International Journal of Forecasting最新文献_第7页

Asymmetric uncertainty: Nowcasting using skewness in real-time data 非对称不确定性：利用实时数据的偏度进行预测

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-29 DOI: 10.1016/j.ijforecast.2024.05.003

Paul Labonne

引用次数: 0

Dynamic time series modelling and forecasting of COVID-19 in Norway 挪威 COVID-19 的动态时间序列建模和预测

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-25 DOI: 10.1016/j.ijforecast.2024.05.004

Gunnar Bårdsen , Ragnar Nymoen

引用次数: 0

Boosting domain-specific models with shrinkage: An application in mortality forecasting 利用收缩技术提升特定领域模型：死亡率预测中的应用

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-20 DOI: 10.1016/j.ijforecast.2024.05.001

Li Li , Han Li , Anastasios Panagiotelis

引用次数: 0

Efficiency of poll-based multi-period forecasting systems for German state elections 基于民调的德国州选举多期预测系统的效率

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-18 DOI: 10.1016/j.ijforecast.2024.04.008

Markus Fritsch , Harry Haupt , Joachim Schnurbus

{"title":"Efficiency of poll-based multi-period forecasting systems for German state elections","authors":"Markus Fritsch , Harry Haupt , Joachim Schnurbus","doi":"10.1016/j.ijforecast.2024.04.008","DOIUrl":"10.1016/j.ijforecast.2024.04.008","url":null,"abstract":"<div><div>Election polls are frequently employed to reflect voter sentiment with respect to a particular election (or fixed-event). Despite their widespread use as forecasts and inputs for predictive algorithms, there is substantial uncertainty regarding their efficiency. This uncertainty is amplified by judgment in the form of pollsters applying unpublished weighting schemes to ensure the representativeness of the sampled voters for the underlying population. Efficient forecasting systems incorporate past information instantly, which renders a given fixed-event unpredictable based on past information. This results in all sequential adjustments of the fixed-event forecasts across adjacent time periods (or forecast revisions) being martingale differences. This paper illustrates the theoretical conditions related to weak efficiency of fixed-event forecasting systems based on traditional least squares loss and asymmetrically weighted least absolute deviations (or quantile) loss. Weak efficiency of poll-based multi-period forecasting systems for all German federal state elections since the year 2000 is investigated. The inefficiency of almost all considered forecasting systems is documented and alternative explanations for the findings are discussed.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 670-688"},"PeriodicalIF":6.9,"publicationDate":"2024-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141135428","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The time-varying Multivariate Autoregressive Index model 时变多元自回归指数模型

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-15 DOI: 10.1016/j.ijforecast.2024.04.007

Gianluca Cubadda , Stefano Grassi , Barbara Guardabascio

引用次数: 0

Light-touch forecasting: A novel method to combine human judgment with statistical algorithms 轻触式预测：将人类判断与统计算法相结合的新方法

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-13 DOI: 10.1016/j.ijforecast.2024.04.003

B.B.J.P.J. van der Staak, R.J.I. Basten, P.P.F.M. van de Calseyde, E. Demerouti, A.G. de Kok

{"title":"Light-touch forecasting: A novel method to combine human judgment with statistical algorithms","authors":"B.B.J.P.J. van der Staak, R.J.I. Basten, P.P.F.M. van de Calseyde, E. Demerouti, A.G. de Kok","doi":"10.1016/j.ijforecast.2024.04.003","DOIUrl":"10.1016/j.ijforecast.2024.04.003","url":null,"abstract":"<div><div>Forecast adjustments are an indispensable component of the forecasting process, but what is the most effective and efficient method to make these adjustments? Understanding how to effectively blend human forecast adjustments with statistical methods is of great importance as, even with the increased possibilities of AI, we can still not include all information available to a human planner. We address this issue by developing a method that builds on literature showing that some adjustments are consistently (in)accurate. More specifically, in two extensive case studies containing more than 3.5 million forecasting decisions, we confirm that planners are accurate in adjusting a statistical forecast in the right direction and determining the magnitude of downward adjustments, and they are inaccurate in determining the magnitude of upward adjustments. Leveraging these results, we introduce a novel method called <em>light-touch forecasting,</em> which attains performance levels similar to those of more traditional forecasting methods while minimizing the involvement of human planners. Furthermore, an online experiment shows an efficiency gain of 38% in terms of time spent on planning compared to traditional judgmental forecasting. We thus optimize the forecasting process by using the strengths of planners while avoiding their weaknesses.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 440-451"},"PeriodicalIF":6.9,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141057009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence 对宏观经济产出增长预测的判断：效率、准确性和持久性

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-13 DOI: 10.1016/j.ijforecast.2024.04.001

Michael Pedersen

引用次数: 0

Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution 预测端点移动的利率：功能性人口年龄分布的作用

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-07 DOI: 10.1016/j.ijforecast.2024.04.006

Jiazi Chen , Zhiwu Hong , Linlin Niu

引用次数: 0

Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility? 专业预测师调查中的油价预测分歧能否预测原油收益波动？

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-05-04 DOI: 10.1016/j.ijforecast.2024.04.005

Anton Hasselgren , Ai Jun Hou , Sandy Suardi , Caihong Xu , Xiaoxia Ye

{"title":"Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?","authors":"Anton Hasselgren , Ai Jun Hou , Sandy Suardi , Caihong Xu , Xiaoxia Ye","doi":"10.1016/j.ijforecast.2024.04.005","DOIUrl":"10.1016/j.ijforecast.2024.04.005","url":null,"abstract":"<div><div>This paper explores whether the dispersion in forecasted crude oil prices from the European Central Bank Survey of Professional Forecasters can provide insights for predicting crude oil return volatility. It is well-documented that higher disagreement among forecasters of asset price implies greater uncertainty and higher return volatility. Using several Generalized Autoregressive Conditional Heteroskedasticity with Mixed Data Sampling (GARCH-MIDAS) models, we find, based on the in-sample estimation results, the oil market experiences greater volatility when the forecasters’ disagreements increase. The model that integrates both historical realized variance and forward-looking forecaster disagreement into the conditional variance, along with the model focusing solely on pure forward-looking forecaster disagreement, exhibits a much superior fit to the data compared to the model relying solely on realized variance and the models considering forward-looking forecasted mean return. The out-of-sample forecasting results unequivocally illustrate that incorporating forecaster disagreement offers valuable insights, markedly enhancing the predictive accuracy of crude oil return volatility within the GARCH-MIDAS model. Moreover, we illustrate the economic benefit of considering forecasters’ disagreement when forecasting volatility, demonstrating its significance for VaR risk management.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 1","pages":"Pages 141-152"},"PeriodicalIF":6.9,"publicationDate":"2024-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705073","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Return predictability, dividend growth, and the persistence of the price–dividend ratio 回报可预测性、股息增长和市盈率的持续性

IF 6.9 2区经济学

International Journal of Forecasting Pub Date : 2024-04-24 DOI: 10.1016/j.ijforecast.2024.03.005

Adam Goliński , João Madeira , Dooruj Rambaccussing

引用次数: 0