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Journal of Forecasting

Short Title: J. Forecast.
Publisher: Wiley (Wiley-Blackwell), Chichester
ISSN: 0277-6693; 1099-131X/e
Online: http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1099-131X/issues
Comments: Journal
Documents Indexed: 317 Publications (since 2010)
References Indexed: 90 Publications with 2,891 References.
all top 5

Authors

6 O’Hare, Colin
4 Gupta, Rangan
3 Baltagi, Badi H.
3 Chan, Ngai Hang
3 Costantini, Mauro
3 Herwartz, Helmut
3 Karathanasopoulos, Andreas
3 Kouassi, Eugene
3 Madsen, Henrik O.
3 Marcellino, Massimiliano
3 Mazzi, Gian Luigi
3 Pantelous, Athanasios A.
3 Sermpinis, Georgios
3 Tsay, Ruey S.
2 Asai, Manabu
2 Biswas, Atanu
2 Caldeira, João F.
2 Chen, Yiting
2 Crespo Cuaresma, Jesús
2 Ferrara, Laurent
2 Frale, Cecilia
2 Franses, Philip Hans
2 French, Declan
2 García-Ferrer, Antonio
2 Gerlach, Richard H.
2 Härdle, Wolfgang Karl
2 Hecq, Alain W.
2 Jun, Duk Bin
2 Kabundi, Alain
2 Kaçıranlar, Selahattin
2 Kholodilin, Konstantin A.
2 Kolsrud, Dag Olaf
2 Kunst, Robert M.
2 Kymn, Kern O.
2 Li, Han
2 Li, Hui
2 Liu, Long
2 Lo, Chia Chun
2 Maiti, Raju
2 McElroy, Tucker S.
2 McGroarty, Frank
2 McMillan, David G.
2 Nyberg, Henri
2 Pan, Zhiyuan
2 Panopoulou, Ekaterini
2 Peel, David A.
2 Polanski, Arnold
2 Proietti, Tommaso
2 Ravazzolo, Francesco
2 Rua, António
2 Sango, Joel
2 Seklecka, Malgorzata
2 Skindilias, Konstantinos
2 So, Mike K. P.
2 Sogiakas, Vasilios
2 Stoja, Evarist
2 Sun, Jie
2 Tang, Ling
2 Teubissi, Francis N.
2 Theofilatos, Konstantinos
2 Ullah, Wali
2 Vahid, Farshid
2 von Mettenheim, Hans-Jörg
2 von Spreckelsen, Christian
2 Wang, Yudong
2 Wei, Yu
2 Wu, Chongfeng
2 Yu, Lean
1 Abraham, Bovas
1 Ahmad, Ghufran
1 Ahmad, Nursilah
1 Ahumada, Hildegart A.
1 Alberto, Isolina
1 Alsayed, Hamad
1 Amemiya, Yasuo
1 Amendola, Alessandra
1 Ames, Matthew
1 Amor, Souhir Ben
1 An, Yang
1 Andersson, Michael K.
1 Aneiros-Pérez, Germán
1 Angelini, Giovanni
1 Angers, Jean-François
1 Apergis, Nicholas
1 Aranki, Ted
1 Araujo, Gustavo
1 Ardia, David
1 Aretz, Kevin
1 Argyropoulos, Christos
1 Artis, Michael J.
1 Ashiya, Masahiro
1 Ashraf, Dawood
1 Baesens, Bart
1 Baetje, Fabian
1 Baghestani, Hamid
1 Bagnarosa, Guillaume
1 Bai, Lan
1 Ban, Masataka
1 Barakchian, S. Mahdi
1 Bårdsen, Gunnar
...and 549 more Authors

Publications by Year

Citations contained in zbMATH Open

162 Publications have been cited 717 times in 619 Documents Cited by Year
Particle filters and Bayesian inference in financial econometrics. Zbl 1217.91146
Lopes, Hedibert F.; Tsay, Ruey S.
26
2011
Hierarchical shrinkage in time-varying parameter models. Zbl 1397.62090
Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris
17
2014
Robust forecasting with exponential and Holt-Winters smoothing. Zbl 1203.62164
Gelper, Sarah; Fried, Roland; Croux, Christophe
16
2010
Forecasting UK industrial production with multivariate singular spectrum analysis. Zbl 1397.62330
Hassani, Hossein; Heravi, Saeed; Zhigljavsky, Anatoly
15
2013
Combining inflation density forecasts. Zbl 1204.91092
Kascha, Christian; Ravazzolo, Francesco
12
2010
Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes. Zbl 1217.91140
Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas
10
2011
Long memory of financial time series and hidden Markov models with time-varying parameters. Zbl 1397.60104
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
9
2017
Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models. Zbl 1397.62567
Pinson, Pierre; Madsen, Henrik
8
2012
Time series of zero-inflated counts and their coherent forecasting. Zbl 1397.62315
Maiti, Raju; Biswas, Atanu; Das, Samarjit
7
2015
Dynamic probit models and financial variables in recession forecasting. Zbl 1204.91100
Nyberg, Henri
7
2010
Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights. Zbl 1204.91111
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno
7
2010
PARX model for football match predictions. Zbl 1397.62088
Angelini, Giovanni; De Angelis, Luca
6
2017
Functional methods for time series prediction: a nonparametric approach. Zbl 1217.91138
Aneiros-Pérez, Germán; Cao, Ricardo; Vilar-Fernández, Juan M.
