Journal of Forecasting最新文献_第3页

Common Mutual Information Selection Algorithm and Its Application on Combination Forecasting 公共互信息选择算法及其在组合预测中的应用

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-11 DOI: 10.1002/for.3240

Chenqing Shen, Huayou Chen

{"title":"Common Mutual Information Selection Algorithm and Its Application on Combination Forecasting","authors":"Chenqing Shen, Huayou Chen","doi":"10.1002/for.3240","DOIUrl":"https://doi.org/10.1002/for.3240","url":null,"abstract":"<div>\u0000 \u0000 <p>The subset selection of individual prediction methods is gradually becoming a hot topic. Among numerous forecasts, identifying the optimal subset approach has become a major focal point of research. To address this issue, the paper introduces a novel method based on information theory, which is called common mutual information (CMI) selection algorithm. This optimal subset selection method not only simultaneously considers the relationships of three factors, which include the candidate feature set, the selected feature set, and the actual time series, but also provides a more precise treatment of these relationships. Therefore, CMI algorithm employs the mutual information (MI) shared among the three factors as the criterion for selection and improves the accuracy of the redundancy or correlation measure for existing algorithms. Furthermore, it overcomes the deficiency of calculating MI between the candidate subset and the actual time series. Existing algorithms use the average MI values between individual elements within the subset and the actual sequence; this paper takes the selected subset as a multidimensional input for MI computation, thus reducing computational errors. Finally, the proposed algorithm is compared with two other approaches of the MI algorithm, the Max-Relevance and Min-Redundancy (mRMR) algorithm in both theoretical and empirical aspects. The experiments are illustrated to show the effectiveness and superiority of CMI algorithm.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 4","pages":"1326-1346"},"PeriodicalIF":3.4,"publicationDate":"2024-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144206455","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 the Realized Volatility of Stock Markets: The Roles of Jumps and Asymmetric Spillovers 股票市场已实现波动率的预测：跳跃和非对称溢出的作用

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-10 DOI: 10.1002/for.3219

Abdel Razzaq Al Rababaa, Walid Mensi, David McMillan, Sang Hoon Kang

{"title":"Forecasting the Realized Volatility of Stock Markets: The Roles of Jumps and Asymmetric Spillovers","authors":"Abdel Razzaq Al Rababaa, Walid Mensi, David McMillan, Sang Hoon Kang","doi":"10.1002/for.3219","DOIUrl":"https://doi.org/10.1002/for.3219","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper evaluates the roles of jump and sign-asymmetry spillovers in forecasting the realized volatility in a large sample of 20 stock markets. We compare for the first time whether controlling for either the jumps or asymmetric spillovers into the heterogeneous autoregressive–realized volatility (HAR-RV) model improves the forecasts over 1, 5 and 22 days. Before doing so, the spillovers predictors are generated. In analyzing the spillover process, we find that the US stock market remains the main net transmitter of shocks, and while China is relatively detached from the spillover linkages, such effects may be transmitted through Hong Kong, which is a significant receiver of shocks. The out-of-sample results reveal that the incorporation of jump spillovers improves forecast performance the most across a range of measures. This is more clearly demonstrated at the 22-day forecasting horizon more notably in Europe, France, Germany, India, and the United Kingdom. Lastly, irrespective of the forecasting horizon, performing the predicting stability test uncovers significant improvements in the jump spillover–based model during periods of notable market stress such as the 2014–2016 oil price crash and COVID-19. Overall, results suggest paying more attention to jump spillover while constructing international portfolios based on the realized volatility.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 4","pages":"1294-1325"},"PeriodicalIF":3.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144206699","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

On the Detection of Structural Breaks: The Case of the Covid Shock 论结构性断裂的检测：以新冠肺炎冲击为例

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-09 DOI: 10.1002/for.3238

Stephen G. Hall, George S. Tavlas, Lorenzo Trapani, Yongli Wang

{"title":"On the Detection of Structural Breaks: The Case of the Covid Shock","authors":"Stephen G. Hall, George S. Tavlas, Lorenzo Trapani, Yongli Wang","doi":"10.1002/for.3238","DOIUrl":"https://doi.org/10.1002/for.3238","url":null,"abstract":"<div>\u0000 \u0000 <p>Both the Federal Reserve (Fed) and the European Central Bank (ECB) have been criticized for not having perceived that the outbreak of Covid at the beginning of 2020 would lead to a structural change in inflation in the early 2020s. Both central banks viewed the initial inflation surge in 2021 as temporary and delayed monetary tightening until 2022. We argue that the existing literature on structural breaks could not have been useful to policymakers because it identifies the breaks in an arbitrary way. The tests used to identify breaks do not incorporate prior knowledge that a break may have occurred so that the tests have very little power to detect a break that occurs at the end of the sample. We show that, in the event of a major shock, such as Covid, using knowledge that a break may have occurred and testing for a break in a recursive way as new data become available could have alerted policymakers to the break in inflation. We conduct Monte Carlo simulations suggesting that our method would have identified that a break had occurred in inflation by the end of 2020, well before policymakers had perceived the break.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1042-1070"},"PeriodicalIF":3.4,"publicationDate":"2024-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143565332","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

