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Report NEP-ETS-2025-03-03
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:
- Matteo Barigozzi & Luca Trapin, 2025, "Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering," Papers, arXiv.org, number 2502.04112, Feb, revised Jan 2026.
- Yaming Chang, 2025, "Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities," Papers, arXiv.org, number 2502.02695, Feb, revised Feb 2025.
- Blazsek, Szabolcs & Escribano, Álvaro & Ayala, Astrid, 2025, "Improved gradient scaling for score-driven filters with an application to stock market volatility," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 45978, Feb.
- Jean-Yves Pitarakis, 2025, "Serial-Dependence and Persistence Robust Inference in Predictive Regressions," Papers, arXiv.org, number 2502.00475, Feb.