Report NEP-FOR-2025-09-01

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:

• Grzegorz Dudek & Witold Orzeszko & Piotr Fiszeder, 2025. "Probabilistic Forecasting Cryptocurrencies Volatility: From Point to Quantile Forecasts," Papers 2508.15922, arXiv.org.
• Arkadiusz Lipiecki & Kaja Bilinska & Nikolaos Kourentzes & Rafal Weron, 2025. "Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF)," WORking papers in Management Science (WORMS) WORMS/25/06, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
• Jieyu Chen & Sebastian Lerch & Melanie Schienle & Tomasz Serafin & Rafal Weron, 2025. "Probabilistic intraday electricity price forecasting using generative machine learning," WORking papers in Management Science (WORMS) WORMS/25/05, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
• Arkadiusz Lipiecki & Kaja Bilinska & Nicolaos Kourentzes & Rafal Weron, 2025. "Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF)," Papers 2508.11372, arXiv.org.
• Rehim Kılıç, 2025. "Linear and nonlinear econometric models against machine learning models: realized volatility prediction," Finance and Economics Discussion Series 2025-061, Board of Governors of the Federal Reserve System (U.S.).
• Jinbo Cai & Wenze Li & Wenjie Wang, 2025. "Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy," Papers 2507.07477, arXiv.org.
• Alena Chan & Maria Garmonina, 2025. "From Rattle to Roar: Optimizer Showdown for MambaStock on S&P 500," Papers 2508.04707, arXiv.org.
• Yuqi Luan, 2025. "Deep Learning for Short Term Equity Trend Forecasting: A Behavior Driven Multi Factor Approach," Papers 2508.14656, arXiv.org.
• Roshan Shah, 2025. "American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework," Papers 2508.07151, arXiv.org, revised Aug 2025.
• Fayc{c}al Djebari & Kahina Mehidi & Khelifa Mazouz & Philipp Otto, 2025. "Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach," Papers 2507.15046, arXiv.org.
• Zhangying Li & O-Chia Chuang & Rangan Gupta & Elie Bouri, 2025. "The Roles of Global Supply Chain Pressure and Economic Conditions in Forecasting the VaR of Commodity Markets: A Quantile GARCH-MIDAS Approach," Working Papers 202528, University of Pretoria, Department of Economics.
• Diego Vallarino, 2025. "Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting," Papers 2508.02686, arXiv.org.
• Jialing Han & Yu-Ning Li, 2025. "Approximate Factor Model with S-vine Copula Structure," Papers 2508.11619, arXiv.org.
• Mehmet Balcilar & Kenny Kutu & Sonali Das & Rangan Gupta, 2025. "Predicting the Conditional Distributions of Inflation and Inflation Uncertainty in South Africa: The Role of Climate Risks," Working Papers 202529, University of Pretoria, Department of Economics.
• Chenghao Liu & Aniket Mahanti & Ranesh Naha & Guanghao Wang & Erwann Sbai, 2025. "Enhancing Cryptocurrency Sentiment Analysis with Multimodal Features," Papers 2508.15825, arXiv.org, revised Aug 2025.
• Danilo Leiva-León & Viacheslav Sheremirov & Jenny Tang & Egon Zakrajšek, 2025. "Inflation Factors," Working Papers 25-5, Federal Reserve Bank of Boston.
• Paul Glasserman & Kriste Krstovski & Paul Laliberte & Harry Mamaysky, 2025. "Does Overnight News Explain Overnight Returns?," Papers 2507.04481, arXiv.org.
• Ece Fisgin & Joaquin Garcia-Cabo & Alex Haag & Mitch Lott, 2025. "Expanding the Labor Market Lens: Two New Eurozone Labor Indicators," International Finance Discussion Papers 1415, Board of Governors of the Federal Reserve System (U.S.).
• Little, Andrew T. & Moore, Don A & Augenblick, Ned & Backus, Matthew, 2025. "Assumptions, Disagreement, and Overprecision: Theory and Evidence," OSF Preprints mnv4k_v1, Center for Open Science.