigates the time‐varying volatility patterns of some
major commodities as well as the potential factors that drive their long‐term
volatility component. For this purpose, we make use of a recently proposed
generalized autoregressive conditional heteroskedasticity–mixed data sampling
approach, which typically allows us to examine the role of economic and
financial variables ...