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Report NEP-FOR-2025-06-23
This is the archive for NEP-FOR, a report on new working papers in the area of Forecasting. Rob J Hyndman issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FOR
The following items were announced in this report:
- Gupta, Abhijit, 2025, "Decoding Futures Price Dynamics: A Regularized Sparse Autoencoder for Interpretable Multi-Horizon Forecasting and Factor Discovery," OSF Preprints, Center for Open Science, number 4rzky_v1, May, DOI: 10.31219/osf.io/4rzky_v1.
- Bańbura, Marta & Bobeica, Elena & Giammaria, Alessandro & Porqueddu, Mario & van Spronsen, Josha, 2025, "A new model to forecast energy inflation in the euro area," Working Paper Series, European Central Bank, number 3062, Jun.
- Wishnu Badrawani, 2025, "An Interpretable Machine Learning Approach in Predicting Inflation Using Payments System Data: A Case Study of Indonesia," Papers, arXiv.org, number 2506.10369, Jun.
- Stephane Hess & Sander van Cranenburgh, 2025, "Combine and conquer: model averaging for out-of-distribution forecasting," Papers, arXiv.org, number 2506.03693, Jun, revised Oct 2025.
- Haoyuan Wang & Chen Liu & Minh-Ngoc Tran & Chao Wang, 2025, "Deep Learning Enhanced Multivariate GARCH," Papers, arXiv.org, number 2506.02796, Jun.
- Junzhe Jiang & Chang Yang & Xinrun Wang & Bo Li, 2025, "Why Regression? Binary Encoding Classification Brings Confidence to Stock Market Index Price Prediction," Papers, arXiv.org, number 2506.03153, May.
- Feliks Ba'nka & Jaros{l}aw A. Chudziak, 2025, "Applying Informer for Option Pricing: A Transformer-Based Approach," Papers, arXiv.org, number 2506.05565, Jun.
- Frantisek Brazdik & Karel Musil & Tomas Pokorny & Tomas Sestorad & Jaromir Tonner & Jan Zacek, 2025, "Upgrading the Czech National Bank's Core Forecasting Model g3+," Working Papers, Czech National Bank, Research and Statistics Department, number 2025/7, May.
- Tom Boot & Bart Keijsers, 2025, "Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections," Papers, arXiv.org, number 2506.09575, Jun.
- Haochuan Wang, 2025, "Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer," Papers, arXiv.org, number 2506.05764, Jun, revised Jun 2025.
- Michal Franta & Jan Vlcek, 2025, "Inflation at Risk: The Czech Case," Working Papers, Czech National Bank, Research and Statistics Department, number 2025/8, May.
- Daniil Bargman, 2025, "Latent Variable Modelling by Supervised Diffusion," Papers, arXiv.org, number 2506.04488, Jun, revised Jan 2026.
- Heather Jane Ruberl & Remzi Baris Tercioglu & Elderfield,Adam, 2025, "Forecast Sensitivity to Global Risks : A BVAR Analysis," Policy Research Working Paper Series, The World Bank, number 11132, May.
- Harold D. Chiang & Jack Collison & Lorenzo Magnolfi & Christopher Sullivan, 2025, "Enhancing the Merger Simulation Toolkit with ML/AI," Papers, arXiv.org, number 2506.05225, Jun.
- Imad Talhartit & Sanae Ait Jillali & Mounime El Kabbouri, 2025, "Forecasting the Moroccan Stock Market: A Theoretical Approach Integrating Macroeconomic and Sentiment Data through Deep Learning," Post-Print, HAL, number hal-05094029, May, DOI: 10.5281/zenodo.15576354.
- Fréchette, Guillaume R & Vespa, Emanuel & Yuksel, Sevgi, 2025, "Extracting Statistical Relationships from Observational Data: Predicting with Full or Partial Information," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt57x6d5sw, May.
- Konstantin Boss & Luigi Longo & Luca Onorante, 2025, "Nowcasting the euro area with social media data," Papers, arXiv.org, number 2506.10546, Jun.
- Hasan Fallahgoul, 2025, "High-Dimensional Learning in Finance," Papers, arXiv.org, number 2506.03780, Jun, revised Jul 2025.
- Issa Sugiura & Takashi Ishida & Taro Makino & Chieko Tazuke & Takanori Nakagawa & Kosuke Nakago & David Ha, 2025, "EDINET-Bench: Evaluating LLMs on Complex Financial Tasks using Japanese Financial Statements," Papers, arXiv.org, number 2506.08762, Jun.