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Report NEP-FOR-2026-06-22
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:
- Daniel Cunha Oliveira & Kieran Wood & Stefan Zohren & Mihai Cucuringu & Andr'e Fujita, 2026, "Macro-aware time series forecasting via hierarchical mixed-frequency attention models," Papers, arXiv.org, number 2606.00624, May.
- Xinyue Fang & Robert 'Slepaczuk, 2026, "Volatility Forecasting and Return Prediction under Market Regimes: Evidence from High-Frequency Chinese Equity Data," Papers, arXiv.org, number 2606.09478, Jun.
- Tae-Hwy Lee & Saerom Lee, 2026, "Improving the Simple Average Combined Forecast via Factor-Adjusted Regularization," Working Papers, University of California at Riverside, Department of Economics, number 202603, Mar.
- Vasnev, Andrey & Liu, Chu-An, 2026, "Corrected Forecast Combinations," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2026-01, Jan.
- Akash Deep & Nicholas Appiah & Svetlozar T. Rachev, 2026, "Memory, Roughness, and Information Persistence in Financial Markets: A Structural Approach to Volatility Forecasting," Papers, arXiv.org, number 2605.24285, May.
- Sahaj Raj Malla, 2026, "Kalimati Vegetable Price Index Forecasting with a Momentum Corrected Online Stacking Ensemble," Papers, arXiv.org, number 2605.30720, May.
- Ars`ene Brou & Richard Luger, 2026, "A new decomposition approach to modeling financial returns: Conditioning sign on magnitude," Papers, arXiv.org, number 2606.04153, Jun.
- Andrei Bysik & Robert 'Slepaczuk, 2026, "Machine Learning-Based Bitcoin Trading Under Transaction Costs: Evidence From Walk-Forward Forecasting," Papers, arXiv.org, number 2606.00060, May.
- Eugene Park, 2026, "Reflexivity as Prompt: Does Awareness of Self-Reinforcing Market Dynamics Improve LLMs as Financial Market Forecasters?," Papers, arXiv.org, number 2606.00061, May.
- Yong Zhang & Xinxiao Wu & Yunde Jia & Che Sun, 2026, "Game-Theoretic Modeling of Heterogeneous Investor Interactions for Stock Price Forecasting," Papers, arXiv.org, number 2605.23953, May.
- Pretorius, Jan-Hendrik & Martin, Lisa-Cheree & Steenkamp, Daan, 2026, "Understanding fiscal slippage and fiscal forecast errors in South Africa," MPRA Paper, University Library of Munich, Germany, number 129378, Jun.
- Aoxin Zhang & Yuhan Cheng & Kwanting Leung, 2026, "Benchmarking Deep Time Series Models for Equity Portfolios," Papers, arXiv.org, number 2606.09420, Jun.
- Saakstra, Sake, 2026, "A Time-Varying-Parameter State-Space Approach to Sparse-Event Survival Modelling: Methodological Design, Out-of-Sample Performance, and Application to Hydrogen Project Implementation-Risk," MPRA Paper, University Library of Munich, Germany, number 129308, May.
- Yichi Zhang & Ke Zhu & Zhoufan Zhu, 2026, "ReSGA: A Large Tail Risk Model for Learning Value-at-Risk and Expected Shortfall," Papers, arXiv.org, number 2606.04576, Jun.
- Dean P. Foster & Sergiu Hart, 2026, "Proper Calibeating," Papers, arXiv.org, number 2605.26703, May, revised Jun 2026.
- Neha Sikand & Rongjin Zhang, 2026, "Recession Detection Using Real Time GDP Data," Papers, arXiv.org, number 2606.00989, May.
- Peter Hordahl & Burcin Kisacikoglu & Fan Dora Xia, 2026, "Bond Yield Responses to Macro News: The Role of Macro Forecast Disagreement and Monetary Policy Uncertainty," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-45, Jun.
- Peter Hoerdahl & Burcin Kisacikoglu & Dora Xia, 2026, "Bond yield responses to macro news: the role of macro forecast disagreement and monetary policy uncertainty," BIS Working Papers, Bank for International Settlements, number 1361, Jun.
- Matthieu Bussière & Johanna Gilbert & Olesya V. Grishchenko, 2026, "The Role of Inflation Perceptions in Consumer Inflation Expectations: Evidence from the Euro Area," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-038, Jun, DOI: 10.17016/FEDS.2026.038.