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Report NEP-FOR-2025-09-15
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:
- Yanlong Wang & Jian Xu & Fei Ma & Hongkang Zhang & Hang Yu & Tiantian Gao & Yu Wang & Haochen You & Shao-Lun Huang & Danny Dongning Sun & Xiao-Ping Zhang, 2025, "FinZero: Launching Multi-modal Financial Time Series Forecast with Large Reasoning Model," Papers, arXiv.org, number 2509.08742, Sep.
- Harrison Katz & Robert E. Weiss, 2025, "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," Papers, arXiv.org, number 2504.05489, Apr, revised Feb 2026.
- Jonathan Garita-Garita & César Ulate-Sancho, 2025, "Forecasting Nominal Exchange Rate using Deep Neural Networks," Documentos de Trabajo, Banco Central de Costa Rica, number 2505, Jul.
- Marcelo C. Medeiros & Jeronymo M. Pinro, 2025, "Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach," Papers, arXiv.org, number 2508.20795, Aug.
- Jakub Micha'nk'ow, 2025, "Forecasting Probability Distributions of Financial Returns with Deep Neural Networks," Papers, arXiv.org, number 2508.18921, Aug, revised Aug 2025.
- Ziyao Wang & Svetlozar T Rachev, 2025, "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers, arXiv.org, number 2509.01041, Aug.
- Fiona Xiao Jingyi & Lili Liu, 2025, "Can We Reliably Predict the Fed's Next Move? A Multi-Modal Approach to U.S. Monetary Policy Forecasting," Papers, arXiv.org, number 2506.22763, Jun.
- Giorgos Demosthenous & Chryssis Georgiou & Eliada Polydorou, 2025, "From On-chain to Macro: Assessing the Importance of Data Source Diversity in Cryptocurrency Market Forecasting," Papers, arXiv.org, number 2506.21246, Jun.
- Sourish Das, 2025, "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers, arXiv.org, number 2506.17549, Jun.
- Todd Clark & Florian Huber & Gary Koop, 2025, "A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors," Papers, arXiv.org, number 2508.13972, Aug.
- Mehran Akbari & Christian Bauer & Matthias Neuenkirch & Dennis Umlandt, 2024, "Economic Forecast Disagreement and Equity Pricing: International Evidence," Research Papers in Economics, University of Trier, Department of Economics, number 2025-07.
- 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," Papers, arXiv.org, number 2506.18505, Jun.
- Umberto Collodel, 2025, "Interpreting the Interpreter: Can We Model post-ECB Conferences Volatility with LLM Agents?," Papers, arXiv.org, number 2508.13635, Aug, revised Oct 2025.
- Shaofeng Kang & Zeying Tian, 2025, "Optimal Portfolio Construction -- A Reinforcement Learning Embedded Bayesian Hierarchical Risk Parity (RL-BHRP) Approach," Papers, arXiv.org, number 2508.11856, Aug.
- Christian Glocker & Serguei Kaniovski, 2025, "Enhancing Macroeconomic Forecasts with Uncertainty-Informed Intervals," WIFO Working Papers, WIFO, number 710, Sep.
- Sedigheh Mahdavi & Jiating & Chen & Pradeep Kumar Joshi & Lina Huertas Guativa & Upmanyu Singh, 2025, "Integrating Large Language Models in Financial Investments and Market Analysis: A Survey," Papers, arXiv.org, number 2507.01990, Jun.