Report NEP-FOR-2025-09-08

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-FOR

The following items were announced in this report:

• Mr. Sakai Ando & Shuvam Das & Sultan Orazbayev, 2025. "A Python Package to Assist Macroframework Forecasting: Concepts and Examples," IMF Working Papers 2025/172, International Monetary Fund.
• James W. Taylor & Chao Wang, 2025. "Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall," Papers 2508.16919, arXiv.org.
• Zhuohang Zhu & Haodong Chen & Qiang Qu & Vera Chung, 2025. "FinCast: A Foundation Model for Financial Time-Series Forecasting," Papers 2508.19609, arXiv.org.
• Yushi YOSHIDA, 2025. "Understanding How Exchange Rates are Perceived and How That Perception Affects Exchange Rate Forecasts," Discussion papers 25079, Research Institute of Economy, Trade and Industry (RIETI).
• Gaurav Singh, 2025. "Forecasting NYC Yellow Taxi Ridership Decline: A Time Series Analysis of Daily Passenger Counts (2017-2019)," Papers 2507.10588, arXiv.org.
• Susie McKenzie, 2025. "Vector Autoregressive Models for Tax Forecasting," Treasury Analytical Notes Series an25/03, New Zealand Treasury.
• Mohammed-Khalil Ghali & Cecil Pang & Oscar Molina & Carlos Gershenson-Garcia & Daehan Won, 2025. "Forecasting Commodity Price Shocks Using Temporal and Semantic Fusion of Prices Signals and Agentic Generative AI Extracted Economic News," Papers 2508.06497, arXiv.org.
• Tingting Cheng & Jiachen Cong & Fei Liu & Xuanbin Yang, 2025. "Binary Response Forecasting under a Factor-Augmented Framework," Papers 2507.16462, arXiv.org.
• Bingyang Wang & Grant Johnson & Maria Hybinette & Tucker Balch, 2025. "Is All the Information in the Price? LLM Embeddings versus the EMH in Stock Clustering," Papers 2509.01590, arXiv.org.
• Sebastian Kot, 2025. "Forecasting Binary Economic Events in Modern Mercantilism: Traditional methodologies coupled with PCA and K-means Quantitative Analysis of Qualitative Sentimental Data," Papers 2508.09243, arXiv.org.
• Hyunwoo Lee & Jihyeong Jeon & Jaemin Hong & U Kang, 2025. "Mitigating Distribution Shift in Stock Price Data via Return-Volatility Normalization for Accurate Prediction," Papers 2508.20108, arXiv.org, revised Aug 2025.
• Vîntu, Denis, 2025. "Estimation of the Unemployment Rate in Moldova: A Comparison of ARIMA and Machine Learning Models Including COVID-19 Pandemic Periods," MPRA Paper 125941, University Library of Munich, Germany, revised Aug 2025.
• Vîntu, Denis, 2025. "An Artificial Neural Network Experiment on the Prediction of the Unemployment Rate," MPRA Paper 125938, University Library of Munich, Germany, revised Aug 2025.
• Matthieu Garcin & Karl Sawaya & Thomas Valade, 2025. "Prediction of linear fractional stable motions using codifference," Papers 2507.15437, arXiv.org.
• Ms. Natasha X Che & Mr. Federico J Diez & Anne Oeking & Weining Xin, 2025. "Dissecting Medium-Term Growth Prospects for Asia," IMF Working Papers 2025/168, International Monetary Fund.
• Atika Aouri & Philipp Otto, 2025. "A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks," Papers 2508.20101, arXiv.org.
• Jesus Cañas & Emily Kerr & Diego Morales-Burnett, 2025. "Texas Service Sector Outlook Survey: Survey Methodology, Performance and Forecast Accuracy," Working Papers 2532, Federal Reserve Bank of Dallas.
• Lin Cai & Zhiyang He & Caiya Zhang, 2025. "Combined machine learning for stock selection strategy based on dynamic weighting methods," Papers 2508.18592, arXiv.org.
• Qizhao Chen & Hiroaki Kawashima, 2025. "Adaptive Alpha Weighting with PPO: Enhancing Prompt-Based LLM-Generated Alphas in Quant Trading," Papers 2509.01393, arXiv.org.
• Diego Fernando Cuesta-Mora & Camilo Gómez, 2025. "Dynamic Balance Sheet Simulation and Credit Default Prediction: A Stress Test Model for Colombian Firms," Borradores de Economia 1325, Banco de la Republica de Colombia.
• Freddy Garc'ia-Alb'an & Juan Jarr'in, 2025. "Tracking the economy at high frequency," Papers 2507.07450, arXiv.org.
• Antoni Espasa & Guillermo Carlomagno, 2024. "Modelling high frequency non-financial big time series with an application to jobless claims in Chile," Working Papers Central Bank of Chile 1023, Central Bank of Chile.
• Nicholas Gray & Finn Lattimore & Kate McLoughlin & Callan Windsor, 2025. "An AI-powered Tool for Central Bank Business Liaisons: Quantitative Indicators and On-demand Insights from Firms," RBA Research Discussion Papers rdp2025-06, Reserve Bank of Australia.
• Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2025. "Alternative Loss Function in Evaluation of Transformer Models," Papers 2507.16548, arXiv.org, revised Jul 2025.