Report NEP-FOR-2025-09-29

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:

• Adebola K. Ojo & Ifechukwude Jude Okafor, 2025. "Forecasting Nigerian Equity Stock Returns Using Long Short-Term Memory Technique," Papers 2507.01964, arXiv.org.
• Hyung Joo Kim & Dong Hwan Oh, 2025. "Local Estimation for Option Pricing: Improving Forecasts with Market State Information," Finance and Economics Discussion Series 2025-076, Board of Governors of the Federal Reserve System (U.S.).
• Arash Peik & Mohammad Ali Zare Chahooki & Amin Milani Fard & Mehdi Agha Sarram, 2025. "Adaptive Temporal Fusion Transformers for Cryptocurrency Price Prediction," Papers 2509.10542, arXiv.org.
• Hao Wang & Jingshu Peng & Yanyan Shen & Xujia Li & Lei Chen, 2025. "Momentum-integrated Multi-task Stock Recommendation with Converge-based Optimization," Papers 2509.10461, arXiv.org.
• Ekaterina V. Peneva & Jeremy B. Rudd & Daniel Villar Vallenas, 2025. "Retrospective on the Federal Reserve Board Staff's Inflation Forecast Errors since 2019," Finance and Economics Discussion Series 2025-069, Board of Governors of the Federal Reserve System (U.S.).
• Nicolas Apfel & Holger Breinlich & Nick Green & Dennis Novy & J. M. C. Santos Silva & Tom Zylkin, 2025. "Out-of-sample gravity predictions and trade policy counterfactuals," Papers 2509.11271, arXiv.org, revised Sep 2025.
• Vahab Rostampour, 2025. "Stabilising Lifetime PD Models under Forecast Uncertainty," Papers 2509.10586, arXiv.org, revised Sep 2025.
• Jirong Zhuang & Xuan Wu, 2025. "Meta-Learning Neural Process for Implied Volatility Surfaces with SABR-induced Priors," Papers 2509.11928, arXiv.org, revised Oct 2025.
• Todd Prono, 2025. "When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models," Finance and Economics Discussion Series 2025-075, Board of Governors of the Federal Reserve System (U.S.).
• Yi Lu & Aifan Ling & Chaoqun Wang & Yaxin Xu, 2025. "Why Bonds Fail Differently? Explainable Multimodal Learning for Multi-Class Default Prediction," Papers 2509.10802, arXiv.org.
• Francois-Michel Boire & Thibaut Duprey & Alexander Ueberfeldt, 2025. "Financial Shocks and the Output Growth Distribution," Staff Working Papers 25-25, Bank of Canada.
• Angelini, Elena & Bokan, Nikola & Ciccarelli, Matteo & Lalik, Magdalena & Zimic, Srečko, 2025. "The ECB-Multi Country Model. A semi-structural model for forecasting and policy analysis for the largest euro area countries," Working Paper Series 3119, European Central Bank.
• Kuok Sin Un & Marcel Ausloos, 2025. "Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior," Papers 2509.10483, arXiv.org.
• Stéphane Lhuissier, 2025. "Assessing Asymmetric Macroeconomic Risk," Working papers 1004, Banque de France.