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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. 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:
- Oriol González-Casasús & Frank Schorfheide, 2025, "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," NBER Working Papers, National Bureau of Economic Research, Inc, number 33474, Feb.
- Angelo Milfont & Alvaro Veiga, 2025, "Structural breaks detection and variable selection in dynamic linear regression via the Iterative Fused LASSO in high dimension," Papers, arXiv.org, number 2502.20816, Feb, 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, number hal-04937317, Feb, DOI: 10.3390/forecast7010008.
- Xiangdong Liu & Sicheng Fu & Shaopeng Hong, 2025, "Forecasting realized volatility in the stock market: a path-dependent perspective," Papers, arXiv.org, number 2503.00851, Mar, revised Nov 2025.
- Chen Tong & Peter Reinhard Hansen, 2025, "Dynamic Factor Correlation Model," Papers, arXiv.org, number 2503.01080, Mar.