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
J.M. Matías, Juan C. Reboredo
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 ve...... hiện toàn bộ
Using the yield curve to forecast economic growth
Journal of Forecasting - Tập 39 Số 7 - Trang 1057-1080 - 2020
Parley Ruogu Yang
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 f...... hiện toàn bộ
Prediction uncertainty in an ecological model of the oosterschelde estuary
Journal of Forecasting - Tập 10 Số 1-2 - Trang 191-209 - 1991
O. Klepper, H. Schölten, J. P. G. De Van Kamer
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 sed...... hiện toàn bộ
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
Journal of Forecasting - Tập 32 Số 5 - Trang 385-394 - 2013
Lutz Kilian, Bruce L. Hicks
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 d...... hiện toàn bộ
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
František Čech, Jozef Baruník
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) m...... hiện toàn bộ
Improved methods of combining forecasts
Journal of Forecasting - Tập 3 Số 2 - Trang 197-204 - 1984
Clive W. J. Granger, R. Ramanathan
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...... hiện toàn bộ
Forecasting football results and the efficiency of fixed‐odds betting
Journal of Forecasting - Tập 23 Số 1 - Trang 51-66 - 2004
John Goddard, Ioannis Asimakopoulos
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...... hiện toàn bộ
Corporate financial distress prediction in a transition economy
Journal of Forecasting - Tập 43 Số 8 - Trang 3128-3160 - 2024
Minh Nguyen, Bang Nguyen, Minh‐Lý Liêu
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 emplo...... hiện toàn bộ
Rough sets bankruptcy prediction models versus auditor signalling rates
Journal of Forecasting - Tập 22 Số 8 - Trang 569-586 - 2003
Thomas E. McKee
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 ca...... hiện toàn bộ
Technological forecasting with nonlinear models
Journal of Forecasting - Tập 11 Số 3 - Trang 195-206 - 1992
Jack C. Lee, Kevin W. Lu, Shih‐Cheng Horng
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 pape...... hiện toàn bộ
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