Journal of Forecasting
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Corporate financial distress prediction in a transition economyAbstract Forecasting financial distress of corporations is a difficult task in economies undergoing transition, as data are scarce and are highly imbalanced. This research tackles these difficulties by gathering reliable financial distress data in the context of a transition economy and employing the synthetic minority oversampling technique (SMOTE). The study emplo... ... hiện toàn bộ
Journal of Forecasting - Tập 43 Số 8 - Trang 3128-3160 - 2024
A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized VolatilityTo forecast realized volatility, this paper introduces a multiplicative error model that incorporates heterogeneous components: weekly and monthly realized volatility measures. While the model captures the long‐memory property, estimation simply proceeds using quasi‐maximum likelihood estimation. This paper investigates its forecasting ability using the realized kernels of 34 different ass... ... hiện toàn bộ
Journal of Forecasting - Tập 34 Số 3 - Trang 209-219 - 2015
Modeling and forecasting commodity market volatility with long‐term economic and financial variablesAbstract This 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 ... ... hiện toàn bộ
Journal of Forecasting - Tập 39 Số 2 - Trang 126-142 - 2020
A detailed look at crude oil price volatility prediction using macroeconomic variablesAbstract We investigate whether crude oil price volatility is predictable by conditioning on macroeconomic variables. We consider a large number of predictors, take into account the possibility that relative predictive performance varies over the out‐of‐sample period, and shed light on the economic drivers of crude oil price volatility. Results using monthly data fr... ... hiện toàn bộ
Journal of Forecasting - Tập 39 Số 7 - Trang 1119-1141 - 2020
Forecasting football results and the efficiency of fixed‐odds bettingAbstract An 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... ... hiện toàn bộ
Journal of Forecasting - Tập 23 Số 1 - Trang 51-66 - 2004
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?ABSTRACT Recently 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 d... ... hiện toàn bộ
Journal of Forecasting - Tập 32 Số 5 - Trang 385-394 - 2013
Rough sets bankruptcy prediction models versus auditor signalling ratesAbstract Both 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 ca... ... hiện toàn bộ
Journal of Forecasting - Tập 22 Số 8 - Trang 569-586 - 2003
Adaptive modelling and forecasting of offshore wind power fluctuations with Markov‐switching autoregressive modelsABSTRACT Wind 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 (MSA... ... hiện toàn bộ
Journal of Forecasting - Tập 31 Số 4 - Trang 281-313 - 2012
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) ModelRecent multivariate extensions of the popular heterogeneous autoregressive model (HAR) for realized volatility leave substantial information unmodelled in residuals. We propose to employ a system of seemingly unrelated regressions to model and forecast a realized covariance matrix to capture this information. We find that the newly proposed generalized heterogeneous autoregressive (GHAR) m... ... hiện toàn bộ
Journal of Forecasting - Tập 36 Số 2 - Trang 181-206 - 2017
Prediction uncertainty in an ecological model of the oosterschelde estuaryAbstract A 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 sed... ... hiện toàn bộ
Journal of Forecasting - Tập 10 Số 1-2 - Trang 191-209 - 1991
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