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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. 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:
- Paulo M.M. Rodrigues & Vivien Less & Philipp Sibbertsen, 2025, "Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models," Working Papers, Banco de Portugal, Economics and Research Department, number w202503.
- Emanuele Bacchiocchi & Toru Kitagawa, 2025, "Locally- but not Globally-identified SVARs," Papers, arXiv.org, number 2504.01441, Apr, revised Mar 2026.
- Markus Bibinger & Jun Yu & Chen Zhang, 2025, "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Working Papers, University of Macau, Faculty of Business Administration, number 202528, Apr.
- Paolo Dai Pra & Paolo Pigato, 2025, "A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction," Papers, arXiv.org, number 2504.03445, Apr, revised Mar 2026.
- Peter C. B. Phillips & Liang Jiang, 2025, "Cross Section Curve Data Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2439, Apr.
- Paul Haimerl & Stephan Smeekes & Ines Wilms, 2025, "Estimation of Latent Group Structures in Time-Varying Panel Data Models," Papers, arXiv.org, number 2503.23165, Mar, revised Nov 2025.