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Report NEP-ETS-2025-01-27
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Robin Braun & George Kapetanios & Massimiliano Marcellino, 2025, "Nonparametric Time Varying IV-SVARs: Estimation and Inference," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-004, Jan, DOI: 10.17016/FEDS.2025.004.
- Gianluca Cubadda, 2024, "VAR models with an index structure: A survey with new results," Papers, arXiv.org, number 2412.11278, Dec, revised Sep 2025.
- Pierluigi Vallarino, 2024, "Dynamic kernel models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-082/III, Dec.
- Kexin Zhang & Simon Trimborn, 2024, "Influential assets in Large-Scale Vector AutoRegressive Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-080/III, Dec.
- Jad Beyhum & Jonas Striaukas, 2024, "Factor-augmented sparse MIDAS regressions with an application to nowcasting," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number 757474.
- Beatrice Foroni & Luca Merlo & Lea Petrella, 2024, "Hidden Markov graphical models with state-dependent generalized hyperbolic distributions," Papers, arXiv.org, number 2412.03668, Dec.
- Giuseppe Buccheri & Fulvio Corsi & Emilija Dzuverovic, 2024, "From rotational to scalar invariance: Enhancing identifiability in score-driven factor models," Papers, arXiv.org, number 2412.01367, Dec.
- Matias Quiroz & Laleh Tafakori & Hans Manner, 2024, "Forecasting realized covariances using HAR-type models," Papers, arXiv.org, number 2412.10791, Dec.
- Dobrislav Dobrev & Pawel J. Szerszen, 2025, "Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-001, Jan, DOI: 10.17016/FEDS.2025.001.
- Sylvia Kaufmann & Markus Pape, 2025, "A geometric approach to factor model identification," Working Papers, Swiss National Bank, Study Center Gerzensee, number 24.06R, Jan.
- Miguel C. Herculano & Santiago Montoya-Bland'on, 2024, "Probabilistic Targeted Factor Analysis," Papers, arXiv.org, number 2412.06688, Dec, revised Jan 2026.
- Xinghong Fu & Masanori Hirano & Kentaro Imajo, 2024, "Financial Fine-tuning a Large Time Series Model," Papers, arXiv.org, number 2412.09880, Dec.
- Tae-Hwy Lee & Daanish Padha, 2025, "Forecasting Using Supervised Factors and Idiosyncratic Elements," Working Papers, University of California at Riverside, Department of Economics, number 202502, Jan.
- Sung Hoon Choi & Donggyu Kim, 2024, "Large Volatility Matrix Prediction using Tensor Factor Structure," Papers, arXiv.org, number 2412.04293, Dec, revised May 2025.
- Andrea Bucci & Michele Palma & Chao Zhang, 2024, "Geometric Deep Learning for Realized Covariance Matrix Forecasting," Papers, arXiv.org, number 2412.09517, Dec.
- Pål Boug & Håvard Hungnes & Takamitsu Kurita, 2024, "Getting Back on Track. Forecasting After Extreme Observations," Discussion Papers, Statistics Norway, Research Department, number 1018, Dec.
- Sylvia Kaufmann & Markus Pape, 2024, "Bayesian (non-)unique sparse factor modelling," Working Papers, Swiss National Bank, Study Center Gerzensee, number 23.04R, Oct.
- Mikkel Bennedsen & Eric Hillebrand & Morten {O}rregaard Nielsen, 2024, "The Global Carbon Budget as a cointegrated system," Papers, arXiv.org, number 2412.09226, Dec, revised Feb 2025.