Report NEP-FOR-2025-08-25

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:

• Arkadiusz Lipiecki & Bartosz Uniejewski, 2025. "Isotonic Quantile Regression Averaging for uncertainty quantification of electricity price forecasts," Papers 2507.15079, arXiv.org.
• Zhiren Ma & Qian Zhao & Riquan Zhang & Zhaoxing Gao, 2025. "High-Dimensional Matrix-Variate Diffusion Index Models for Time Series Forecasting," Papers 2508.04259, arXiv.org.
• Haojie Liu & Zihan Lin, 2025. "Galerkin-ARIMA: A Two-Stage Polynomial Regression Framework for Fast Rolling One-Step-Ahead Forecasting," Papers 2507.07469, arXiv.org, revised Jul 2025.
• Christopher Clayton & Antonio Coppola, 2025. "Financial Regulation and AI: A Faustian Bargain?," Papers 2507.18747, arXiv.org.
• Yihao Ang & Qiang Wang & Qiang Huang & Yifan Bao & Xinyu Xi & Anthony K. H. Tung & Chen Jin & Zhiyong Huang, 2025. "CTBench: Cryptocurrency Time Series Generation Benchmark," Papers 2508.02758, arXiv.org.
• Chi-Sheng Chen & Aidan Hung-Wen Tsai, 2025. "Benchmarking Classical and Quantum Models for DeFi Yield Prediction on Curve Finance," Papers 2508.02685, arXiv.org.
• Imad Talhartit & Sanae Ait Jillali & Mounime El Kabbouri, 2025. "Enhancing Stock Price Forecasting with LSTM Networks: A Comparative Study of Classic and PSO-Optimized Models on S&P 500 Stocks," Post-Print hal-05177777, HAL.
• Peter Haan & Chen Sun & Felix Weinhardt & Georg Weizsäcker, 2025. "Measuring Long-Run Expectations that Correlate with Investment Decisions," Berlin School of Economics Discussion Papers 0070, Berlin School of Economics.
• Donia Besher & Anirban Sengupta & Tanujit Chakraborty, 2025. "Forecasting Climate Policy Uncertainty: Evidence from the United States," Papers 2507.12276, arXiv.org.
• Imen Mahmoud & Andrei Velichko, 2025. "Evaluating COVID 19 Feature Contributions to Bitcoin Return Forecasting: Methodology Based on LightGBM and Genetic Optimization," Papers 2508.00078, arXiv.org.
• Alberto Vindas-Quesada & Carlos Brenes-Soto & Adriana Sandí-Esquivel & Susan Jiménez-Montero, 2024. "Univariate inflation forecasts in Costa Rica: model evaluation and selection," Notas Técnicas 2405, Banco Central de Costa Rica.
• Hess, Dieter & Simon, Frederik & Weibels, Sebastian, 2025. "Interpretable machine learning for earnings forecasts: Leveraging high-dimensional financial statement data," CFR Working Papers 25-06, University of Cologne, Centre for Financial Research (CFR).
• Yu Shi & Zongliang Fu & Shuo Chen & Bohan Zhao & Wei Xu & Changshui Zhang & Jian Li, 2025. "Kronos: A Foundation Model for the Language of Financial Markets," Papers 2508.02739, arXiv.org.
• Easton, Peter & Kapons, Martin & Monahan, S. & Schütt, Harm & Weisbrod, Eric H., 2024. "Forecasting earnings using k-nearest neighbor classification," Other publications TiSEM 47b3dffb-5015-44a5-8519-f, Tilburg University, School of Economics and Management.
• Christian Conrad & Zeno Enders & Gernot Müller, 2025. "Inflation Forecast Targeting Revisited," CESifo Working Paper Series 12006, CESifo.
• Mahdi Goldani, 2025. "A comparison between behavioral similarity methods vs standard deviation method in predicting time series dataset, case study of finance market," Papers 2507.16655, arXiv.org.
• Maciej Wysocki & Pawe{l} Sakowski, 2025. "Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning Models," Papers 2508.14999, arXiv.org.
• Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang, 2025. "Testing Clustered Equal Predictive Ability with Unknown Clusters," Papers 2507.14621, arXiv.org, revised Jul 2025.
• Stefan Nagel, 2025. "Seemingly Virtuous Complexity in Return Prediction," NBER Working Papers 34104, National Bureau of Economic Research, Inc.
• Gustavo Silva Araujo & José Ignacio Ándres Bergallo & Flávio de Freitas Val, 2025. "Do Inflation-Linked Bonds Predict Future Inflation? a reassessment using novel methodologies and instruments," Working Papers Series 625, Central Bank of Brazil, Research Department.
• Dan Li & Vassili Kitsios & David Newth & Terence John O'Kane, 2025. "A Bayesian Ensemble Projection of Climate Change and Technological Impacts on Future Crop Yields," Papers 2507.21559, arXiv.org.
• Yogeshwar Bharat & Rajeswari Sengupta & Gautham Udupa, 2025. "Is core inflation useful in predicting headline inflation? Evidence from a large, emerging economy," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2025-021, Indira Gandhi Institute of Development Research, Mumbai, India.
• Kenneth D. West & Kurt G. Lunsford, 2025. "Random Walk Forecasts of Stationary Processes Have Low Bias," NBER Working Papers 34112, National Bureau of Economic Research, Inc.
• Massimiliano Caporin & Rangan Gupta & Sowmya Subramaniam & Hudson S. Torrent, 2025. "Supply Constraints and Conditional Distribution Predictability of Inflation and its Volatility: A Non-parametric Mixed-Frequency Causality-in-Quantiles Approach," Working Papers 202526, University of Pretoria, Department of Economics.
• Michael McGrane, 2025. "A Survey-Based Shifting-Endpoint Dynamic Term Structure Model of Interest Rates: Working Paper 2025-03," Working Papers 60888, Congressional Budget Office.
• Gorodnichenko, Yuriy & Vasudevan, Vittal, 2025. "Macroeconomic Expectations in a War," IZA Discussion Papers 18017, Institute of Labor Economics (IZA).