Report NEP-FOR-2025-09-15

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:

• 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 2509.08742, arXiv.org.
• Harrison Katz & Robert E. Weiss, 2025. "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," Papers 2504.05489, arXiv.org, revised Aug 2025.
• Jonathan Garita-Garita & César Ulate-Sancho, 2025. "Forecasting Nominal Exchange Rate using Deep Neural Networks," Documentos de Trabajo 2505, Banco Central de Costa Rica.
• Marcelo C. Medeiros & Jeronymo M. Pinro, 2025. "Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach," Papers 2508.20795, arXiv.org.
• Jakub Micha'nk'ow, 2025. "Forecasting Probability Distributions of Financial Returns with Deep Neural Networks," Papers 2508.18921, arXiv.org, revised Aug 2025.
• Ziyao Wang & Svetlozar T Rachev, 2025. "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers 2509.01041, arXiv.org.
• 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 2506.22763, arXiv.org.
• Giorgos Demosthenous & Chryssis Georgiou & Eliada Polydorou, 2025. "From On-chain to Macro: Assessing the Importance of Data Source Diversity in Cryptocurrency Market Forecasting," Papers 2506.21246, arXiv.org.
• Sourish Das, 2025. "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers 2506.17549, arXiv.org.
• Todd Clark & Florian Huber & Gary Koop, 2025. "A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors," Papers 2508.13972, arXiv.org.
• Mehran Akbari & Christian Bauer & Matthias Neuenkirch & Dennis Umlandt, 2024. "Economic Forecast Disagreement and Equity Pricing: International Evidence," Research Papers in Economics 2025-07, University of Trier, Department of Economics.
• 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 2506.18505, arXiv.org.
• Umberto Collodel, 2025. "Interpreting the Interpreter: Can We Model post-ECB Conferences Volatility with LLM Agents?," Papers 2508.13635, arXiv.org.
• Shaofeng Kang & Zeying Tian, 2025. "Optimal Portfolio Construction -- A Reinforcement Learning Embedded Bayesian Hierarchical Risk Parity (RL-BHRP) Approach," Papers 2508.11856, arXiv.org.
• Christian Glocker & Serguei Kaniovski, 2025. "Enhancing Macroeconomic Forecasts with Uncertainty-Informed Intervals," WIFO Working Papers 710, WIFO.
• 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 2507.01990, arXiv.org.