Journal of Forecasting最新文献

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A forecasting model for oil prices using a large set of economic indicators 利用大量经济指标的石油价格预测模型
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-26 DOI: 10.1002/for.3087
Jihad El Hokayem, Ibrahim Jamali, Ale Hejase
{"title":"A forecasting model for oil prices using a large set of economic indicators","authors":"Jihad El Hokayem,&nbsp;Ibrahim Jamali,&nbsp;Ale Hejase","doi":"10.1002/for.3087","DOIUrl":"10.1002/for.3087","url":null,"abstract":"<p>This paper examines the predictability of the changes in Brent oil futures prices using a multilayer perceptron artificial neural network that exploits the information contained in the largest possible set of economic indicators. Feature engineering is employed to identify the most important predictors of the change in Brent oil futures prices. We find that oil-market-specific variables are important predictors. Our findings also suggest that forecasts of the change in the Brent oil futures prices from the multilayer perceptron that exploits the informational content of all and oil-market-specific predictors exhibit higher statistical forecast accuracy than the random walk. Tests of forecast optimality indicate that the forecasts generated using oil-market-specific predictors are optimal. We discuss the policymaking and practical relevance of our results.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1615-1624"},"PeriodicalIF":3.4,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140026034","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interpretable corn future price forecasting with multivariate time series 利用多变量时间序列预测可解读的玉米未来价格
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-25 DOI: 10.1002/for.3099
Binrong Wu, Zhongrui Wang, Lin Wang
{"title":"Interpretable corn future price forecasting with multivariate time series","authors":"Binrong Wu,&nbsp;Zhongrui Wang,&nbsp;Lin Wang","doi":"10.1002/for.3099","DOIUrl":"10.1002/for.3099","url":null,"abstract":"<p>Efforts in corn future price forecasting and early warning play a vital role in guiding the high-quality development of the agricultural economy. However, recent years have witnessed significant fluctuations in global corn future prices due to the impact of COVID-19 and the escalating risks associated with geopolitical conflicts. Therefore, there is an urgent need for accurate and efficient methods to forecast corn future prices. To address this challenge, a novel and comprehensive framework for explainable corn future price forecasting is designed. This framework takes into account multiple factors contributing to corn price volatility, including supply and demand dynamics, policy adjustments, international market shocks, global geopolitical risks, and investor concerns within the corn market. During the data processing stage, complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) is utilized to thoroughly explore the volatility characteristics of historical corn future prices. Additionally, a convolutional neural network (CNN) is employed to extract essential forecasting information from corn news data. To enhance interpretability, a novel JADE–TFT interpretable corn future price prediction model is proposed. This model combines adaptive differential evolution with optional external archiving (JADE) to intelligently and efficiently optimize the parameters of the temporal fusion transformers (TFTs). Furthermore, in the empirical study, the introduction of a global geopolitical risk coefficient, Baidu indices such as “corn” and “corn price,” and quantized corn news text features is shown to improve the accuracy of corn future price predictions. The proposed corn future price prediction framework contributes to the healthy development of the global grain futures market, thereby fostering the growth and well-being of enterprises involved in the grain industry.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1575-1594"},"PeriodicalIF":3.4,"publicationDate":"2024-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140016765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Applying k-nearest neighbors to time series forecasting: Two new approaches 将 K 最近邻法应用于时间序列预测:两种新方法
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-25 DOI: 10.1002/for.3093
Samya Tajmouati, Bouazza E. L. Wahbi, Adel Bedoui, Abdallah Abarda, Mohamed Dakkon
{"title":"Applying k-nearest neighbors to time series forecasting: Two new approaches","authors":"Samya Tajmouati,&nbsp;Bouazza E. L. Wahbi,&nbsp;Adel Bedoui,&nbsp;Abdallah Abarda,&nbsp;Mohamed Dakkon","doi":"10.1002/for.3093","DOIUrl":"10.1002/for.3093","url":null,"abstract":"<p>The <i>k</i>-nearest neighbors algorithm is one of the prominent techniques used in classification and regression. Despite its simplicity, the <i>k</i>-nearest neighbors has been successfully applied in time series forecasting. However, the selection of the number of neighbors and feature selection is a daunting task. In this paper, we introduce two methodologies for forecasting time series that we refer to as Classical Parameters Tuning in Weighted Nearest Neighbors and Fast Parameters Tuning in Weighted Nearest Neighbors. The first approach uses classical parameters tuning that compares the most recent subsequence with every possible subsequence from the past of the same length. The second approach reduces the neighbors' search set, which leads to significantly reduced grid size and hence a lower computational time. To tune the models' parameters, both methods implement an approach inspired by cross-validation for weighted nearest neighbors. We evaluate the forecasting performance and accuracy of our models. Then, we compare them to other approaches, especially, Seasonal Autoregressive Integrated Moving Average, Holt Winters, and Exponential Smoothing State Space Model. Real data examples on retail and food services sales in the United States and milk production in the United Kingdom are analyzed to demonstrate the application and efficiency of the proposed approaches.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1559-1574"},"PeriodicalIF":3.4,"publicationDate":"2024-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140016711","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do search queries predict violence against women? A forecasting model based on Google Trends 搜索查询能预测暴力侵害妇女行为吗?基于谷歌趋势的预测模型
