Report NEP-ETS-2025-04-28

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:

• D’Innocenzo, Enzo & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2025. "Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter," Working Paper Series 446, Sveriges Riksbank (Central Bank of Sweden).
• João A. Bastos, 2025. "A deep learning test of the martingale difference hypothesis," Working Papers REM 2025/0374, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• James Mitchell & Taylor Shiroff, 2025. "Are Revisions to State-Level GDP Data in the US Well Behaved?," Working Papers 25-11, Federal Reserve Bank of Cleveland.
• Jongrim Ha & M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2025. "Global Macro-Financial Cycles and Spillovers," Working Papers 2512, Federal Reserve Bank of Dallas.