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Report NEP-FOR-2025-09-01
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:
- Grzegorz Dudek & Witold Orzeszko & Piotr Fiszeder, 2025, "Probabilistic Forecasting Cryptocurrencies Volatility: From Point to Quantile Forecasts," Papers, arXiv.org, number 2508.15922, Aug.
- 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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/25/06.
- 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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/25/05.
- Arkadiusz Lipiecki & Kaja Bilinska & Nicolaos Kourentzes & Rafal Weron, 2025, "Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF)," Papers, arXiv.org, number 2508.11372, Aug, revised Mar 2026.
- Rehim Kılıç, 2025, "Linear and nonlinear econometric models against machine learning models: realized volatility prediction," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-061, Aug, DOI: 10.17016/FEDS.2025.061.
- Jinbo Cai & Wenze Li & Wenjie Wang, 2025, "Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy," Papers, arXiv.org, number 2507.07477, Jul.
- Alena Chan & Maria Garmonina, 2025, "From Rattle to Roar: Optimizer Showdown for MambaStock on S&P 500," Papers, arXiv.org, number 2508.04707, Jul.
- Yuqi Luan, 2025, "Deep Learning for Short Term Equity Trend Forecasting: A Behavior Driven Multi Factor Approach," Papers, arXiv.org, number 2508.14656, Aug.
- Roshan Shah, 2025, "American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework," Papers, arXiv.org, number 2508.07151, Aug, revised Aug 2025.
- Fayc{c}al Djebari & Kahina Mehidi & Khelifa Mazouz & Philipp Otto, 2025, "Forecasting Oil Volatility through Network Models with GARCH-Informed Correlation Weights," Papers, arXiv.org, number 2507.15046, Jul, revised Feb 2026.
- 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, University of Pretoria, Department of Economics, number 202528, Aug.
- Diego Vallarino, 2025, "Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting," Papers, arXiv.org, number 2508.02686, Jul.
- Jialing Han & Yu-Ning Li, 2025, "Approximate Factor Model with S-vine Copula Structure," Papers, arXiv.org, number 2508.11619, Aug.
- 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, University of Pretoria, Department of Economics, number 202529, Aug.
- Chenghao Liu & Aniket Mahanti & Ranesh Naha & Guanghao Wang & Erwann Sbai, 2025, "Enhancing Cryptocurrency Sentiment Analysis with Multimodal Features," Papers, arXiv.org, number 2508.15825, Aug, revised Aug 2025.
- Danilo Leiva-León & Viacheslav Sheremirov & Jenny Tang & Egon Zakrajšek, 2025, "Inflation Factors," Working Papers, Federal Reserve Bank of Boston, number 25-5, Aug, DOI: 10.29412/res.wp.2025.05.
- Paul Glasserman & Kriste Krstovski & Paul Laliberte & Harry Mamaysky, 2025, "Does Overnight News Explain Overnight Returns?," Papers, arXiv.org, number 2507.04481, Jul.
- Ece Fisgin & Joaquin Garcia-Cabo & Alex Haag & Mitch Lott, 2025, "Expanding the Labor Market Lens: Two New Eurozone Labor Indicators," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1415, Aug, DOI: 10.17016/IFDP.2025.1415.
- Little, Andrew T. & Moore, Don A & Augenblick, Ned & Backus, Matthew, 2025, "Assumptions, Disagreement, and Overprecision: Theory and Evidence," OSF Preprints, Center for Open Science, number mnv4k_v1, Aug, DOI: 10.31219/osf.io/mnv4k_v1.