Report NEP-FOR-2026-09-07

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:

• Amadeo Grob & Maurizio Daniele & Johanna Ziegel, 2026, "Sequentially valid inference for probabilistic inflation forecasts," Papers, arXiv.org, number 2608.23064, Aug.
• Fei Shang & Xiaolei Wang & Tomasz Wo'zniak, 2026, "A Design Concept of Forecasting Software for Normalized Vector Autoregressions with Fat Tails and Stochastic Volatility," Papers, arXiv.org, number 2608.28087, Aug.
• Davide Brignone & Michele Piffer, 2026, "Structural forecast analysis," Bank of England Staff Working Paper series, Bank of England, number 1165, Jan.
• Niko Hauzenberger & Michael Pfarrhofer, 2026, "Conditional projection methods for large-scale Bayesian VARs," Papers, arXiv.org, number 2607.29215, Jul.
• Iris Claus & Leo Krippner, 2026, "Measures of Macroeconomic Shocks and Uncertainty for Asia-Pacific Economies," IMF Working Papers, International Monetary Fund, number 2026/174, Aug.
• Michael McMahon & Matthew Naylor & Ryan Rholes & Peter Rickards, 2026, "Anchors aweigh? The effect of communicating forecast uncertainty," Bank of England Staff Working Paper series, Bank of England, number 1196, Jul.
• Joshua Elias Fred A. Suero, 2025, "Developing a Standard Strategy for Time Series Forecasting Integrating Statistical and Machine Learning Techniques Using a Meta-Model Approach and its Application in Generating External Debt Projections," BSP Discussion Paper Series, Bangko Sentral ng Pilipinas, number 202503, Apr.
• Jeremy Bejarano & Viren Desai & Kausthub Keshava & Arsh Kumar & Zixiao Wang & Vincent Hanyang Xu & Yangge Xu, 2026, "An Open Benchmark for Evaluating Time Series Forecasting Methods across Financial Markets," Working Papers, Office of Financial Research, US Department of the Treasury, number 26-05, Aug.
• Julius Dobelt, 2026, "Cross-Sectional Heterogeneity in LSTM Networks for Financial Time Series," Papers, arXiv.org, number 2608.05755, Aug, revised Aug 2026.
• Aaron L. Garavito-Acosta & Wilmer Martinez-Rivera & Juan J. Ospina-Tejeiro & Edgar Caicedo-Garcia, 2026, "Experimenting with Large Language Models for Inflation Forecasting in Colombia," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 23-2026, Aug, revised 01 Sep 2026.
• Pedro Isaac Chavez-Lopez & Tae-Hwy Lee, 2026, "Quantile-Covariance Three-Pass Regression Filter," Working Papers, University of California at Riverside, Department of Economics, number 202605, Aug.
• João Anderson da Silva Felix & Michel Alexandre & Cássio da Nóbrega Besarria, 2026, "Forecasting the Cost of a Basic Basket of Goods: a comparative analysis using machine learning models and online prices," Working Papers Series, Central Bank of Brazil, Research Department, number 650, Aug.
• Fusheng Luo, 2026, "From Financial Sentiment Classification to Return Predictability: A QLoRA Benchmark of Large Language Models," Papers, arXiv.org, number 2608.04200, Aug.
• Arin Mohanty, 2026, "Calibration-Induced Degeneracy in LLM Financial Forecasting: An Audit-Trailed Case Study on Next-Day Market Risk," Papers, arXiv.org, number 2608.20304, Aug.
• Andries, Marianne & Bianchi, Milo & Huynh, Karen & Pouget, Sebastien, 2024, "Return Predictability, Expectations, and Investment: Experimental Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 19239, Jul.
• Tihana Škrinjarić, 2026, "Developing a house price-at-risk framework for the UK," Bank of England Staff Working Paper series, Bank of England, number 1193, Jun.
• Eddie Boy L. Fuentes & Mary Kryslette C. Bunyi & Cherrie R. Mapa, 2025, "Inflation Expectations of Households: Adaptive, Rational, or Sticky? Evidence from an Emerging Market Economy​​," BSP Discussion Paper Series, Bangko Sentral ng Pilipinas, number 202510, Nov.
• Benjamin E. Radoc, Jr. & Sarah Lynne S. Daway-Ducanes, 2025, "Uncertainty, Anchoring, and Expectations Formation: Experimental Evidence​," BSP Discussion Paper Series, Bangko Sentral ng Pilipinas, number 202504, Jan.