6
2011
Incorporating higher moments into value-at-risk forecasting. Zbl 1204.91103
Polanski, Arnold; Stoja, Evarist
6
2010
Bootstrap prediction bands for forecast paths from vector autoregressive models. Zbl 1248.62166
Staszewska-Bystrova, Anna
6
2011
Bayesian forecasting for financial risk management, pre and post the global financial crisis. Zbl 1397.91594
Chen, Cathy W. S.; Gerlach, Richard; Lin, Edward M. H.; Lee, W. C. W.
5
2012
Estimation and forecasting of locally stationary processes. Zbl 1397.62319
Palma, Wilfredo; Olea, Ricardo; Ferreira, Guillermo
5
2013
Quantile double AR time series models for financial returns. Zbl 1397.62400
Cai, Yuzhi; Montes-Rojas, Gabriel; Olmo, Jose
5
2013
Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models. Zbl 1397.91508
Groß-Llußmann, Axel; Hautsch, Nikolaus
5
2013
Ultra-high-frequency algorithmic arbitrage across international index futures. Zbl 1397.62500
Alsayed, Hamad; McGroarty, Frank
5
2014
Forecasting VaR models under different volatility processes and distributions of return innovations. Zbl 1397.91597
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias
5
2014
Estimating and forecasting large panels of volatilities with approximate dynamic factor models. Zbl 1397.62555
Luciani, Matteo; Veredas, David
5
2015
Nonlinear identification of judgmental forecasts effects at SKU level. Zbl 1219.91111
Trapero, Juan R.; Fildes, Robert; Davydenko, Andrey
5
2011
Two-dimensional kernel smoothing of mortality surface: an evaluation of cohort strength. Zbl 1376.62065
Li, Han; O’Hare, Colin; Vahid, Farshid
5
2016
A decision rule to minimize daily capital charges in forecasting value-at-risk. Zbl 1204.91099
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez-Amaral, Teodosio
5
2010
Modeling compositional time series with vector autoregressive models. Zbl 1376.62105
Kynčlová, Petra; Filzmoser, Peter; Hron, Karel
5
2015
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Zbl 1397.62410
Exterkate, Peter; van Dijk, Dick; Heij, Christiaan; Groenen, Patrick J. F.
4
2013
Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting. Zbl 1397.91598
Gerlach, Richard; Lu, Zudi; Huang, Hai
4
2013
Forecasting mixed-frequency time series with ECM-MIDAS models. Zbl 1397.62306
Götz, Thomas B.; Hecq, Alain; Urbain, Jean-Pierre
4
2014
How to finance pensions: optimal strategies for pay-as-you-go pension systems. Zbl 1397.62533
Godínez-Olivares, Humberto; del Carmen Boado-Penas, María; Pantelous, Athanasios A.
4
2016
On the modelling and forecasting of multivariate realized volatility: generalized heterogeneous autoregressive (GHAR) model. Zbl 1397.62403
Čech, František; Baruník, Jozef
4
2017
Forecasting intraday S&P 500 index returns: a functional time series approach. Zbl 1397.62572
Shang, Han Lin
4
2017
A wavelet approach for factor-augmented forecasting. Zbl 1225.91049
Rua, António
4
2011
Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators. Zbl 1204.91101
Ozyildirim, Ataman; Schaitkin, Brian; Zarnowitz, Victor
4
2010
Do experts’ adjustments on model-based SKU-level forecasts improve forecast quality? Zbl 1204.91090
Franses, Philip Hans; Legerstee, Rianne
4
2010
Forecasting volatility with support vector machine-based GARCH model. Zbl 1205.91172
Chen, Shiyi; Härdle, Wolfgang K.; Jeong, Kiho
4
2010
New evidence on the relation between return volatility and trading volume. Zbl 1204.91087
Chiang, Thomas C.; Qiao, Zhuo; Wong, Wing-Keung
4
2010
Predicting the direction of the Fed’s target rate. Zbl 1397.62343
Kauppi, Heikki
3
2012
Forecasting performance of nonlinear models for intraday stock returns. Zbl 1397.62427
Matías, José M.; Reboredo, Juan C.
3
2012
Real-time forecasts of inflation: the role of financial variables. Zbl 1397.62560
Monteforte, Libero; Moretti, Gianluca
3
2013
Using CAViaR models with implied volatility for value-at-risk estimation. Zbl 1397.91602
Jeon, Jooyoung; Taylor, James W.
3
2013
A dynamic factor approach to mortality modeling. Zbl 1397.91283
French, Declan; O’Hare, Colin
3
2013
Forecasting simultaneously high-dimensional time series: a robust model-based clustering approach. Zbl 1397.62235
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; Shrestha, Keshab M.