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-25 DOI: 10.1002/for.3102
Nicolás Gonzálvez-Gallego, María Concepción Pérez-Cárceles, Laura Nieto-Torrejón
{"title":"Do search queries predict violence against women? A forecasting model based on Google Trends","authors":"Nicolás Gonzálvez-Gallego,&nbsp;María Concepción Pérez-Cárceles,&nbsp;Laura Nieto-Torrejón","doi":"10.1002/for.3102","DOIUrl":"10.1002/for.3102","url":null,"abstract":"<p>This paper introduces a new indicator for reported intimate partner violence against women based on search query time series from Google Trends. This indicator is built up from the relative popularity of three topic-related keywords. We propose a predictive model based on this specific Google index that is assessed relative to two alternative models: the first one includes the lagged variable, while the second one considers fatalities as a predictor. This comparative analysis is run in two different samples, whether the reported cases are a direct consequence of a violent direct or not. Our results show that the predictive model based on Google data significantly outperforms the other two models, regardless the sample and the forecast horizon. Then, using information gathered from Google queries may improve the allocation and management of resources and services to protect women against this form of violence and to improve risk assessment.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1607-1614"},"PeriodicalIF":3.4,"publicationDate":"2024-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140016754","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecasting stock market returns with a lottery index: Evidence from China 用彩票指数预测股市收益:来自中国的证据
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-25 DOI: 10.1002/for.3100
Yaojie Zhang, Qingxiang Han, Mengxi He
{"title":"Forecasting stock market returns with a lottery index: Evidence from China","authors":"Yaojie Zhang,&nbsp;Qingxiang Han,&nbsp;Mengxi He","doi":"10.1002/for.3100","DOIUrl":"https://doi.org/10.1002/for.3100","url":null,"abstract":"<p>This study constructs a Chinese lottery index (LI) based on six popular lottery preference variables by using the partial least squares method and examines the relationship between the LI and future stock market returns during the period from January 2000 to December 2021. We find that the LI can negatively predict stock market excess returns in-sample and out-of-sample. In addition, the LI can generate a large economic gain for a mean–variance investor. Finally, the predictive sources of the LI stem from a cash flow channel and can be explained by the positive volume–volatility relationship and investor attention.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1595-1606"},"PeriodicalIF":3.4,"publicationDate":"2024-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141537063","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Robust approach to earnings forecast: A comparison 稳健的盈利预测方法:比较
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-21 DOI: 10.1002/for.3085
Xiaojian Yu, Xiaoqian Zhang, Donald Lien
{"title":"Robust approach to earnings forecast: A comparison","authors":"Xiaojian Yu,&nbsp;Xiaoqian Zhang,&nbsp;Donald Lien","doi":"10.1002/for.3085","DOIUrl":"10.1002/for.3085","url":null,"abstract":"<p>This paper applies three robust approaches, namely, the MM estimation, the Theil–Sen estimation, and the quantile regression, to generate earnings forecasts in Chinese financial market and evaluates the forecast accuracy of these three methods based on three forecasting criteria. We examine six forecasting models where the predicted variables include earnings per share, net income, and three profitability measures. We show that the three robust methods significantly outperform the OLS method. Moreover, the MM estimation and the quantile regression have better forecast accuracy than the Theil–Sen approach.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1530-1558"},"PeriodicalIF":3.4,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140443703","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tail risk forecasting and its application to margin requirements in the commodity futures market 尾部风险预测及其在商品期货市场保证金要求中的应用
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-20 DOI: 10.1002/for.3094
Yun Feng, Weijie Hou, Yuping Song
{"title":"Tail risk forecasting and its application to margin requirements in the commodity futures market","authors":"Yun Feng,&nbsp;Weijie Hou,&nbsp;Yuping Song","doi":"10.1002/for.3094","DOIUrl":"https://doi.org/10.1002/for.3094","url":null,"abstract":"<p>This study presents a dynamic analysis framework called autoregressive conditional extreme value (AEV), designed for modeling the daily maximum drawdowns of commodity futures markets, using steel rebar futures as an illustrative example. The research demonstrates that AEV outperforms AR or generalized autoregressive conditional heteroskedasticity (GARCH)-type benchmark models in terms of in-sample fitting and out-of-sample forecasting accuracy. Notably, AEV's time-varying shape parameter (tail index) sensitively captures the clustering nature of tail risk and differentiates between long- and short-side markets. The study also presents theoretical findings regarding AEV-based value at risk (VaR) and expected shortfall (ES), and empirically measures and predicts the tail risk of the steel rebar futures market. Moreover, the research extends the methodology to create a dynamic margin model for Chinese commodity futures, showing that the AEV-based model effectively achieves the specified risk coverage targets and significantly reduces current exchange margin requirements.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1513-1529"},"PeriodicalIF":3.4,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141536921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tail risk forecasting with semiparametric regression models by incorporating overnight information 通过纳入隔夜信息,利用半参数回归模型预测尾端风险
