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Forecasting

Forecasting is an international, peer-reviewed, open access journal on all aspects of forecasting published bimonthly online by MDPI.

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All Articles (432)

  • Article
  • Open Access

This study investigates whether U.S. macro-financial indicators improve one-step-ahead forecasts of return connectedness among gold, Brent crude oil, and the U.S. Dollar Index beyond autoregressive persistence. We estimate a time-varying Total Connectedness Index (TCI) using a TVP-VAR model with a 10-step generalized forecast-error variance decomposition and historically calibrated initialization. The U.S. Consumer Price Inflation is in line with the scheduled release dates, while predictors without historical data are not considered for the main analysis. Six forecasting models are evaluated using chronological validation and expanding-window estimation over 374 out-of-sample observations (8 May 2024–10 March 2026). The AR(2) benchmark achieves the lowest root mean squared error (RMSE=0.4898, out-of-sample R2=0.9768), compared with 0.4908 for macro-financially augmented linear regression and 0.5313 for XGBoost combining autoregressive and external predictors. The augmented XGBoost model produces 17.65% higher mean squared forecast loss than AR(2) (Holm-adjusted Diebold–Mariano ). Rolling-origin SHAP analysis attributes 94.91% of aggregate mean absolute feature attribution to the two lagged TCI predictors, indicating that historical connectedness dominates the attribution structure of the fitted nonlinear forecasting model. Exploratory inflation-regime comparisons do not provide robust evidence of a discrete 3% threshold. Within the evaluated three-market connectedness target, selected macro-financial predictors, one-step forecasting horizon, and 374-observation test period, none of the alternative models improved upon the AR(2) benchmark. These findings highlight the importance of historically consistent target construction, information availability, and persistence-aware forecasting benchmarks. They do not establish that macro-financial information generally lacks predictive value or that nonlinear forecasting models are inherently inferior.

Forecasting

30 October 2026

Framework for Historically Calibrated TVP-VAR Connectedness and Forecast Evaluation.
  • Article
  • Open Access

Regional day-ahead wind power forecasting (WPF) requires spatial dependence to adapt to forecast weather. Many existing graph models mainly capture pairwise relations derived from static geography or historical correlations, limiting their representation of multi-farm responses under changing wind fields. This paper proposes AeroSimp-Lite, an NWP-conditioned dynamic simplicial neural network that represents farms, pairwise relations, and three-farm interactions as nodes, edges, and triangles. A fixed sparse complex preserves simplicial closure, while forecast wind vectors dynamically condition interactions at each lead time. Hodge-inspired filtering integrates multi-order information, and a temporal residual decoder corrects a local NWP-based power prior. Regional-consistency and ramp losses constrain aggregate production and rapid changes. Experiments on onshore and offshore clusters demonstrate improved site-level and regional accuracy with moderate computational cost. In the model-order comparison, dynamic edges reduce regional nMAE by 7.1% onshore and 12.0% offshore relative to the node-only model, while adding triangle interactions yields further reductions of 3.8% and 4.5%, respectively, relative to Dynamic-GNN. Ablation results show that dynamic edges provide the main gain, while triangles offer smaller, metric-dependent improvements. However, the lower offshore ramp F1 shows that average accuracy gains do not extend to every objective. AeroSimp-Lite provides a practical approach to modeling weather-dependent higher-order spatial interactions without claiming atmospheric causality.

Forecasting

28 October 2026

Architecture and information flow of AeroSimp-Lite. (1) Historical power, future NWP, and farm geometry provide complementary evidence. (2) Geometry fixes a sparse closed complex, while the NWP valid at lead h controls its edge and triangle signals and weights. (3) The resulting 0-, 1-, and 2-simplex features are coupled by a shared lightweight Hodge-SNN. (4) Lead-time fusion produces a topology residual that corrects the local NWP prior, and the complete regional trajectory.
  • Review
  • Open Access

Wind forecasting in complex coastal terrain, such as the Colombian Caribbean, is hindered by air–sea heat fluxes and nonlinear atmospheric dynamics. This pre-registered systematic review and meta-analysis tests whether advanced architectures (artificial intelligence, hybrid, ensemble) outperform classical ones (physical, statistical). Scopus and Web of Science (last query: 22 September 2026) yielded 100 studies with extractable effect sizes; 76 compared a proposed model with an explicit comparator (primary analysis). Hedges’ g (negative values favor the proposed model) was pooled with REML random effects and Knapp–Hartung inference. The pooled effect was g=−1.07 (95% CI [ ]; 95% prediction interval [−2.77,0.64]; I2=69.5%), robust to the estimator and to influential studies, although 59 comparisons were against a baseline of the same family. The estimates favored advanced over classical architectures, but not significantly (β=−0.30, 95% CI [−0.99,0.38]); only 10 studies compared them directly, and 9 favored the advanced model (g=−0.78, 95% CI [−1.93,0.36]). Only AI (g=−1.08, k=48) and physical (g=−0.93, k=19) models had intervals excluding zero. Egger and Begg tests indicated funnel-plot asymmetry, but the Pustejovsky–Rodgers test, robust to the dependence of the standard error on the effect, did not. Proposed models outperform their baselines; the superiority of any architectural class is not established.

Forecasting

27 October 2026

Overlap between Scopus and Web of Science.
  • Article
  • Open Access

Satellite Earth observation (EO) is widely proposed as alternative data for agricultural credit risk, yet reported fusion gains are rarely tested against the protocol producing them. We specify three inexpensive instruments—matched alert volumes instead of a fixed threshold, neutralization of a modality inside a fitted model, and diagnostics of whether a fused branch is used—and apply them to ST-CRAAN, a dual-branch forecaster combining an eleven-channel monthly EO tensor with borrower financial covariates, on 1,496,721 Thai rice-cultivating borrowers with the 2022 crop year withheld. The diagnostics detect silent modality collapse: weight decay drove the recurrent input kernel from 0.0750 at initialization to 7.0 × 10−8 (about 10−6 of its initial value), and replacing the EO tensor by its population mean changed test AUC by 0.00000. An ablation traces the collapse to gradient starvation of the branch, which weight decay completes rather than causes. With the branch in use, a factorial of five model families by eight feature sets, refitted under several seeds, finds that EO lowers test AUC in every fit of the three tabular families when it joins financial and spatial covariates, and gives the two neural families no reliable gain. Added to sub-district repayment history alone, it lowers test AUC in every fit of all five families. Ranking borrowers by the realized default rate of their sub-district–year cell bounds any predictor constant within such a cell at AUC 0.67721; every family stays below it, by 0.029 to 0.031. On this panel and across this year boundary, areal EO does not improve borrower-level default forecasting for a lender holding its own records: the binding constraint is resolution, not architecture.

Forecasting

22 October 2026

Defaulting and non-defaulting borrowers differ in their environmental profiles in the cross-section, which motivates testing EO as a predictor; it does not, by itself, show out-of-time value (Section 4.11). Aggregated three-year spatio-temporal profiles of environmental signatures (May–December), by outcome cohort. (a) NDVI, (b) NDWI, (c) LST, (d) soil moisture, (e) precipitation, and (f) nighttime light. The highlighted region designates the main crop season.

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Forecasting - ISSN 2571-9394