3
2013
Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts? Zbl 1397.62439
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa
3
2013
Inflation and unemployment forecasting with genetic support vector regression. Zbl 1397.62351
Sermpinis, Georgios; Stasinakis, Charalampos; Theofilatos, Konstantinos; Karathanasopoulos, Andreas
3
2014
Forecasting daily variations of stock index returns with a multifractal model of realized volatility. Zbl 1397.62422
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina
3
2014
A quantile regression approach to equity premium prediction. Zbl 1397.62429
Meligkotsidou, Loukia; Panopoulou, Ekaterini; Vrontos, Ioannis D.; Vrontos, Spyridon D.
3
2014
Improving forecast of binary rare events data: a GAM-based approach. Zbl 1397.62334
Calabrese, Raffaella; Osmetti, Silvia Angela
3
2015
Improvement of the Liu-type Shiller estimator for distributed lag models. Zbl 1397.62318
Özbay, Nimet; Kaçıranlar, Selahattin
3
2017
A test of the joint efficiency of macroeconomic forecasts using multivariate random forests. Zbl 1397.62507
Behrens, Christoph; Pierdzioch, Christian; Risse, Marian
3
2018
A new parsimonious recurrent forecasting model in singular spectrum analysis. Zbl 1398.62241
Mahmoudvand, Rahim; Rodrigues, Paulo Canas
3
2018
Value-at-risk under market shifts through highly flexible models. Zbl 1414.91419
BenSaïda, Ahmed; Boubaker, Sabri; Nguyen, Duc Khuong; Slim, Skander
3
2018
Forecasting private consumption: survey-based indicators vs. Google Trends. Zbl 1226.91047
Vosen, Simeon; Schmidt, Torsten
3
2011
Business failure prediction using decision trees. Zbl 1204.91091
Gepp, Adrian; Kumar, Kuldeep; Bhattacharya, Sukanto
3
2010
Bias-corrected bootstrap prediction intervals for autoregressive model: New alternatives with applications to tourism forecasting. Zbl 1203.62166
Kim, Jae H.; Song, Haiyan; Wong, Kevin K. F.
3
2010
Testing for common autocorrelation in data-rich environments. Zbl 1211.91196
Cubadda, Gianluca; Hecq, Alain
3
2011
A simple linear regression approach to modeling and forecasting mortality rates. Zbl 1365.62478
Lin, Tzuling; Tsai, Cary Chi-Liang
2
2015
Term structure forecasting: no-arbitrage restrictions versus large information set. Zbl 1397.91582
Favero, Carlo A.; Niu, Linlin; Sala, Luca
2
2012
Forecast combination and Bayesian model averaging: a prior sensitivity analysis. Zbl 1397.62338
Feldkircher, Martin
2
2012
Signal extraction and forecasting of the UK tourism income time series: a singular spectrum analysis approach. Zbl 1397.62508
Beneki, Christina; Eeckels, Bruno; Leon, Costas
2
2012
Multivariate GARCH models with correlation clustering. Zbl 1397.62573
So, Mike K. P.; Yip, Iris W. H.
2
2012
Heterogeneous asymmetric dynamic conditional correlation model with stock return and range. Zbl 1397.62295
Asai, Manabu
2
2013
Predicting recessions with factor linear dynamic harmonic regressions. Zbl 1397.62512
Bujosa, Marcos; García-Ferrer, Antonio; De Juan, Aránzazu
2
2013
How informative are the subjective density forecasts of macroeconomists? Zbl 1397.62548
Kenny, Geoff; Kostka, Thomas; Masera, Federico
2
2014
Estimating and forecasting APARCH-skew-\(t\) model by wavelet support vector machines. Zbl 1397.62420
Li, Yushu
2
2014
Stock market simulation using support vector machines. Zbl 1397.68157
Rosillo, Rafael; Giner, Javier; de la Fuente, David
2
2014
Predictable return distributions. Zbl 1397.62321
Pedersen, Thomas Q.
2
2015
The predictive performance evaluation of biased regression predictors with correlated errors. Zbl 1397.62337
Dawoud, Issam; Kaçiranlar, Selahattin
2
2015
On the benefits of equicorrelation for portfolio allocation. Zbl 1397.62205
Clements, Adam; Scott, Ayesha; Silvennoinen, Annastiina
2
2015
Ensemble forecasting for complex time series using sparse representation and neural networks. Zbl 1397.62326
Yu, Lean; Zhao, Yang; Tang, Ling
2
2017
Modeling and forecasting online auction prices: a semiparametric regression analysis. Zbl 1397.91248
Chan, Ngai Hang; Liu, Wei Wei
2
2017
A flexible functional form approach to mortality modeling: do we need additional cohort dummies? Zbl 1397.33009
Li, Han; O’Hare, Colin; Vahid, Farshid
2
2017
An inhomogeneous hidden Markov model for efficient virtual machine placement in cloud computing environments. Zbl 1397.68009
Hammer, Hugo Lewi; Yazidi, Anis; Begnum, Kyrre
2
2017
Time-varying parameter realized volatility models. Zbl 1397.62161
Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng
2
2017
Backtesting value-at-risk: a generalized Markov test. Zbl 1397.62285
Pajhede, Thor
2
2017
Robust estimation of conditional variance of time series using density power divergences. Zbl 1397.62320
Park, Jin-Hong; Sriram, T. N.
