Report NEP-FOR-2025-08-18

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:

• Duo Zhang & Jiayu Li & Junyi Mo & Elynn Chen, 2025. "Time-Varying Factor-Augmented Models for Volatility Forecasting," Papers 2508.01880, arXiv.org.
• Ben A. Marconi, 2025. "Time Series Foundation Models for Multivariate Financial Time Series Forecasting," Papers 2507.07296, arXiv.org.
• Zihan Lin & Haojie Liu & Randall R. Rojas, 2025. "Dependency Network-Based Portfolio Design with Forecasting and VaR Constraints," Papers 2507.20039, arXiv.org.
• Sicheng Fu & Fangfang Zhu & Xiangdong Liu, 2025. "A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market," Papers 2507.22409, arXiv.org.
• Coppola, Antonio & Clayton, Christopher, 2025. "Financial Regulation and AI: A Faustian Bargain?," SocArXiv xwsje_v1, Center for Open Science.
• Jiawen Luo & Jingyi Deng & Juncal Cunado & Rangan Gupta, 2025. "Forecasting GDP with Oil Price Shocks: A Mixed-Frequency Time-Varying Perspective," Working Papers 202523, University of Pretoria, Department of Economics.
• Sung Hoon Choi & Donggyu Kim, 2025. "Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility," Papers 2507.22173, arXiv.org.
• Maretha Roseline Syahnie & Muhammad Ryan Sanjaya, 2024. "Financing MSMEs in Indonesia: Credit and Financial Inclusion," Gadjah Mada Economics Working Paper Series 202407007, Department of Economics, Faculty of Economics and Business, Universitas Gadjah Mada.
• Duane, Jackson & Ren, Alicia & Zhang, Wei, 2025. "Deep Learning Models for Financial Data Analysis: A Focused Review of Recent Advances," OSF Preprints ctxf9_v1, Center for Open Science.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Yunhan Zhang, 2025. "Climate Policy Uncertainty and the Forecastability of Inflation," Working Papers 202525, University of Pretoria, Department of Economics.
• Yusifzada, Tural & Cömert, Hasan & Ahmadov, Vugar, 2025. "A composite approach to nonlinear inflation dynamics in BRICS countries and Türkiye," BOFIT Discussion Papers 5/2025, Bank of Finland Institute for Emerging Economies (BOFIT).
• Kase, Hanno & Rigato, Rodolfo Dinis, 2025. "Beyond averages: heterogeneous effects of monetary policy in a HANK model for the euro area," Working Paper Series 3086, European Central Bank.
• Schultze, Michelle, 2025. "In the Shadow of War: Assessing Conflict-Driven Disruptions in the Kyrgyzstan-Russia Labor Pipeline via a Gradient Boosting Approach to Nowcasting," SocArXiv z2wch_v1, Center for Open Science.
• Stefan Sauer & Klaus Wohlrabe, 2025. "Explaining Business Sentiment: Insights from the ifo Business Survey," CESifo Working Paper Series 12007, CESifo.
• Volz, Ute & Wicknig, Florian, 2025. "Anchoring of survey-based inflation expectations: Risk assessment relative to the inflation target," Technical Papers 02/2025, Deutsche Bundesbank.