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Report NEP-FOR-2025-06-30
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:
- Timoth'ee Hornek Amir Sartipi & Igor Tchappi & Gilbert Fridgen, 2025, "Benchmarking Pre-Trained Time Series Models for Electricity Price Forecasting," Papers, arXiv.org, number 2506.08113, Jun, revised Aug 2025.
- Tobias Adrian & Domenico Giannone & Matteo Luciani & Mike West, 2025, "Scenario Synthesis and Macroeconomic Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-036, May, DOI: 10.17016/FEDS.2025.036.
- Joann Jasiak & Cheng Zhong, 2025, "Intraday Functional PCA Forecasting of Cryptocurrency Returns," Papers, arXiv.org, number 2505.20508, May.
- 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, arXiv.org, number 2506.06345, Jun.
- Xin Tian, 2025, "Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation," Papers, arXiv.org, number 2505.05646, May.
- Mihai Cucuringu & Kang Li & Chao Zhang, 2025, "Forecasting Intraday Volume in Equity Markets with Machine Learning," Papers, arXiv.org, number 2505.08180, May.
- Juvonen, Petteri & Lindblad, Annika, 2025, "Nowcasting in real time: Large Bayesian vector autoregression in a test," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2025.
- Austin Pollok, 2025, "Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?," Papers, arXiv.org, number 2506.07928, Jun.
- David T. Frazier & Donald S. Poskitt, 2025, "Sequential Scoring Rule Evaluation for Forecast Method Selection," Papers, arXiv.org, number 2505.09090, May.
- Lukas Bauer & Ekaterina Kazak, 2025, "Conditional Method Confidence Set," Papers, arXiv.org, number 2505.21278, May.
- Sofia Velasco, 2025, "Let the Tree Decide: FABART A Non-Parametric Factor Model," Papers, arXiv.org, number 2506.11551, Jun.
- Bernardina Algieri & Leonardo Iania & Arturo Leccadito & Giulia Meloni, 2024, "Message in a bottle: Forecasting wine prices," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/374676, Feb.
- 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, arXiv.org, number 2505.05595, May.
- Liexin Cheng & Xue Cheng & Shuaiqiang Liu, 2025, "Fast Learning in Quantitative Finance with Extreme Learning Machine," Papers, arXiv.org, number 2505.09551, May, revised May 2025.
- Ulrike Famira-Mühlberger & Klaus Nowotny, 2025, "Predicting the Uptake of Long-Term Care Benefits in Austria," WIFO Working Papers, WIFO, number 707, Jun.
- Vecgaile, Linda & Spata, Alessandro & Vecchietti, Luiz Felipe & Zagheni, Emilio, 2025, "Predicting Individual Life Trajectories: Addressing Uncertainty in Social Employment Transitions," SocArXiv, Center for Open Science, number 7ut9m_v1, Jun, DOI: 10.31219/osf.io/7ut9m_v1.