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-20 DOI: 10.1002/for.3090
Cathy W. S. Chen, Takaaki Koike, Wei-Hsuan Shau
{"title":"Tail risk forecasting with semiparametric regression models by incorporating overnight information","authors":"Cathy W. S. Chen,&nbsp;Takaaki Koike,&nbsp;Wei-Hsuan Shau","doi":"10.1002/for.3090","DOIUrl":"10.1002/for.3090","url":null,"abstract":"<p>This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility. Extending a semiparametric regression model based on asymmetric Laplace distribution, we propose a family of RES-CAViaR-oc models by adding overnight return and realized measures as a nowcasting technique for simultaneously forecasting Value-at-Risk (VaR) and expected shortfall (ES). We utilize Bayesian methods to estimate unknown parameters and forecast VaR and ES jointly for the proposed model family. We also conduct extensive backtests based on joint elicitability of the pair of VaR and ES during the out-of-sample period. Our empirical study on four international stock indices confirms that overnight return and realized volatility are vital in tail risk forecasting.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1492-1512"},"PeriodicalIF":3.4,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139953516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Probabilistic electricity price forecasting based on penalized temporal fusion transformer 基于惩罚性时态融合变压器的概率电价预测
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-20 DOI: 10.1002/for.3084
He Jiang, Sheng Pan, Yao Dong, Jianzhou Wang
{"title":"Probabilistic electricity price forecasting based on penalized temporal fusion transformer","authors":"He Jiang,&nbsp;Sheng Pan,&nbsp;Yao Dong,&nbsp;Jianzhou Wang","doi":"10.1002/for.3084","DOIUrl":"https://doi.org/10.1002/for.3084","url":null,"abstract":"<div>\u0000 \u0000 <p>In the deregulated electricity market, it is increasingly important to accurately predict the fluctuating, nonlinear, and high-frequent electricity price for market decision-making. However, the uncertainties associated with electricity prices, such as non-stationarity, nonlinearity, and high volatility, pose critical difficulties for electricity price forecasting (EPF). Unlike point forecasting, which provides only a single, deterministic estimate of future prices, probabilistic forecasting gives a more comprehensive and nuanced picture of future price dynamics, which can help market participants make better-informed decisions when facing uncertainty. Therefore, in this paper, we propose a robust deep learning method for multi-step probabilistic forecasting. First, we use the least absolute shrinkage and selection operator (LASSO) in the expert model to generate point forecasts. Second, we introduce the smoothly clipped absolute deviation regularization term, a nonconvex penalty with proven oracle properties in model selection, into temporal fusion transformers. Finally, we employ the proposed model to integrate point forecasts to give probabilistic forecasts. To evaluate the proposed forecasting model, real-data experiments are conducted in the Nord Pool electricity market and the Polish Power Exchange market. Empirical results show that the proposed model has demonstrated superior probabilistic forecasting performances compared with other competitors and has proven its effectiveness in real-world applications.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1465-1491"},"PeriodicalIF":3.4,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141536922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecasting realized volatility of crude oil futures prices based on machine learning 基于机器学习预测原油期货价格的实际波动率
IF 3.4 3区 经济学
Journal of Forecasting Pub Date : 2024-02-19 DOI: 10.1002/for.3077
Jiawen Luo, Tony Klein, Thomas Walther, Qiang Ji
{"title":"Forecasting realized volatility of crude oil futures prices based on machine learning","authors":"Jiawen Luo,&nbsp;Tony Klein,&nbsp;Thomas Walther,&nbsp;Qiang Ji","doi":"10.1002/for.3077","DOIUrl":"10.1002/for.3077","url":null,"abstract":"<p>Extending the popular HAR model with additional information channels to forecast realized volatility of WTI futures prices, we show that machine learning-generated forecasts provide better forecasting quality and that portfolios that are constructed with these forecasts outperform their competing models resulting in economic gains. Analyzing the selection process, we show that information channels vary across forecasting horizon. Variable selection produces clusters and provides evidence that there are structural changes with regard to the significance of information channels.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 5","pages":"1422-1446"},"PeriodicalIF":3.4,"publicationDate":"2024-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3077","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139953367","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
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