Report NEP-FOR-2025-10-27

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:

• Shuping Shi & Jun Yu & Chen Zhang, 2025. "Realized Volatility Forecasting: Continuous versus Discrete Time Models," Working Papers 202537, University of Macau, Faculty of Business Administration.
• Mir, Zulfiqar Ali, 2025. "Penalized regression methods for exchange rate forecasting: evidence from the U.S. dollar index," MPRA Paper 125996, University Library of Munich, Germany.
• Gabriele Casto, 2025. "Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics," Papers 2509.23533, arXiv.org.
• Runyao Yu & Ruochen Wu & Yongsheng Han & Jochen L. Cremer, 2025. "Orderbook Feature Learning and Asymmetric Generalization in Intraday Electricity Markets," Papers 2510.12685, arXiv.org.
• Yiyao Zhang & Diksha Goel & Hussain Ahmad & Claudia Szabo, 2025. "RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets," Papers 2510.14986, arXiv.org.
• Ruslan Tepelyan, 2025. "Enhancing OHLC Data with Timing Features: A Machine Learning Evaluation," Papers 2509.16137, arXiv.org.
• Nikolay Gospodinov & Esfandiar Massoumi, 2025. "On Model Aggregation and Forecast Combination," FRB Atlanta Working Paper 2025-12, Federal Reserve Bank of Atlanta.
• Andrew T. Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2025. "The Past and Future of U.S. Structural Change: Compositional Accounting and Forecasting," Working Paper Series 2025-23, Federal Reserve Bank of San Francisco.
• Stephane Hess & Sander van Cranenburgh, 2025. "Flexibility without foresight: the predictive limitations of mixture models," Papers 2510.09185, arXiv.org.
• Emanuel Kohlscheen, 2025. "Forecasting House Prices," Papers 2509.21460, arXiv.org.
• Abderraouf Ben Ahmed Mtiraoui & Nadia Slimene & Leila Chemli, 2025. "The Bitcoin Price Prediction by Vector Auto-Regression (VAR) Model," Post-Print hal-05253337, HAL.
• Shaw Dalen, 2025. "Toward Black Scholes for Prediction Markets: A Unified Kernel and Market Maker's Handbook," Papers 2510.15205, arXiv.org.
• Fabien Sanchez & Ahmed Mohamed & Rémy Rigo-Mariani & Vincent Debusschere, 2025. "Supervised Learning for the Bidding of Grid-Connected Batteries in the Day-Ahead Market," Post-Print hal-05310545, HAL.
• Patrick C. Higgins, 2025. "Assessing the Role of Global Demand and Supply Shocks in the Recent US Inflation Experience Using a Cross-Country Panel Dataset of Professional Forecasts," FRB Atlanta Working Paper 2025-10, Federal Reserve Bank of Atlanta.