2
2017
The impact of parameter and model uncertainty on market risk predictions from GARCH-type models. Zbl 1397.62294
Ardia, David; Kolly, Jeremy; Trottier, Denis-Alexandre
2
2017
Volatility forecasting of crude oil market: a new hybrid method. Zbl 1414.62507
Zhang, Yue-Jun; Zhang, Jin-Liang
2
2018
Forecasting time-varying covariance with a robust Bayesian threshold model. Zbl 1219.91113
Wu, Chih-Chiang; Lee, Jack C.
2
2011
A nonparametric method for asymmetrically extending signal extraction filters. Zbl 1225.91052
McElroy, Tucker
2
2011
Prediction in a generalized spatial panel data model with serial correlation. Zbl 1381.62087
Baltagi, Badi H.; Liu, Long
2
2016
An adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear energy price time series forecasting. Zbl 1376.62122
Zhu, Bangzhu; Shi, Xuetao; Chevallier, Julien; Wang, Ping; Wei, Yi-Ming
2
2016
Inference for regression models with errors from a non-invertible MA(1) process. Zbl 1217.91141
Chen, Mei-Ching; Davis, Richard A.; Song, Li
2
2011
Gauss, Kalman and advances in recursive parameter estimation. Zbl 1217.91151
Young, Peter C.
2
2011
New proposals for the quantification of qualitative survey data. Zbl 1217.91147
Proietti, Tommaso; Frale, Cecilia
2
2011
Survey data as coincident or leading indicators. Zbl 1205.91128
Frale, Cecilia; Marcellino, Massimiliano; Mazzi, Gian Luigi; Proietti, Tommaso
2
2010
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area. Zbl 1205.91137
Billio, Monica; Casarin, Roberto
2
2010
GDP nowcasting with ragged-edge data: a semi-parametric modeling. Zbl 1205.91127
Ferrara, Laurent; Guégan, Dominique; Rakotomarolahy, Patrick
2
2010
Nowcasting from disaggregates in the face of location shifts. Zbl 1205.91126
Castle, Jennifer L.; Hendry, David F.
2
2010
Do professional forecasters believe in the Phillips curve? Evidence from the G7 countries. Zbl 1208.91109
Fendel, Ralf; Lis, Eliza M.; Rülke, Jan-Christoph
2
2011
Forecasting inflation rates using daily data: a nonparametric MIDAS approach. Zbl 1365.62402
Breitung, Jörg; Roling, Christoph
1
2015
Semiparametric forecast intervals. Zbl 1397.62354
Wu, Jason J.
1
2012
Daily FX volatility forecasts: can the GARCH(1,1) model be beaten using high-frequency data? Zbl 1397.62428
McMillan, David G.; Speight, Alan E. H.
1
2012
A study of value-at-risk based on M-estimators of the conditional heteroscedastic models. Zbl 1397.91601
Iqbal, Farhat; Mukherjee, Kanchan
1
2012
Price-dividend ratios and stock price predictability. Zbl 1397.62577
Wu, Jyh-Lin; Hu, Yu-Hau
1
2012
Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting? Zbl 1397.62349
Nyholm, Ken; Vidova-Koleva, Rositsa
1
2012
Optimal hedge ratio estimation and effectiveness using ARCD. Zbl 1397.62418
Kostika, Eleftheria; Markellos, Raphael N.
1
2013
A meta-learning framework for bankruptcy prediction. Zbl 1397.91012
Tsai, Chih-Fong; Hsu, Yu-Feng
1
2013
Forecasting temperature indices density with time-varying long-memory models. Zbl 1397.62402
Caporin, Massimiliano; Preś, Juliusz
1
2013
On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction. Zbl 1397.62309
Herwartz, Helmut
1
2013
Forecasting stock return volatility using a robust regression model. Zbl 1479.62084
He, Mengxi; Hao, Xianfeng; Zhang, Yaojie; Meng, Fanyi
1
2021
Interest rates forecasting: between hull and white and the CIR# – how to make a single-factor model work. Zbl 1476.62226
Orlando, Giuseppe; Bufalo, Michele
1
2021
Mortality effects of economic fluctuations in selected eurozone countries. Zbl 1414.62423
Seklecka, Malgorzata; Lazam, Norazliani Md.; Pantelous, Athanasios A.; O’Hare, Colin
1
2019
A test of the joint efficiency of macroeconomic forecasts using multivariate random forests. Zbl 1397.62507
Behrens, Christoph; Pierdzioch, Christian; Risse, Marian
3
2018
A new parsimonious recurrent forecasting model in singular spectrum analysis. Zbl 1398.62241
Mahmoudvand, Rahim; Rodrigues, Paulo Canas
3
2018
Value-at-risk under market shifts through highly flexible models. Zbl 1414.91419
BenSaïda, Ahmed; Boubaker, Sabri; Nguyen, Duc Khuong; Slim, Skander
3
2018
Volatility forecasting of crude oil market: a new hybrid method. Zbl 1414.62507
Zhang, Yue-Jun; Zhang, Jin-Liang
2
2018
Direct multiperiod forecasting for algorithmic trading. Zbl 1397.62344
Kawakatsu, Hiroyuki
1
2018
Forecasting realized volatility of oil futures market: a new insight. Zbl 1397.62423
Ma, Feng; Wei, Yu; Liu, Li; Huang, Dengshi
1
2018
What does the tail of the distribution of current stock prices tell us about future economic activity? Zbl 1397.62440
Vicente, José; Araujo, Gustavo
1
2018
Predicting crypto-currencies using sparse non-Gaussian state space models. Zbl 1397.62540
Hotz-Behofsits, Christian; Huber, Florian; Zörner, Thomas Otto
1
2018
Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates. Zbl 1397.62407
Choi, Ji-Eun; Shin, Dong Wan
1
2018
Robust forecast aggregation: Fourier \(L_2E\) regression. Zbl 1398.62254
Cross, Daniel; Ramos, Jaime; Mellers, Barbara; Tetlock, Philip E.; Scott, David W.
