Top papers in the International Journal of Forecasting


4 February 2014


Every year or so, Elsevier asks me to nominate five International Journal of Forecasting papers from the last two years to highlight in their marketing materials as “Editor’s Choice”. I try to select papers across a broad range of subjects, and I take into account citations and downloads as well as my own impression of the paper. That tends to bias my selection a little towards older papers as they have had more time to accumulate citations. Here are the papers I chose this morning (in the order they appeared):

  1. Diebold and Yilmaz (2012) Better to give than to receive: Predictive directional measurement of volatility spillovers. IJF 28(1), 57-66.

  2. Loterman, Brown, Martens, Mues, and Baesens (2012) Benchmarking regression algorithms for loss given default modeling. IJF 28(1), 161-170.

  3. Soyer and Hogarth (2012) The illusion of predictability: How regression statistics mislead experts. IJF 28(3), 695-711.

  4. Friedman (2012) Fast sparse regression and classification. IJF 28(3), 722–738.

  5. Davydenko and Fildes (2013) Measuring forecasting accuracy: The case of judgmental adjustments to SKU-level demand forecasts. IJF 29(3), 510-522.

Last time I did this, three of the five papers I chose went on to win awards. (I don’t pick the award winners – that’s a matter for the whole editorial board.) On the other hand, I didn’t pick the paper that got the top award for the period 2010-2011. So perhaps my selection is not such a good guide.