Step by Step—A Quarterly Evaluation of EU Commission's GDP Forecasts 一步一步：欧盟委员会GDP预测季度评估

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-09 DOI: 10.1002/for.3226

Katja Heinisch

{"title":"Step by Step—A Quarterly Evaluation of EU Commission's GDP Forecasts","authors":"Katja Heinisch","doi":"10.1002/for.3226","DOIUrl":"https://doi.org/10.1002/for.3226","url":null,"abstract":"<p>The European Commission's growth forecasts play a crucial role in shaping policies and provide a benchmark for many (national) forecasters. The annual forecasts are built on quarterly estimates, which do not receive much attention and are hardly known. Therefore, this paper provides a comprehensive analysis of multiperiod ahead quarterly GDP growth forecasts for the European Union (EU), euro area, and several EU member states with respect to first-release and current-release data. Forecast revisions and forecast errors are analyzed, and the results show that the forecasts are not systematically biased. However, GDP forecasts for several member states tend to be overestimated at short-time horizons. Furthermore, the final forecast revision in the current quarter is generally downward biased for almost all countries. Overall, the differences in mean forecast errors are minor when using real-time data or pseudo–real-time data and these differences do not significantly impact the overall assessment of the forecasts' quality. Additionally, the forecast performance varies across countries, with smaller countries and Central and Eastern European countries (CEECs) experiencing larger forecast errors. The paper provides evidence that there is still potential for improvement in forecasting techniques both for nowcasts but also forecasts up to eight quarters ahead. In the latter case, the performance of the mean forecast tends to be superior for many countries.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1026-1041"},"PeriodicalIF":3.4,"publicationDate":"2024-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3226","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143565334","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

Extended Multivariate EGARCH Model: A Model for Zero-Return and Negative Spillovers 扩展多元EGARCH模型：一个零收益和负溢出的模型

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-08 DOI: 10.1002/for.3243

Yongdeng Xu

{"title":"Extended Multivariate EGARCH Model: A Model for Zero-Return and Negative Spillovers","authors":"Yongdeng Xu","doi":"10.1002/for.3243","DOIUrl":"https://doi.org/10.1002/for.3243","url":null,"abstract":"<p>This paper introduces an extended multivariate EGARCH model that overcomes the zero-return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear asymptotic properties of the QML estimator, our Monte Carlo simulations indicate that the standard QML estimator is consistent and asymptotically normal for larger sample sizes (i.e., \u0000<span></span><math>\u0000 <mi>T</mi>\u0000 <mo>≥</mo>\u0000 <mn>2500</mn></math>). Two empirical examples demonstrate the model's superior performance compared to multivariate GJR-GARCH and Log-GARCH models in volatility modeling. The first example analyzes the daily returns of three stocks from the DJ30 index, while the second example investigates volatility spillover effects among the bond, stock, crude oil, and gold markets. Overall, this extended multivariate EGARCH model offers a flexible and comprehensive framework for analyzing multivariate volatility and spillover effects in empirical finance research.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 4","pages":"1266-1279"},"PeriodicalIF":3.4,"publicationDate":"2024-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3243","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144206863","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

Formalizing a Postprocessing Procedure for Linear–Convex Combination Forecasts 线性-凸组合预测的后处理程序的形式化

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-08 DOI: 10.1002/for.3229

Verena Monschang, Bernd Wilfling

引用次数: 0

Money Growth and Inflation—How to Account for the Differences in Empirical Results 货币增长与通货膨胀——如何解释实证结果的差异

