An analogue of the linear continuous ranked probability score is introduced that applies to probabilistic forecasts of circular quantities. This scoring rule is proper and thereby discourages hedging. The circular continuous ranked probability score reduces to angular distance when the forecast is deterministic, just as the linear continuous ranked probability score generalizes the absolute err...

This paper examines the forecasting ability of the dividend-price ratio for international stock market returns. Hitherto, existing research has only considered this issue in-sample and in a linear framework. Hence, this paper provides the first systematic study of non-linear forecasting within the present value model context. Using an asymmetric variant of the popular ESTR model we demonstrate ...

This study analyzes trends in analyst forecast properties from 1987 through 1998 in the United States and seven Pacific Rim countries: Australia, New Zealand, Taiwan, Hong Kong, Japan, South Korea, and Thailand. Analyst forecast properties in the United States have become less dispersed, more accurate, and less optimistic during the sample period. Similar trends exist in Australia and New Zeala...

This paper presents a forecasting model of unemployment based on labor force flows data that, in real time, dramatically outperforms the Survey of Professional Forecasters, historical forecasts from the Federal Reserve Board’s Greenbook, and basic time-series models. Our model’s forecast has a root-mean-squared error about 30 percent below that of the next-best forecast in the near term and per...

Each winter and early spring, the Northeast River Forecast Center (NERFC) faces the challenge of forecasting river stage and flow for ice affected rivers. “Stage versus flow” relationships tend to be in error and there is a lack of real-time information about the nature of the ice cover. The NERFC is investigating methods to forecast river stage and flow for ice-affected rivers because in times...

Pollens of Poaceae are among the most allergenic pollen in Europe with pollen of birch. It is therefore useful to elaborate models to help pollen allergy sufferers. The objective of this study was to construct forecast models that could predict the first day characterized by a certain level of allergic risk called here the Starting Date of the Allergic Risk (SDAR). Models result from four forec...

The grey system theory, which has been extensively used in many areas, is appropriate for forecasting. It is necessary to put forward new models or algorithms to improve its performance, especially for forecast accuracy. In the forecast process of grey model, the size of data sample and the number of variables can affect forecast accuracy. In this paper, we first put forward a new method to cho...

The sensitivity of forecasts to observations is evaluated using an ensemble approach with data drawn from a pseudo-operational ensemble Kalman filter. For Gaussian statistics and a forecast metric defined as a scalar function of the forecast variables, the effect of observations on the forecast metric is quantified by changes in the metric mean and variance. For a single observation, expression...