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Report NEP-FOR-2025-08-25
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:
- Arkadiusz Lipiecki & Bartosz Uniejewski, 2025, "Isotonic Quantile Regression Averaging for uncertainty quantification of electricity price forecasts," Papers, arXiv.org, number 2507.15079, Jul.
- Zhiren Ma & Qian Zhao & Riquan Zhang & Zhaoxing Gao, 2025, "High-Dimensional Matrix-Variate Diffusion Index Models for Time Series Forecasting," Papers, arXiv.org, number 2508.04259, Aug.
- Haojie Liu & Zihan Lin, 2025, "A Projection-Based ARIMA Framework for Nonlinear Dynamics in Macroeconomic and Financial Time Series: Closed-Form Estimation and Rolling-Window Inference," Papers, arXiv.org, number 2507.07469, Jul, revised Mar 2026.
- Christopher Clayton & Antonio Coppola, 2025, "Financial Regulation and AI: A Faustian Bargain?," Papers, arXiv.org, number 2507.18747, Jul.
- 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, arXiv.org, number 2508.02758, Aug.
- Chi-Sheng Chen & Aidan Hung-Wen Tsai, 2025, "Benchmarking Classical and Quantum Models for DeFi Yield Prediction on Curve Finance," Papers, arXiv.org, number 2508.02685, Jul.
- 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, number hal-05177777, Jul, DOI: 10.5539/ijef.v17n8p87.
- Peter Haan & Chen Sun & Felix Weinhardt & Georg Weizsäcker, 2025, "Measuring Long-Run Expectations that Correlate with Investment Decisions," Berlin School of Economics Discussion Papers, Berlin School of Economics, number 0070, Jul, DOI: 10.48462/opus4-5904.
- Donia Besher & Anirban Sengupta & Tanujit Chakraborty, 2025, "Probabilistic Forecasting of Climate Policy Uncertainty: The Role of Macro-financial Variables and Google Search Data," Papers, arXiv.org, number 2507.12276, Jul, revised Jan 2026.
- Imen Mahmoud & Andrei Velichko, 2025, "Evaluating COVID 19 Feature Contributions to Bitcoin Return Forecasting: Methodology Based on LightGBM and Genetic Optimization," Papers, arXiv.org, number 2508.00078, Jul.
- 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, Banco Central de Costa Rica, number 2405, Oct.
- Hess, Dieter & Simon, Frederik & Weibels, Sebastian, 2025, "Interpretable machine learning for earnings forecasts: Leveraging high-dimensional financial statement data," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 25-06.
- 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, arXiv.org, number 2508.02739, Aug.
- Easton, Peter & Kapons, Martin & Monahan, S. & Schütt, Harm & Weisbrod, Eric H., 2024, "Forecasting earnings using k-nearest neighbor classification," Other publications TiSEM, Tilburg University, School of Economics and Management, number 47b3dffb-5015-44a5-8519-f.
- Christian Conrad & Zeno Enders & Gernot Müller, 2025, "Inflation Forecast Targeting Revisited," CESifo Working Paper Series, CESifo, number 12006.
- Mahdi Goldani, 2025, "A comparison between behavioral similarity methods vs standard deviation method in predicting time series dataset, case study of finance market," Papers, arXiv.org, number 2507.16655, Jul.
- Maciej Wysocki & Pawe{l} Sakowski, 2025, "Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning Models," Papers, arXiv.org, number 2508.14999, Aug.
- Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang, 2025, "Testing Clustered Equal Predictive Ability with Unknown Clusters," Papers, arXiv.org, number 2507.14621, Jul, revised Jul 2025.
- Stefan Nagel, 2025, "Seemingly Virtuous Complexity in Return Prediction," NBER Working Papers, National Bureau of Economic Research, Inc, number 34104, Aug.
- 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, Central Bank of Brazil, Research Department, number 625, Aug.
- 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, arXiv.org, number 2507.21559, Jul.
- 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, Indira Gandhi Institute of Development Research, Mumbai, India, number 2025-021, Aug.
- Kenneth D. West & Kurt G. Lunsford, 2025, "Random Walk Forecasts of Stationary Processes Have Low Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 34112, Aug.
- 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, University of Pretoria, Department of Economics, number 202526, Aug.
- Michael McGrane, 2025, "A Survey-Based Shifting-Endpoint Dynamic Term Structure Model of Interest Rates: Working Paper 2025-03," Working Papers, Congressional Budget Office, number 60888, Aug.
- Gorodnichenko, Yuriy & Vasudevan, Vittal, 2025, "Macroeconomic Expectations in a War," IZA Discussion Papers, IZA Network @ LISER, number 18017, Jul.