Report NEP-ECM-2025-09-29

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

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Other reports in NEP-ECM

The following items were announced in this report:

• Todd Prono, 2025. "When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models," Finance and Economics Discussion Series 2025-075, Board of Governors of the Federal Reserve System (U.S.).
• Wenze Li, 2025. "Wild Bootstrap Inference for Linear Regressions with Many Covariates," Papers 2506.20972, arXiv.org.
• Fischer, Manfred M. & LeSage, James P., 2025. "Spatial Econometrics," Working Papers in Regional Science 02, WU Vienna University of Economics and Business.
• Matias D. Cattaneo & Jason M. Klusowski & Ruiqi Rae Yu, 2025. "The Honest Truth About Causal Trees: Accuracy Limits for Heterogeneous Treatment Effect Estimation," Papers 2509.11381, arXiv.org.
• Degui Li & Yuning Li & Peter C.B. Phillips, 2025. "Large-Scale Curve Time Series with Common Stochastic Trends," Cowles Foundation Discussion Papers 2460, Cowles Foundation for Research in Economics, Yale University.
• Item repec:ucl:cepeow:25-10 is not listed on IDEAS anymore

• Hyung Joo Kim & Dong Hwan Oh, 2025. "Local Estimation for Option Pricing: Improving Forecasts with Market State Information," Finance and Economics Discussion Series 2025-076, Board of Governors of the Federal Reserve System (U.S.).
• Francois-Michel Boire & Thibaut Duprey & Alexander Ueberfeldt, 2025. "Financial Shocks and the Output Growth Distribution," Staff Working Papers 25-25, Bank of Canada.
• John T. Rickard & William A. Dembski & James Rickards, 2025. "An Interval Type-2 Version of Bayes Theorem Derived from Interval Probability Range Estimates Provided by Subject Matter Experts," Papers 2509.08834, arXiv.org.
• Eiji Goto & Jan P.A.M. Jacobs & Simon van Norden, 2025. "Data-Driven Learning About Trend Productivity Growth," CAMA Working Papers 2025-53, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Hao Wang & Jingshu Peng & Yanyan Shen & Xujia Li & Lei Chen, 2025. "Momentum-integrated Multi-task Stock Recommendation with Converge-based Optimization," Papers 2509.10461, arXiv.org.
• Stéphane Lhuissier, 2025. "Assessing Asymmetric Macroeconomic Risk," Working papers 1004, Banque de France.
• Sagi Schwartz & Qinling Wang & Fang Fang, 2025. "Enhancing ML Models Interpretability for Credit Scoring," Papers 2509.11389, arXiv.org.
• Jirong Zhuang & Xuan Wu, 2025. "Meta-Learning Neural Process for Implied Volatility Surfaces with SABR-induced Priors," Papers 2509.11928, arXiv.org, revised Oct 2025.