Report NEP-FOR-2025-06-30

This is the archive for NEP-FOR, a report on new working papers in the area of Forecasting. Malte Knüppel issued this report. It is usually issued weekly.

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Other reports in NEP-FOR

The following items were announced in this report:

• Timoth'ee Hornek Amir Sartipi & Igor Tchappi & Gilbert Fridgen, 2025. "Benchmarking Pre-Trained Time Series Models for Electricity Price Forecasting," Papers 2506.08113, arXiv.org.
• Tobias Adrian & Domenico Giannone & Matteo Luciani & Mike West, 2025. "Scenario Synthesis and Macroeconomic Risk," Finance and Economics Discussion Series 2025-036, Board of Governors of the Federal Reserve System (U.S.).
• Joann Jasiak & Cheng Zhong, 2025. "Intraday Functional PCA Forecasting of Cryptocurrency Returns," Papers 2505.20508, arXiv.org.
• Sukru Selim Calik & Andac Akyuz & Zeynep Hilal Kilimci & Kerem Colak, 2025. "Explainable-AI powered stock price prediction using time series transformers: A Case Study on BIST100," Papers 2506.06345, arXiv.org.
• Xin Tian, 2025. "Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation," Papers 2505.05646, arXiv.org.
• Mihai Cucuringu & Kang Li & Chao Zhang, 2025. "Forecasting Intraday Volume in Equity Markets with Machine Learning," Papers 2505.08180, arXiv.org.
• Juvonen, Petteri & Lindblad, Annika, 2025. "Nowcasting in real time: Large Bayesian vector autoregression in a test," Bank of Finland Research Discussion Papers 6/2025, Bank of Finland.
• Austin Pollok, 2025. "Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?," Papers 2506.07928, arXiv.org.
• David T. Frazier & Donald S. Poskitt, 2025. "Sequential Scoring Rule Evaluation for Forecast Method Selection," Papers 2505.09090, arXiv.org.
• Lukas Bauer & Ekaterina Kazak, 2025. "Conditional Method Confidence Set," Papers 2505.21278, arXiv.org.
• Sofia Velasco, 2025. "Let the Tree Decide: FABART A Non-Parametric Factor Model," Papers 2506.11551, arXiv.org.
• Bernardina Algieri & Leonardo Iania & Arturo Leccadito & Giulia Meloni, 2024. "Message in a bottle: Forecasting wine prices," ULB Institutional Repository 2013/374676, ULB -- Universite Libre de Bruxelles.
• Wenhao Guo & Yuda Wang & Zeqiao Huang & Changjiang Zhang & Shumin ma, 2025. "Trading Under Uncertainty: A Distribution-Based Strategy for Futures Markets Using FutureQuant Transformer," Papers 2505.05595, arXiv.org.
• Liexin Cheng & Xue Cheng & Shuaiqiang Liu, 2025. "Fast Learning in Quantitative Finance with Extreme Learning Machine," Papers 2505.09551, arXiv.org, revised May 2025.
• Ulrike Famira-Mühlberger & Klaus Nowotny, 2025. "Predicting the Uptake of Long-Term Care Benefits in Austria," WIFO Working Papers 707, WIFO.
• Vecgaile, Linda & Spata, Alessandro & Vecchietti, Luiz Felipe & Zagheni, Emilio, 2025. "Predicting Individual Life Trajectories: Addressing Uncertainty in Social Employment Transitions," SocArXiv 7ut9m_v1, Center for Open Science.