Report NEP-ETS-2025-05-05

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:

• Paulo M.M. Rodrigues & Vivien Less & Philipp Sibbertsen, 2025. "Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models," Working Papers w202503, Banco de Portugal, Economics and Research Department.
• Emanuele Bacchiocchi & Toru Kitagawa, 2025. "Locally- but not Globally-identified SVARs," Papers 2504.01441, arXiv.org.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Working Papers 202528, University of Macau, Faculty of Business Administration.
• Paolo Dai Pra & Paolo Pigato, 2025. "A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction," Papers 2504.03445, arXiv.org.
• Peter C. B. Phillips & Liang Jiang, 2025. "Cross Section Curve Data Autoregression," Cowles Foundation Discussion Papers 2439, Cowles Foundation for Research in Economics, Yale University.
• Paul Haimerl & Stephan Smeekes & Ines Wilms, 2025. "Estimation of Latent Group Structures in Time-Varying Panel Data Models," Papers 2503.23165, arXiv.org.