Report NEP-FOR-2025-03-17

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:

• Xiangdong Liu & Sicheng Fu & Shaopeng Hong, 2025. "Forecasting realized volatility in the stock market: a path-dependent perspective," Papers 2503.00851, arXiv.org.
• Francesco Puoti & Fabrizio Pittorino & Manuel Roveri, 2025. "Quantifying Cryptocurrency Unpredictability: A Comprehensive Study of Complexity and Forecasting," Papers 2502.09079, arXiv.org.
• Peiwan Wang & Chenhao Cui & Yong Li, 2025. "Trend-encoded Probabilistic Multi-order Model: A Non-Machine Learning Approach for Enhanced Stock Market Forecasts," Papers 2502.08144, arXiv.org, revised Feb 2025.
• Gatti,Roberta V. & Lederman,Daniel & Islam,Asif Mohammed & Nguyen,Ha & Lotfi,Rana Mohamed Amr Mohamed Nabil & Mousa,Mennatallah Emam Mohamed Sayed, 2023. "Data Transparency and GDP Growth Forecast Errors," Policy Research Working Paper Series 10406, The World Bank.
• Thomas Gyima-Adu & Godwin Gidisu, 2025. "Predicting Insurance Penetration Rate in Ghana Using the Autoregressive Integrated Moving Average (ARIMA) Model," Papers 2502.07841, arXiv.org.
• Hossein Hassani & Leila Marvian Mashhad & Manuela Royer-Carenzi & Mohammad Reza Yeganegi & Nadejda Komendantova, 2025. "White Noise and Its Misapplications: Impacts on Time Series Model Adequacy and Forecasting," Post-Print hal-04937317, HAL.
• Richard Gerlach & Antonio Naimoli & Giuseppe Storti, 2025. "Using quantile time series and historical simulation to forecast financial risk multiple steps ahead," Papers 2502.20978, arXiv.org, revised Mar 2025.
• Runyao Yu & Yuchen Tao & Fabian Leimgruber & Tara Esterl & Jochen L. Cremer, 2025. "OrderFusion: Encoding Orderbook for Probabilistic Intraday Price Prediction," Papers 2502.06830, arXiv.org.
• Montoya Munoz,Kelly Yelitza & Olivieri,Sergio Daniel & Silveira Braga,Cicero Augusto, 2023. "Considering Labor Informality in Forecasting Poverty and Inequality: A Microsimulation Modelfor Latin American and Caribbean Countries," Policy Research Working Paper Series 10497, The World Bank.
• Pedro Reis & Ana Paula Serra & Jo~ao Gama, 2025. "The Role of Deep Learning in Financial Asset Management: A Systematic Review," Papers 2503.01591, arXiv.org.
• Yuan Liao & Xinjie Ma & Andreas Neuhierl & Linda Schilling, 2025. "The Uncertainty of Machine Learning Predictions in Asset Pricing," Papers 2503.00549, arXiv.org.
• Nicholas Vinden & Raeid Saqur & Zining Zhu & Frank Rudzicz, 2025. "Contrastive Similarity Learning for Market Forecasting: The ContraSim Framework," Papers 2502.16023, arXiv.org.
• Oriol González-Casasús & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," NBER Working Papers 33474, National Bureau of Economic Research, Inc.
• Bottcher, Lucas & Chou, Tom & D'Orsogna, Maria Rita, 2023. "Forecasting drug overdose mortality by age in the United States at the national and county levels," SocArXiv yfdj5_v1, Center for Open Science.
• Morande, Swapnil & Arshi, Tahseen & Gul, Kanwal & Amini, Mitra, 2023. "Harnessing the Power of Artificial Intelligence to Forecast Startup Success: An Empirical Evaluation of the SECURE AI Model," SocArXiv p3gyb_v1, Center for Open Science.
• Hamid Moradi-Kamali & Mohammad-Hossein Rajabi-Ghozlou & Mahdi Ghazavi & Ali Soltani & Amirreza Sattarzadeh & Reza Entezari-Maleki, 2025. "Market-Derived Financial Sentiment Analysis: Context-Aware Language Models for Crypto Forecasting," Papers 2502.14897, arXiv.org, revised Mar 2025.
• Jaskaran Singh Walia & Aarush Sinha & Srinitish Srinivasan & Srihari Unnikrishnan, 2025. "Predicting Liquidity-Aware Bond Yields using Causal GANs and Deep Reinforcement Learning with LLM Evaluation," Papers 2502.17011, arXiv.org.
• Shicheng Zhou & Zizhou Zhang & Rong Zhang & Yuchen Yin & Chia Hong Chang & Qinyan Shen, 2025. "Regression and Forecasting of U.S. Stock Returns Based on LSTM," Papers 2502.05210, arXiv.org, revised Mar 2025.
• Bilal Islah & Bar Light, 2025. "Bounded Foresight Equilibrium in Large Dynamic Economies with Heterogeneous Agents and Aggregate Shocks," Papers 2502.16536, arXiv.org.
• Blanchard,Paul Baptiste & Ishizawa Escudero,Oscar Anil & Humbert,Thibaut & Van Der Borght,Rafael, 2023. "Struggling with the Rain : Weather Variability and Food Insecurity Forecasting in Mauritania," Policy Research Working Paper Series 10457, The World Bank.