Report NEP-FOR-2026-08-10

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:

• Catherine Chen & Chen Gao & Jonathon Hazell & Lihua Lei & Chen Lian, 2026, "Forecasting Inflation with Microdata: An Adaptive Machine Learning Approach," Papers, arXiv.org, number 2607.12345, Jul.
• Nathan Schor & Minchul Shin, 2026, "ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics," Working Papers, Federal Reserve Bank of Philadelphia, number 26-38, Aug, DOI: 10.21799/frbp.wp.2026.38.
• Likai Chen & Weining Wang, 2026, "From Vector Autoregressions to AI-based Time Series Forecasting: A Review," Papers, arXiv.org, number 2607.14279, Jul.
• Fisher, Jonas & Melosi, Leonardo & Rast, Sebastian, 2025, "Long-Run Inflation Expectations," CEPR Discussion Papers, Centre for Economic Policy Research, number 19991, Mar.
• Adrian, Tobias & Giannone, Domenico & Luciani, Matteo & West, Mike, 2025, "Scenario Synthesis and Macroeconomic Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 20219, May.
• Martin, Ian, 2025, "Information in Derivatives Markets: Forecasting Prices with Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 19998, Mar.
• Hauzenberger, Niko & Marcellino, Massimiliano & Pfarrhofer, Michael & Stelzer, Anna, 2025, "Bayesian Nowcasting with Mixed Frequency Data Using Gaussian Processes," CEPR Discussion Papers, Centre for Economic Policy Research, number 19965, Feb.
• Granziera, Eleonora & Larsen, Vegard H. & Meggiorini, Greta & Melosi, Leonardo, 2025, "Speaking of Inflation: The Influence of Fed Speeches on Expectations," CEPR Discussion Papers, Centre for Economic Policy Research, number 20038, Mar.
• Mark W. Watson, 2026, "Forecasting the Covid Surge in Inflation," NBER Working Papers, National Bureau of Economic Research, Inc, number 35435, Jul.
• Tae-Hwy Lee & Dingli Wang, 2026, "Median-Anchored Adjustment of Joint VaR--ES Forecasts," Working Papers, University of California at Riverside, Department of Economics, number 202604, Aug.
• Andrea Panozzo, Lorenzo Spadavecchia, Adam Mugume, Elizabeth Kasekende, Samuel Namwanja Musoke, Mariss Nakayaga, Deo Sande, Anita Mpagi, Nzima Ghislain, 2026, "Nowcasting GDP with Digital Payments: Evidence from Uganda," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 26282.
• Liao, Yuan & Ma, Xinjie & Neuhierl, Andreas & Schilling, Linda, 2025, "The Uncertainty of Machine Learning Predictions in Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 20080, Mar.
• Taizhen Cheung, 2026, "When Directional Accuracy Lies: A Base-Rate-Honest Benchmark for LoRA-Adapted TimesFM on Equity Forecasting," Papers, arXiv.org, number 2607.12248, Jul, revised Jul 2026.
• Yiming Ma & Xinyu Chen, 2026, "VAIOM: Continuous-Input, Discrete-Output Decoder-Only Financial Sequence Modeling," Papers, arXiv.org, number 2607.13929, Jul.
• Cole, Stephen J., 2026, "FOMC Forecasts, Constant-Gain Learning, and Optimism/Pessimism," Working Papers and Research, Marquette University, Center for Global and Economic Studies and Department of Economics, number 2026-03, Jun.
• Xinxian Chen & Peter Reinhard Hansen & Chen Tong, 2026, "Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity," Papers, arXiv.org, number 2607.03669, Jul.
• Asef Y{i}lk{i}, 2026, "Supply Chain Propagation of Textual Signals: LLM Embeddings and Cross-Sectional Return Predictability," Papers, arXiv.org, number 2606.29290, Jun.
• Furceri, Davide & Giannone, Domenico & Kisat, Faizaan & Lam, Raphael & Li, Hongchi, 2025, "Debt-at-Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 20212, May.
• Yurii Sholomytskyi, 2026, "Looking for Underlying Structure in WEO Forecasts," IMF Working Papers, International Monetary Fund, number 2026/164, Jul.
• Boni Sara & Iseringhausen Martin & Petrella Ivan & Theodoridis Konstantinos, 2026, "A survey-based measure of asymmetric macroeconomic risk in the euro area," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 107, Jul.
• Sankalp Gilda, 2026, "tsbootstrap: Distribution-Free Uncertainty Quantification and Conformal Prediction for Time Series," Papers, arXiv.org, number 2607.06690, Jul.
• Gonzalez-Casasus, Oriol & Schorfheide, Frank, 2025, "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," CEPR Discussion Papers, Centre for Economic Policy Research, number 19915, Feb.