1
2018
Volatility spillover from the US to international stock markets: a heterogeneous volatility spillover GARCH model. Zbl 1400.62241
Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng
1
2018
Long memory of financial time series and hidden Markov models with time-varying parameters. Zbl 1397.60104
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
9
2017
PARX model for football match predictions. Zbl 1397.62088
Angelini, Giovanni; De Angelis, Luca
6
2017
On the modelling and forecasting of multivariate realized volatility: generalized heterogeneous autoregressive (GHAR) model. Zbl 1397.62403
Čech, František; Baruník, Jozef
4
2017
Forecasting intraday S&P 500 index returns: a functional time series approach. Zbl 1397.62572
Shang, Han Lin
4
2017
Improvement of the Liu-type Shiller estimator for distributed lag models. Zbl 1397.62318
Özbay, Nimet; Kaçıranlar, Selahattin
3
2017
Ensemble forecasting for complex time series using sparse representation and neural networks. Zbl 1397.62326
Yu, Lean; Zhao, Yang; Tang, Ling
2
2017
Modeling and forecasting online auction prices: a semiparametric regression analysis. Zbl 1397.91248
Chan, Ngai Hang; Liu, Wei Wei
2
2017
A flexible functional form approach to mortality modeling: do we need additional cohort dummies? Zbl 1397.33009
Li, Han; O’Hare, Colin; Vahid, Farshid
2
2017
An inhomogeneous hidden Markov model for efficient virtual machine placement in cloud computing environments. Zbl 1397.68009
Hammer, Hugo Lewi; Yazidi, Anis; Begnum, Kyrre
2
2017
Time-varying parameter realized volatility models. Zbl 1397.62161
Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng
2
2017
Backtesting value-at-risk: a generalized Markov test. Zbl 1397.62285
Pajhede, Thor
2
2017
Robust estimation of conditional variance of time series using density power divergences. Zbl 1397.62320
Park, Jin-Hong; Sriram, T. N.
2
2017
The impact of parameter and model uncertainty on market risk predictions from GARCH-type models. Zbl 1397.62294
Ardia, David; Kolly, Jeremy; Trottier, Denis-Alexandre
2
2017
Treed avalanche forecasting: mitigating avalanche danger utilizing Bayesian additive regression trees. Zbl 1397.62101
Blattenberger, Gail; Fowles, Richard
1
2017
Bayesian forecasting for time series of categorical data. Zbl 1397.62293
Angers, Jean-François; Biswas, Atanu; Maiti, Raju
1
2017
On the predictive information of futures’ prices: a wavelet-based assessment. Zbl 1397.62414
Herwartz, Helmut; Schlüter, Stephan
1
2017
Forecasting inflation across Euro area countries and sectors: a panel VAR approach. Zbl 1397.62525
Dées, Stéphane; Güntner, Jochen
1
2017
Mincer-Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions. Zbl 1397.62267
Guler, Kemal; Ng, Pin T.; Xiao, Zhijie
1
2017
Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions. Zbl 1397.62113
Nonejad, Nima
1
2017
On assessing the relative performance of default predictions. Zbl 1397.62552
Krämer, Walter
1
2017
Prediction of \(\alpha\)-stable GARCH and ARMA-GARCH-M models. Zbl 1397.62316
Mohammadi, Mohammad
1
2017
Two-dimensional kernel smoothing of mortality surface: an evaluation of cohort strength. Zbl 1376.62065
Li, Han; O’Hare, Colin; Vahid, Farshid
5
2016
How to finance pensions: optimal strategies for pay-as-you-go pension systems. Zbl 1397.62533
Godínez-Olivares, Humberto; del Carmen Boado-Penas, María; Pantelous, Athanasios A.
