Report NEP-FOR-2025-10-13

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:

• Yousef Adeli Sadabad & Mohammad Reza Hesamzadeh & Gyorgy Dan & Matin Bagherpour & Darryl R. Biggar, 2025. "Driver Identification and PCA Augmented Selection Shrinkage Framework for Nordic System Price Forecasting," Papers 2509.18887, arXiv.org.
• Ava C. Blake & Nivika A. Gandhi & Anurag R. Jakkula, 2025. "Improving S&P 500 Volatility Forecasting through Regime-Switching Methods," Papers 2510.03236, arXiv.org.
• Isaac Baley & Javier Turen, 2024. "Lumpy forecasts," Economics Working Papers 1898, Department of Economics and Business, Universitat Pompeu Fabra.
• Sid Ghatak & Arman Khaledian & Navid Parvini & Nariman Khaledian, 2025. "Increase Alpha: Performance and Risk of an AI-Driven Trading Framework," Papers 2509.16707, arXiv.org, revised Oct 2025.
• Lokesh Antony Kadiyala & Amir Mirzaeinia, 2025. "Mamba Outpaces Reformer in Stock Prediction with Sentiments from Top Ten LLMs," Papers 2510.01203, arXiv.org.
• Anoushka Harit & Zhongtian Sun & Jongmin Yu, 2025. "From News to Returns: A Granger-Causal Hypergraph Transformer on the Sphere," Papers 2510.04357, arXiv.org.
• Monica Bonacina & Romolo Consigna Tokong, 2025. "Is Italy on Track? A Data-Driven Forecast for Road Transport Decarbonisation by 2030," Working Papers 2025.19, Fondazione Eni Enrico Mattei.
• Giovanni Bonaccolto & Sayar Karmakar & Elie Bouri & Rangan Gupta, 2025. "Spillover and Predictability of Volatility of 50 Major Cryptocurrencies: Evidence from a LASSO-Regularized Quantile VAR," Working Papers 202538, University of Pretoria, Department of Economics.
• Davit Gondauri, 2025. "Forecasting Inflation Based on Hybrid Integration of the Riemann Zeta Function and the FPAS Model (FPAS + $\zeta$): Cyclical Flexibility, Socio-Economic Challenges and Shocks, and Comparative Analysis," Papers 2510.02966, arXiv.org.
• Qingyuan Han, 2025. "Equity Market Price Changes Are Predictable: A Natural Science Approach," Papers 2510.01542, arXiv.org.
• Ziyan Zhao & Qingfeng Liu, 2024. "Time-Varying Structural Approximate Dynamic Factor Model," Economic Growth Centre Working Paper Series 2401, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Miguel Alves Pereira, 2025. "Predictive economics: Rethinking economic methodology with machine learning," Papers 2510.04726, arXiv.org.
• Leonardo N. Ferreira & Haroon Mumtaz & Ana Skoblar, 2025. "Stochastic Volatility-in-mean VARs with Time-Varying Skewness," Papers 2510.08415, arXiv.org.
• Samuel N. Cohen & Cephas Svosve, 2025. "Linking Path-Dependent and Stochastic Volatility Models," Papers 2510.02024, arXiv.org.
• Kairan Hong & Jinling Gan & Qiushi Tian & Yanglinxuan Guo & Rui Guo & Runnan Li, 2025. "Multi-Agent Analysis of Off-Exchange Public Information for Cryptocurrency Market Trend Prediction," Papers 2510.08268, arXiv.org.
• Andrew Foerster & Andreas Hornstein & Pierre-Daniel Sarte & Mark W. Watson, 2025. "The Past and Future of U.S. Structural Change: Compositional Accounting and Forecasting," NBER Working Papers 34338, National Bureau of Economic Research, Inc.
• Byeungchun Kwon & Taejin Park & Phurichai Rungcharoenkitkul & Frank Smets, 2025. "Parsing the pulse: decomposing macroeconomic sentiment with LLMs," BIS Working Papers 1294, Bank for International Settlements.
• Yanran Wu & Xinlei Zhang & Quanyi Xu & Qianxin Yang & Chao Zhang, 2025. "Predicting Credit Spreads and Ratings with Machine Learning: The Role of Non-Financial Data," Papers 2509.19042, arXiv.org.
• Masahiro Kato & Kentaro Baba & Hibiki Kaibuchi & Ryo Inokuchi, 2025. "Bayesian Portfolio Optimization by Predictive Synthesis," Papers 2510.07180, arXiv.org.
• Yoontae Hwang & Stefan Zohren, 2025. "Signature-Informed Transformer for Asset Allocation," Papers 2510.03129, arXiv.org.
• Okan Akarsu & Huzeyfe Torun, 2025. "Firms’ Inflation Expectations During the Phases of Inflation," CBT Research Notes in Economics 2519, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Okan Akarsu & Altan Aldan & Unal Seven, 2025. "Pessimism and Inflation: How Firms' Perception of Economic Outlook Shapes Inflation Expectations"," CBT Research Notes in Economics 2521, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Kremens, Lukas & Martin, Ian & Varela, Liliana, 2025. "Long-horizon exchange rate expectations," LSE Research Online Documents on Economics 127790, London School of Economics and Political Science, LSE Library.
• Okan Akarsu & Emrehan Aktug & Altan Aldan & Unal Seven, 2025. "A Quasi-Experiment in Monetary Policy: The Impact of Unexpected Easing on Inflation Expectations and Firm Behavior," Working Papers 2516, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Anna Cole & Michael W. McCracken, 2025. "How Well Are Inflation Expectations Anchored? Two Datasets Compared," On the Economy 101823, Federal Reserve Bank of St. Louis.