Journal of Forecasting
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Forecasting Performance of Nonlinear Models for Intraday Stock Returns
Journal of Forecasting - Tập 31 Số 2 - Trang 172-188 - 2012
ABSTRACTWe studied the predictability of intraday stock market returns using
both linear and nonlinear time series models. For the S&P 500 index we compared
simple autoregressive and random walk linear models with a range of nonlinear
models, including smooth transition, Markov switching, artificial neural
network, nonparametric kernel regression and support vector machine models for
horizons of 5...
Using the yield curve to forecast economic growth
Journal of Forecasting - Tập 39 Số 7 - Trang 1057-1080 - 2020
AbstractThis paper finds the yield curve to have a well‐performing ability to
forecast the real gross domestic product growth in the USA, compared to
professional forecasters and time series models. Past studies have different
arguments concerning growth lags, structural breaks, and ultimately the ability
of the yield curve to forecast economic growth. This paper finds such results to
be dependent...
Prediction uncertainty in an ecological model of the oosterschelde estuary
Journal of Forecasting - 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 ...
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
Journal of Forecasting - 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....
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
Journal of Forecasting - Tập 36 Số 2 - Trang 181-206 - 2017
Recent 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)
model out...
Improved methods of combining forecasts
Journal of Forecasting - 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 ...
Forecasting football results and the efficiency of fixed‐odds betting
Journal of Forecasting - 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....
Rough sets bankruptcy prediction models versus auditor signalling rates
Journal of Forecasting - 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...
Technological forecasting with nonlinear models
Journal of Forecasting - Tập 11 Số 3 - Trang 195-206 - 1992
AbstractThe S‐shaped growth curves such as Gompertz, logistic, normal and
Weibuli are widely used for forecasting technological substitutions. A family of
data‐based transformed (DBT) models, which are linear in the regression
parameters, including the above‐mentioned four models as special cases has been
shown to be quite useful for short‐term forecasts. This paper explores modeling
the technolog...
Corporate financial distress prediction in a transition economy
Journal of Forecasting - Tập 43 Số 8 - Trang 3128-3160 - 2024
AbstractForecasting 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 employs seven different
models, includ...
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