An Open Benchmark for Evaluating Time Series Forecasting Methods across Financial Markets

Jeremy Bejarano, Viren Desai, Kausthub Keshava, Arsh Kumar, Zixiao Wang, Vincent Hanyang Xu and Yangge Xu

No 26-05, Working Papers from Office of Financial Research, US Department of the Treasury

Abstract: An open benchmark that holds financial data fixed across forecasting methods, revealing where machine learning sharpens forecasts of financial stress (Working Paper no. 26-05).

Date: 2026-08-25
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