4
2016
Prediction in a generalized spatial panel data model with serial correlation. Zbl 1381.62087
Baltagi, Badi H.; Liu, Long
2
2016
An adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear energy price time series forecasting. Zbl 1376.62122
Zhu, Bangzhu; Shi, Xuetao; Chevallier, Julien; Wang, Ping; Wei, Yi-Ming
2
2016
Adaptive evolutionary neural networks for forecasting and trading without a data-snooping bias. Zbl 1397.62362
Sermpinis, Georgios; Verousis, Thanos; Theofilatos, Konstantinos
1
2016
Forecasting latent volatility through a Markov chain approximation filter. Zbl 1397.62521
Lo, Chia Chun; Skindilias, Konstantinos; Karathanasopoulos, Andreas
1
2016
Forecasting government bond yields with neural networks considering cointegration. Zbl 1397.62575
Wegener, Christoph; von Spreckelsen, Christian; Basse, Tobias; von Mettenheim, Hans-Jörg
1
2016
Forecasting elections. Zbl 1397.62353
Williams, Leighton Vaughan; Reade, J. James
1
2016
Estimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach. Zbl 1397.62413
Hambuckers, Julien; Heuchenne, Cédric
1
2016
Probabilistic forecasts of wind power generation by stochastic differential equation models. Zbl 1378.62138
Kloppenborg Møller, Jan; Zugno, Marco; Madsen, Henrik
1
2016
The role of momentum, sentiment, and economic fundamentals in forecasting bear stock market. Zbl 1376.62057
Chen, Yi-Ting; Vincent, Kendro
1
2016
Lasso-type penalties for covariate selection and forecasting in time series. Zbl 1378.62074
Konzen, Evandro; Ziegelmann, Flavio A.
1
2016
Forecasting errors, directional accuracy and profitability of currency trading: the case of EUR/USD exchange rate. Zbl 1376.62100
Costantini, Mauro; Cuaresma, Jesus Crespo; Hlouskova, Jaroslava
1
2016
Factor models of stock returns: GARCH errors versus time-varying betas. Zbl 1376.62064
Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; Samartzis, Panagiotis
1
2016
Time series of zero-inflated counts and their coherent forecasting. Zbl 1397.62315
Maiti, Raju; Biswas, Atanu; Das, Samarjit
7
2015
Estimating and forecasting large panels of volatilities with approximate dynamic factor models. Zbl 1397.62555
Luciani, Matteo; Veredas, David
5
2015
Modeling compositional time series with vector autoregressive models. Zbl 1376.62105
Kynčlová, Petra; Filzmoser, Peter; Hron, Karel
5
2015
Improving forecast of binary rare events data: a GAM-based approach. Zbl 1397.62334
Calabrese, Raffaella; Osmetti, Silvia Angela
3
2015
A simple linear regression approach to modeling and forecasting mortality rates. Zbl 1365.62478
Lin, Tzuling; Tsai, Cary Chi-Liang
2
2015
Predictable return distributions. Zbl 1397.62321
Pedersen, Thomas Q.
2
2015
The predictive performance evaluation of biased regression predictors with correlated errors. Zbl 1397.62337
Dawoud, Issam; Kaçiranlar, Selahattin
2
2015
On the benefits of equicorrelation for portfolio allocation. Zbl 1397.62205
Clements, Adam; Scott, Ayesha; Silvennoinen, Annastiina
2
2015
Forecasting inflation rates using daily data: a nonparametric MIDAS approach. Zbl 1365.62402
Breitung, Jörg; Roling, Christoph
1
2015
Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Zbl 1397.62398
Amendola, Alessandra; Storti, Giuseppe
1
2015
Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance. Zbl 1397.62426
Massacci, Daniele
1
2015
Measuring disagreement in qualitative expectations. Zbl 1397.62019
Mokinski, Frieder; Sheng, Xuguang (Simon); Yang, Jingyun
1
2015
Self-restraining Bass models. Zbl 1397.91377
Liang, Xiaoying; Xie, Lei; Yan, Houmin
1
2015
Hierarchical shrinkage in time-varying parameter models. Zbl 1397.62090
Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris
17
2014
Ultra-high-frequency algorithmic arbitrage across international index futures. Zbl 1397.62500
Alsayed, Hamad; McGroarty, Frank
5
2014
Forecasting VaR models under different volatility processes and distributions of return innovations. Zbl 1397.91597
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias
5
2014
Forecasting mixed-frequency time series with ECM-MIDAS models. Zbl 1397.62306
Götz, Thomas B.; Hecq, Alain; Urbain, Jean-Pierre
4
2014
Inflation and unemployment forecasting with genetic support vector regression. Zbl 1397.62351
Sermpinis, Georgios; Stasinakis, Charalampos; Theofilatos, Konstantinos; Karathanasopoulos, Andreas
3
2014
Forecasting daily variations of stock index returns with a multifractal model of realized volatility. Zbl 1397.62422
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina
3
2014
A quantile regression approach to equity premium prediction. Zbl 1397.62429
Meligkotsidou, Loukia; Panopoulou, Ekaterini; Vrontos, Ioannis D.; Vrontos, Spyridon D.
3
2014
How informative are the subjective density forecasts of macroeconomists? Zbl 1397.62548
Kenny, Geoff; Kostka, Thomas; Masera, Federico
2
2014
Estimating and forecasting APARCH-skew-\(t\) model by wavelet support vector machines. Zbl 1397.62420
Li, Yushu
2
2014
Stock market simulation using support vector machines. Zbl 1397.68157
Rosillo, Rafael; Giner, Javier; de la Fuente, David
2
2014
In-sample and out-of-sample prediction of stock market bubbles: cross-sectional evidence. Zbl 1397.62538
Herwartz, Helmut; Kholodilin, Konstantin A.
1
2014
Monthly employment indicators of the euro area and larger member states: real-time analysis of indirect estimates. Zbl 1397.91510
Moauro, Filippo
1
2014
Forecasting the term structure when short-term rates are near zero. Zbl 1397.91584
Steeley, James M.
