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Report NEP-FOR-2025-09-08
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:
- Mr. Sakai Ando & Shuvam Das & Sultan Orazbayev, 2025, "A Python Package to Assist Macroframework Forecasting: Concepts and Examples," IMF Working Papers, International Monetary Fund, number 2025/172, Aug.
- James W. Taylor & Chao Wang, 2025, "Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall," Papers, arXiv.org, number 2508.16919, Aug.
- Zhuohang Zhu & Haodong Chen & Qiang Qu & Vera Chung, 2025, "FinCast: A Foundation Model for Financial Time-Series Forecasting," Papers, arXiv.org, number 2508.19609, Aug.
- Yushi YOSHIDA, 2025, "Understanding How Exchange Rates are Perceived and How That Perception Affects Exchange Rate Forecasts," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 25079, Aug.
- Gaurav Singh, 2025, "Forecasting NYC Yellow Taxi Ridership Decline: A Time Series Analysis of Daily Passenger Counts (2017-2019)," Papers, arXiv.org, number 2507.10588, Jul.
- Susie McKenzie, 2025, "Vector Autoregressive Models for Tax Forecasting," Treasury Analytical Notes Series, New Zealand Treasury, number an25/03, Jul.
- 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, arXiv.org, number 2508.06497, Jul.
- Tingting Cheng & Jiachen Cong & Fei Liu & Xuanbin Yang, 2025, "Binary Response Forecasting under a Factor-Augmented Framework," Papers, arXiv.org, number 2507.16462, Jul.
- 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, arXiv.org, number 2509.01590, Sep.
- 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, arXiv.org, number 2508.09243, Aug.
- Hyunwoo Lee & Jihyeong Jeon & Jaemin Hong & U Kang, 2025, "Mitigating Distribution Shift in Stock Price Data via Return-Volatility Normalization for Accurate Prediction," Papers, arXiv.org, number 2508.20108, Aug, 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, University Library of Munich, Germany, number 125941, Aug, revised Aug 2025.
- Vîntu, Denis, 2025, "An Artificial Neural Network Experiment on the Prediction of the Unemployment Rate," MPRA Paper, University Library of Munich, Germany, number 125938, Aug, revised Aug 2025.
- Matthieu Garcin & Karl Sawaya & Thomas Valade, 2025, "Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatility," Papers, arXiv.org, number 2507.15437, Jul, revised Nov 2025.
- Ms. Natasha X Che & Mr. Federico J Diez & Anne Oeking & Weining Xin, 2025, "Dissecting Medium-Term Growth Prospects for Asia," IMF Working Papers, International Monetary Fund, number 2025/168, Aug.
- Atika Aouri & Philipp Otto, 2025, "A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks," Papers, arXiv.org, number 2508.20101, Aug.
- Jesus Cañas & Emily Kerr & Diego Morales-Burnett, 2025, "Texas Service Sector Outlook Survey: Survey Methodology, Performance and Forecast Accuracy," Working Papers, Federal Reserve Bank of Dallas, number 2532, Aug, DOI: 10.24149/wp2532.
- Lin Cai & Zhiyang He & Caiya Zhang, 2025, "Combined machine learning for stock selection strategy based on dynamic weighting methods," Papers, arXiv.org, number 2508.18592, Aug.
- Qizhao Chen & Hiroaki Kawashima, 2025, "Adaptive Alpha Weighting with PPO: Enhancing Prompt-Based LLM-Generated Alphas in Quant Trading," Papers, arXiv.org, number 2509.01393, Sep.
- 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, Banco de la Republica de Colombia, number 1325, Aug, DOI: 10.32468/be.1325.
- Freddy Garc'ia-Alb'an & Juan Jarr'in, 2025, "Tracking the economy at high frequency," Papers, arXiv.org, number 2507.07450, Jul.
- 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, Central Bank of Chile, number 1023, Oct.
- 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, Reserve Bank of Australia, number rdp2025-06, Aug, DOI: 10.47688/rdp2025-06.
- Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2025, "Alternative Loss Function in Evaluation of Transformer Models," Papers, arXiv.org, number 2507.16548, Jul, revised Jul 2025.