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-03 DOI: 10.1002/for.3231

Martin Mandler, Michael Scharnagl

{"title":"Money Growth and Inflation—How to Account for the Differences in Empirical Results","authors":"Martin Mandler, Michael Scharnagl","doi":"10.1002/for.3231","DOIUrl":"https://doi.org/10.1002/for.3231","url":null,"abstract":"<p>Empirical analyses have presented different results on the long-run relationship between money growth and inflation with some pointing to a stable relationship with a slope coefficient of close to one and others suggesting instability or a weakening of the relationship over time. Using the example case of the United States and nearly 150 years of data, we provide a systematic investigation into and comparison of the results from time series-based empirical evidence on the relationship between money growth and inflation. We use the results from a wavelet analysis as a benchmark as it offers a flexible framework that provides information on the relationship both across different frequencies and different points in time. We relate these results to those in the literature obtained from other empirical approaches and investigate the underlying causes of differences in the results. We argue that it is possible to arrive at a consistent conclusion of a stable correlation between money growth and inflation in the United States at cycles of 30 to 60 years with a declining trend in the slope relationship even though the empirical results in the literature appear to be at odds. We show that in some analyses, the evidence on the “long-run” relationship is distorted by unintentionally including higher frequencies or that results are dominated by outliers at very low frequencies for which the data do not contain much information. Furthermore, the way in which different analyses account for time variation also can influence the results.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1009-1025"},"PeriodicalIF":3.4,"publicationDate":"2024-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3231","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143564969","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

Trade and Economic Activity: Nonlinear Modeling and Forecasting 贸易与经济活动：非线性建模与预测

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-01 DOI: 10.1002/for.3230

Alessandro Borin, Andrea Gazzani, Michele Mancini

{"title":"Trade and Economic Activity: Nonlinear Modeling and Forecasting","authors":"Alessandro Borin, Andrea Gazzani, Michele Mancini","doi":"10.1002/for.3230","DOIUrl":"https://doi.org/10.1002/for.3230","url":null,"abstract":"<div>\u0000 \u0000 <p>Motivated by the increasing role of trade in global economic developments, this paper derives novel econometric methods to forecast global trade by exploiting the relationship between economic activity and trade itself. We empirically document that the relation between trade and economic activity changes along the business cycle—the stronger the cycle, the larger their elasticity. Consistently with theoretical predictions, such cyclicality depends on two key factors: (i) the high pro-cyclicalilty of the demand for intensively traded items and (ii) the presence of low-frequency (“trend”) components in trade and GDP series. We show that the latter is key to generate a cyclical income elasticity of trade and that a linear relationship holds once those components are filtered out. These empirical findings are exploited in two original empirical approaches to map GDP forecasts, for which rather accurate and timely projections are available, into world trade forecast. In an out-of-sample real-time forecasting exercise, with both the proposed methods, we obtain predictions that are vividly more accurate than naive linear models and nearly halve the forecast error of the IMF-WEO.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 4","pages":"1247-1265"},"PeriodicalIF":3.4,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144206416","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

Visualizing Uncertainty in Time Series Forecasts: The Impact of Uncertainty Visualization on Users' Confidence, Algorithmic Advice Utilization, and Forecasting Performance 可视化时间序列预测中的不确定性：不确定性可视化对用户信心、算法建议利用率和预测性能的影响

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-28 DOI: 10.1002/for.3222

Dirk Leffrang, Oliver Müller

{"title":"Visualizing Uncertainty in Time Series Forecasts: The Impact of Uncertainty Visualization on Users' Confidence, Algorithmic Advice Utilization, and Forecasting Performance","authors":"Dirk Leffrang, Oliver Müller","doi":"10.1002/for.3222","DOIUrl":"https://doi.org/10.1002/for.3222","url":null,"abstract":"<p>Time series forecasts are always associated with uncertainty. However, experimental studies on the impact of uncertainty communication provide inconclusive results on the effect of providing this uncertainty to end users. In this study, we examine the impact of uncertainty visualizations on advice utilization in the context of time series forecasts with line charts. Based on a literature review, we identified probabilistic framing versus frequency framing as a theoretical foundation for studying the topic. We then used the Judge Advisor System (JAS) as a framework to create an experimental design with two treatments (95% prediction interval [PI] and ensemble plots), one control group (point plot), and various mediating variables (e.g., confidence, graph literacy, and domain knowledge). The results of an online experiment (\u0000<span></span><math>\u0000 <mi>N</mi>\u0000 <mo>=</mo>\u0000 <mn>239</mn></math>) indicate a U-shaped relation between uncertainty visualization and forecasting performance. Additionally, we examine how confidence, advice utilization, and other factors mediate the effect of uncertainty visualizations. This paper highlights the benefits of PI plots for researchers and practitioners engaged in the development of effective uncertainty visualizations for decision-making processes.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 4","pages":"1235-1246"},"PeriodicalIF":3.4,"publicationDate":"2024-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3222","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144206959","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

Evaluating Inflation Forecasts in the Euro Area and the Role of the ECB 评估欧元区的通胀预测和欧洲央行的作用

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-26 DOI: 10.1002/for.3235

Bertrand Candelon, Francesco Roccazzella

引用次数: 0