1
2014
The forecasting performance of a finite mixture regime-switching model for daily electricity prices. Zbl 1397.62517
Chen, Dipeng; Bunn, Derek
1
2014
Multivariate time series model with hierarchical structure for over-dispersed discrete outcomes. Zbl 1397.62241
Terui, Nobuhiko; Ban, Masataka
1
2014
Real-time pricing and hedging of options on currency futures with artificial neural networks. Zbl 1397.91580
von Spreckelsen, Christian; von Mettenheim, Hans-Jörg; Breitner, Michael H.
1
2014
Modelling and trading the Greek stock market with gene expression and genetic programing algorithms. Zbl 1397.91006
Karatahansopoulos, Andreas; Sermpinis, Georgios; Laws, Jason; Dunis, Christian
1
2014
Forecasting UK industrial production with multivariate singular spectrum analysis. Zbl 1397.62330
Hassani, Hossein; Heravi, Saeed; Zhigljavsky, Anatoly
15
2013
Estimation and forecasting of locally stationary processes. Zbl 1397.62319
Palma, Wilfredo; Olea, Ricardo; Ferreira, Guillermo
5
2013
Quantile double AR time series models for financial returns. Zbl 1397.62400
Cai, Yuzhi; Montes-Rojas, Gabriel; Olmo, Jose
5
2013
Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models. Zbl 1397.91508
Groß-Llußmann, Axel; Hautsch, Nikolaus
5
2013
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Zbl 1397.62410
Exterkate, Peter; van Dijk, Dick; Heij, Christiaan; Groenen, Patrick J. F.
4
2013
Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting. Zbl 1397.91598
Gerlach, Richard; Lu, Zudi; Huang, Hai
4
2013
Real-time forecasts of inflation: the role of financial variables. Zbl 1397.62560
Monteforte, Libero; Moretti, Gianluca
3
2013
Using CAViaR models with implied volatility for value-at-risk estimation. Zbl 1397.91602
Jeon, Jooyoung; Taylor, James W.
3
2013
A dynamic factor approach to mortality modeling. Zbl 1397.91283
French, Declan; O’Hare, Colin
3
2013
Forecasting simultaneously high-dimensional time series: a robust model-based clustering approach. Zbl 1397.62235
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; Shrestha, Keshab M.
3
2013
Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts? Zbl 1397.62439
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa
3
2013
Heterogeneous asymmetric dynamic conditional correlation model with stock return and range. Zbl 1397.62295
Asai, Manabu
2
2013
Predicting recessions with factor linear dynamic harmonic regressions. Zbl 1397.62512
Bujosa, Marcos; García-Ferrer, Antonio; De Juan, Aránzazu
2
2013
Optimal hedge ratio estimation and effectiveness using ARCD. Zbl 1397.62418
Kostika, Eleftheria; Markellos, Raphael N.
1
2013
A meta-learning framework for bankruptcy prediction. Zbl 1397.91012
Tsai, Chih-Fong; Hsu, Yu-Feng
1
2013
Forecasting temperature indices density with time-varying long-memory models. Zbl 1397.62402
Caporin, Massimiliano; Preś, Juliusz
1
2013
On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction. Zbl 1397.62309
Herwartz, Helmut
1
2013
Hurricane lifespan modeling through a semi-Markov parametric approach. Zbl 1397.62486
Masala, Giovanni
1
2013
Direction-of-change financial time series forecasting using a similarity-based classification model. Zbl 1397.91513
Skabar, Andrew
1
2013
Comparing small- and large-scale models of multicategory buying behavior. Zbl 1397.62541
Hruschka, Harald
1
2013
Early warning with calibrated and sharper probabilistic forecasts. Zbl 1397.62347
Machete, Reason L.
1
2013
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Cited by 1,190 Authors

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6 Chen, Cathy W. S.
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5 De Gooijer, Jan G.
5 Guégan, Dominique
5 McElroy, Tucker S.
5 Nieto, Fabio H.
5 Sermpinis, Georgios
5 Trívez, F. Javier
4 Asai, Manabu
4 Bilder, Christopher R.
4 Cai, Yuzhi
4 Catalán, Beatriz
4 Chan, Joshua C. C.
4 Härdle, Wolfgang Karl
4 Hassani, Hossein
4 Koike, Yuta
4 Loughin, Thomas M.
4 Nadarajah, Saralees
4 Nystrup, Peter
4 Östermark, Ralf
4 Ravazzolo, Francesco
4 Ravishanker, Nalini
4 Shang, Han Lin
4 Shao, Xiaofeng
3 Ali, Sherif S.
3 Altun, Emrah
3 Andersson, Eva
3 Beyaztas, Ufuk
3 Calabrese, Raffaella
3 Casarin, Roberto
3 Costantini, Mauro
3 Eisenstat, Eric
3 Fildes, Robert
3 Franses, Philip Hans
3 Genton, Marc G.
3 Gerlach, Richard H.
3 Ghodsi, Mansi
3 Hotta, Luiz Koodi
3 Karathanasopoulos, Andreas
3 Korobilis, Dimitris
3 Lindström, Erik
3 Lu, Zhiping
3 Lux, Thomas C. H.
3 Madsen, Henrik O.
3 Mahmoudvand, Rahim
3 Maiti, Raju
3 McAlinn, Kenichiro
3 Özbay, Nimet
3 Pierdzioch, Christian
3 Pizzinga, Adrian
3 Polson, Nicholas G.
3 Proietti, Tommaso
3 Shaarawy, Samir Moustafa
3 Shin, Dongwan
3 So, Mike K. P.
3 Stasinakis, Charalampos
3 Strachan, Rodney W.
3 Syntetos, Aris A.
3 Syuhada, Khreshna I. A.
3 Tanizaki, Hisashi
3 Tsiotas, Georgios
3 Ullah, Wali
3 van Dijk, Herman K.
