Report NEP-FOR-2026-07-20

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.

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Other reports in NEP-FOR

The following items were announced in this report:

• Tien Thanh Thach, 2026, "Robust Transformer-Based One-Step Stock Index Forecasting via Shifted Data Augmentation," Papers, arXiv.org, number 2606.15701, Jun.
• Likai Chen & Weining Wang, 2026, "From Vector Autoregressions to AI-based Time Series Forecasting: A Review," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 26/838, 01.
• Li Chen, 2026, "Time series forecasting in enterprises using an AI agent with times series MCP server," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 178, Jun.
• Shujie Li & Yuanhua Feng, 2026, "Forecasting economic growth with traditional methods and a simple neural network model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 172, Mar.
• Xu, Yongdeng & Lyu, Juyi & Lu, Wenna, 2026, "Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2026/4, Mar.
• Alam, M. Jahangir & Boyle, Shane & Li, Huiyu & Sekhposyan, Tatevik, 2026, "ChatMacro: Evaluating Inflation Forecasts of Generative AI," CEPR Discussion Papers, Centre for Economic Policy Research, number 21057, Jan.
• Kyriakopoulou, Dimitra, 2025, "A Shrinkage Factor-Augmented VAR for High-Dimensional Macro–Fiscal Dynamics," MPRA Paper, University Library of Munich, Germany, number 129519, Dec.
• Li Chen & Yuanhua Feng, 2026, "Time series forecasting in SAP using a data-driven seasonal semiparametric ARMA model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 177, Jan.
• Christopher W. Karvetski & Sheldon S. Huang & Simas Kuv{c}inskas & Nadja Flechner & Jingyu Hu & Philip Tetlock & Ezra Karger, 2026, "Measuring Judgment Quality in Natural-Language Explanations: Evidence from Forecasting Tournaments," Papers, arXiv.org, number 2606.30987, Jun.
• Kwon, Byeungchun & Park, Taejin & Rungcharoenkitkul, Phurichai & Smets, Frank, 2025, "Parsing the Pulse: Decomposing Macroeconomic Sentiment with LLMs," CEPR Discussion Papers, Centre for Economic Policy Research, number 20828, Nov.
• Tobias Adrian & Domenico Giannone & Matteo Luciani & Mike West, 2026, "Risks and Uncertainty in Monetary Policy," Papers, arXiv.org, number 2606.16708, Jun.
• Degui Li & Yuying Sun & Boyao Wu, 2026, "Time-Varying Model Averaging of Multi-layer Network Vector Autoregressions," Papers, arXiv.org, number 2606.25292, Jun.
• Born, Benjamin & Lamersdorf, Nora & Schuster, Jana-Lynn & Steffen, Sascha, 2025, "From Tweets to Transactions: High-Frequency Inflation Expectations, Consumption, and Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 20977, Dec.
• Gondauri, Davit, 2026, "Global Riemann-Zeta FPAS+ζ Inflation Forecasting: Layered Validation of a Hybrid Structural-Spectral Model for World Macroeconomic Pressure," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 341672.
• Martin, Ian & Shi, Ran, 2026, "Forecasting Crashes with a Smile," CEPR Discussion Papers, Centre for Economic Policy Research, number 21236, Mar.
• Li Chen & Yuanhua Feng, 2025, "Forecasting of trend stationary time series in SAP using a data-driven semiparametric ARMA model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 176, Aug.
• Hauzenberger, Niko & Marcellino, Massimiliano & Pfarrhofer, Michael & Stelzer, Anna, 2026, "Direct Gaussian Process Predictive Regressions with Mixed Frequency Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 21214, Feb.
• Kremens, Lukas & Varela, Liliana, 2026, "Sticking to Their Guns: Short-Horizon Exchange Rate Expectations," CEPR Discussion Papers, Centre for Economic Policy Research, number 21258, Mar.
• Mao Guan & Qian Chen, 2026, "Leakage-Aware Benchmarking of LLM Forecasting: Real-Time Nowcasts as the Decision-Time Input for Macro Factor Ranking," Papers, arXiv.org, number 2606.22719, Jun.
• Adam, Klaus & Kuang, Pei & Xie, Shihan, 2025, "Overconfidence in Private Information Explains Biases in Professional Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, number 20806, Nov.
• Joel P. Flynn & Maksim Meinert & Karthik Sastry, 2026, "Forecasting with Uncertain Persistence," NBER Working Papers, National Bureau of Economic Research, Inc, number 35411, Jul.
• Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2026, "Fiscal Monitoring with VARs," CEPR Discussion Papers, Centre for Economic Policy Research, number 21160, Feb.
• Simone Cuonzo & Nina Deliu, 2026, "Conformal Prediction Intervals with Tail-Specific Guarantees," Papers, arXiv.org, number 2606.18199, Jun.
• Saboin, José Luis & Guerrero, Diego & Mazzocca, Angelo, 2026, "Nowcasting Real GDP Growth in The Bahamas," IDB Publications (Working Papers), Inter-American Development Bank, number 14635, May, DOI: http://dx.doi.org/10.18235/0014052.
• Jordi Llorens-Terrazas & Mika Meitz, 2026, "Generative Predictive Distributions for Time Series," Papers, arXiv.org, number 2606.16773, Jun.