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Report NEP-FOR-2025-10-13
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:
- 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, arXiv.org, number 2509.18887, Sep.
- Ava C. Blake & Nivika A. Gandhi & Anurag R. Jakkula, 2025, "Improving S&P 500 Volatility Forecasting through Regime-Switching Methods," Papers, arXiv.org, number 2510.03236, Sep.
- Isaac Baley & Javier Turen, 2024, "Lumpy forecasts," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1898, Dec.
- Sid Ghatak & Arman Khaledian & Navid Parvini & Nariman Khaledian, 2025, "Increase Alpha: Performance and Risk of an AI-Driven Trading Framework," Papers, arXiv.org, number 2509.16707, Sep, revised Oct 2025.
- Lokesh Antony Kadiyala & Amir Mirzaeinia, 2025, "Mamba Outpaces Reformer in Stock Prediction with Sentiments from Top Ten LLMs," Papers, arXiv.org, number 2510.01203, Sep.
- Anoushka Harit & Zhongtian Sun & Jongmin Yu, 2025, "From News to Returns: A Granger-Causal Hypergraph Transformer on the Sphere," Papers, arXiv.org, number 2510.04357, Oct.
- Monica Bonacina & Romolo Consigna Tokong, 2025, "Is Italy on Track? A Data-Driven Forecast for Road Transport Decarbonisation by 2030," Working Papers, Fondazione Eni Enrico Mattei, number 2025.19, Sep.
- 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, University of Pretoria, Department of Economics, number 202538, Sep.
- 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 of Models," Papers, arXiv.org, number 2510.02966, Oct.
- Qingyuan Han, 2025, "Equity Market Price Changes Are Predictable: A Natural Science Approach," Papers, arXiv.org, number 2510.01542, Oct.
- Ziyan Zhao & Qingfeng Liu, 2024, "Time-Varying Structural Approximate Dynamic Factor Model," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 2401, Jan.
- Miguel Alves Pereira, 2025, "Predictive economics: Rethinking economic methodology with machine learning," Papers, arXiv.org, number 2510.04726, Oct.
- Leonardo N. Ferreira & Haroon Mumtaz & Ana Skoblar, 2025, "Stochastic Volatility-in-mean VARs with Time-Varying Skewness," Papers, arXiv.org, number 2510.08415, Oct.
- Samuel N. Cohen & Cephas Svosve, 2025, "Linking Path-Dependent and Stochastic Volatility Models," Papers, arXiv.org, number 2510.02024, Oct.
- 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, arXiv.org, number 2510.08268, Oct.
- 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, National Bureau of Economic Research, Inc, number 34338, Oct.
- Byeungchun Kwon & Taejin Park & Phurichai Rungcharoenkitkul & Frank Smets, 2025, "Parsing the pulse: decomposing macroeconomic sentiment with LLMs," BIS Working Papers, Bank for International Settlements, number 1294, Oct.
- 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, arXiv.org, number 2509.19042, Sep.
- Masahiro Kato & Kentaro Baba & Hibiki Kaibuchi & Ryo Inokuchi, 2025, "Bayesian Portfolio Optimization by Predictive Synthesis," Papers, arXiv.org, number 2510.07180, Oct.
- Yoontae Hwang & Stefan Zohren, 2025, "Signature-Informed Transformer for Asset Allocation," Papers, arXiv.org, number 2510.03129, Oct, revised Jan 2026.
- Okan Akarsu & Huzeyfe Torun, 2025, "Firms’ Inflation Expectations During the Phases of Inflation," CBT Research Notes in Economics, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2519.
- Okan Akarsu & Altan Aldan & Unal Seven, 2025, "Pessimism and Inflation: How Firms' Perception of Economic Outlook Shapes Inflation Expectations," CBT Research Notes in Economics, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2521.
- Kremens, Lukas & Martin, Ian & Varela, Liliana, 2025, "Long-horizon exchange rate expectations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127790, Dec.
- 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, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2516.
- Anna Cole & Michael W. McCracken, 2025, "How Well Are Inflation Expectations Anchored? Two Datasets Compared," On the Economy, Federal Reserve Bank of St. Louis, number 101823, Sep.