Report NEP-ETS-2025-06-23

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Simon Sosvilla-Rivero 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:

• Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2025. "Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations," Papers 2505.06190, arXiv.org.
• Haoyuan Wang & Chen Liu & Minh-Ngoc Tran & Chao Wang, 2025. "Deep Learning Enhanced Multivariate GARCH," Papers 2506.02796, arXiv.org.
• De Graeve, Ferre & Westermark, Andreas, 2025. "Long-Lag VARs," Working Paper Series 451, Sveriges Riksbank (Central Bank of Sweden).
• Jarek Duda, 2025. "Adaptive stable distribution and Hurst exponent by method of moments moving estimator for nonstationary time series," Papers 2506.05354, arXiv.org.
• Bańbura, Marta & Bobeica, Elena & Giammaria, Alessandro & Porqueddu, Mario & van Spronsen, Josha, 2025. "A new model to forecast energy inflation in the euro area," Working Paper Series 3062, European Central Bank.
• Jiang Hu & Jiahui Xie & Yangchun Zhang & Wang Zhou, 2025. "The Spurious Factor Dilemma: Robust Inference in Heavy-Tailed Elliptical Factor Models," Papers 2506.05116, arXiv.org.
• Tom Boot & Bart Keijsers, 2025. "Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections," Papers 2506.09575, arXiv.org.
• Qian Hui & Sidney I. Resnick & Tiandong Wang, 2025. "Classification of Extremal Dependence in Financial Markets via Bootstrap Inference," Papers 2506.04656, arXiv.org.
• Jan-Lukas Wermuth, 2025. "Proper Correlation Coefficients for Nominal Random Variables," LIS Working papers 897, LIS Cross-National Data Center in Luxembourg.
• Peter K. Friz & Benjamin Jourdain & Thomas Wagenhofer & Alexandre Zhou, 2025. "On the Weak Error for Local Stochastic Volatility Models," Papers 2506.10817, arXiv.org.
• Cui Rui & Li Yuhao & Song Xiaojun, 2025. "Power-boosting in Specification Tests using Kernel Directional Component," Papers 2506.04900, arXiv.org.
• Gupta, Abhijit, 2025. "Decoding Futures Price Dynamics: A Regularized Sparse Autoencoder for Interpretable Multi-Horizon Forecasting and Factor Discovery," OSF Preprints 4rzky_v1, Center for Open Science.
• Ziyang Xiong & Zhao Chen & Christina Dan Wang, 2025. "An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise," Papers 2505.08654, arXiv.org.
• Michal Franta & Jan Vlcek, 2025. "Inflation at Risk: The Czech Case," Working Papers 2025/8, Czech National Bank, Research and Statistics Department.
• Daniil Bargman, 2025. "Latent Variable Autoregression with Exogenous Inputs," Papers 2506.04488, arXiv.org.
• Jutta G. Kurth & Adam A. Majewski & Jean-Philippe Bouchaud, 2025. "Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model," Papers 2505.07820, arXiv.org.
• Thomas B. Marvell, 2025. "A Test for Endogeneity in Regressions," EERI Research Paper Series EERI RP 2025/05, Economics and Econometrics Research Institute (EERI), Brussels.
• Wen, Kaiyue & Wang, Tengyao & Wang, Yuhao, 2025. "Residual permutation test for regression coefficient testing," LSE Research Online Documents on Economics 126275, London School of Economics and Political Science, LSE Library.
• Ally Manengu Manengu, 2025. "Analysis Of The Non-Linear Effects Of The Volatile Exchange Rate On Inflation In The Democratic Republic Of Congo From 1970 To 2022 [Analyse Des Effets Non-Lineaires De La Volatilite Du Taux De Cha," Post-Print hal-05083768, HAL.