3 West, Mike
3 Wong, Wing-Keung
3 Wyłomańska, Agnieszka
2 Albers, Casper J.
2 Alonso-García, Jennifer
2 Alonso, Andrés M.
2 Bai, Zhi-Dong
2 Barbosa, Emanuel Pimentel
2 Beyaztas, Beste Hamiye
2 Bielak, Łukasz
2 Biswas, Atanu
2 Blake, David
2 Boyd, Stephen Poythress
2 Brannas, Kurt
2 Candila, Vincenzo
2 Caporale, Guglielmo Maria
2 Chang, Chialin
2 Chen, Ying
2 Croux, Christophe
2 Davies, Neville
2 Dawoud, Issam
2 de la Fuente, David
2 Devolder, Pierre
2 Dey, Dipak Kumar
2 Dunis, Christian L.
2 Farzammehr, Mohadeseh Alsadat
2 Fernandes, Marcelo A. C.
2 Ferrara, Laurent
2 Ferreira, Guillermo P.
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Cited in 149 Journals

37 Communications in Statistics. Theory and Methods
34 Journal of Applied Statistics
29 Journal of Econometrics
27 Communications in Statistics. Simulation and Computation
26 Journal of Statistical Computation and Simulation
24 European Journal of Operational Research
21 Econometric Reviews
21 Quantitative Finance
19 Journal of Time Series Analysis
16 Annals of Operations Research
14 Computational Statistics and Data Analysis
13 Computational Statistics
13 Econometric Theory
12 Insurance Mathematics & Economics
12 Journal of Forecasting
11 Journal of Economic Dynamics & Control
11 Test
10 Studies in Nonlinear Dynamics and Econometrics
9 Physica A
9 Statistical Methods and Applications
7 Economics Letters
6 Journal of the American Statistical Association
6 Asia-Pacific Financial Markets
5 Kybernetika
5 Mathematics and Computers in Simulation
5 Theory and Decision
5 Computational Economics
5 Statistical Papers
5 Electronic Journal of Statistics
5 Statistics and Computing
4 International Journal of Systems Science
4 Biometrics
4 Statistics & Probability Letters
4 Statistics
4 Journal of Nonparametric Statistics
4 Australian & New Zealand Journal of Statistics
4 Journal of Systems Science and Complexity
4 Statistical Modelling
4 North American Actuarial Journal
4 Bayesian Analysis
3 Journal of Computational and Applied Mathematics
3 Journal of Multivariate Analysis
3 Journal of Statistical Planning and Inference
3 Kybernetes
3 Statistica Neerlandica
3 International Transactions in Operational Research
3 Statistical Inference for Stochastic Processes
3 Decisions in Economics and Finance
3 The Annals of Applied Statistics
3 Journal of Time Series Econometrics
2 International Journal of Control
2 Psychometrika
2 Chaos, Solitons and Fractals
2 Annals of the Institute of Statistical Mathematics
2 The Annals of Statistics
2 Information Sciences
2 International Economic Review
2 Statistical Science
2 Applications of Mathematics
2 Open Economies Review
2 Applied Mathematical Finance
2 Mathematical Problems in Engineering
2 Mathematical Population Studies
2 International Journal of Theoretical and Applied Finance
2 ASTIN Bulletin
2 Computational Management Science
2 Journal of the Korean Statistical Society
2 Advances in Data Analysis and Classification. ADAC
2 Journal of the Italian Statistical Society
2 Journal of Agricultural, Biological, and Environmental Statistics
2 European Actuarial Journal
2 AIMS Mathematics
1 American Mathematical Monthly
1 The Canadian Journal of Statistics
1 Scandinavian Journal of Statistics
1 Applied Mathematics and Computation
1 International Journal of Mathematics and Mathematical Sciences
1 International Statistical Review
1 Metron
1 Opsearch
1 Statistica
1 Journal of Information & Optimization Sciences
1 Journal of the Japan Statistical Society
1 Mathematical Social Sciences
1 Revista Colombiana de Estadística
1 International Journal of Production Research
1 Acta Mathematicae Applicatae Sinica. English Series
1 Computational Mechanics
1 Science in China. Series A
1 Journal of Applied Mathematics and Stochastic Analysis
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1 Machine Learning
1 Journal of Global Optimization
1 Applied Intelligence
1 Applied Mathematical Modelling
1 Automation and Remote Control
1 Stochastic Processes and their Applications
1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
1 Theory of Probability and Mathematical Statistics
1 Computational and Applied Mathematics
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