Report NEP-ETS-2025-03-17

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti issued this report. It is usually issued weekly.

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Other reports in NEP-ETS

The following items were announced in this report:

• 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.
• Angelo Milfont & Alvaro Veiga, 2025. "Structural breaks detection and variable selection in dynamic linear regression via the Iterative Fused LASSO in high dimension," Papers 2502.20816, arXiv.org, revised Apr 2025.
• 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.
• Xiangdong Liu & Sicheng Fu & Shaopeng Hong, 2025. "Forecasting realized volatility in the stock market: a path-dependent perspective," Papers 2503.00851, arXiv.org.
• Chen Tong & Peter Reinhard Hansen, 2025. "Dynamic Factor Correlation Model," Papers 2503.01080, arXiv.org.