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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. 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:
- Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2025, "Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations," Papers, arXiv.org, number 2505.06190, May.
- Haoyuan Wang & Chen Liu & Minh-Ngoc Tran & Chao Wang, 2025, "Deep Learning Enhanced Multivariate GARCH," Papers, arXiv.org, number 2506.02796, Jun.
- De Graeve, Ferre & Westermark, Andreas, 2025, "Long-Lag VARs," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 451, May, revised 01 Sep 2025.
- Jarek Duda, 2025, "Adaptive stable distribution and Hurst exponent by method of moments moving estimator for nonstationary time series," Papers, arXiv.org, number 2506.05354, May.
- 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, European Central Bank, number 3062, Jun.
- Jiang Hu & Jiahui Xie & Yangchun Zhang & Wang Zhou, 2025, "The Spurious Factor Dilemma: Robust Inference in Heavy-Tailed Elliptical Factor Models," Papers, arXiv.org, number 2506.05116, Jun.
- Tom Boot & Bart Keijsers, 2025, "Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections," Papers, arXiv.org, number 2506.09575, Jun.
- Qian Hui & Sidney I. Resnick & Tiandong Wang, 2025, "Classification of Extremal Dependence in Financial Markets via Bootstrap Inference," Papers, arXiv.org, number 2506.04656, Jun.
- Jan-Lukas Wermuth, 2025, "Proper Correlation Coefficients for Nominal Random Variables," LIS Working papers, LIS Cross-National Data Center in Luxembourg, number 897, May.
- Peter K. Friz & Benjamin Jourdain & Thomas Wagenhofer & Alexandre Zhou, 2025, "On the Weak Error for Local Stochastic Volatility Models," Papers, arXiv.org, number 2506.10817, Jun.
- Cui Rui & Li Yuhao & Song Xiaojun, 2025, "Finite-Sample Distortion in Kernel Specification Tests: A Perturbation Analysis of Empirical Directional Components," Papers, arXiv.org, number 2506.04900, Jun, revised Oct 2025.
- Gupta, Abhijit, 2025, "Decoding Futures Price Dynamics: A Regularized Sparse Autoencoder for Interpretable Multi-Horizon Forecasting and Factor Discovery," OSF Preprints, Center for Open Science, number 4rzky_v1, May, DOI: 10.31219/osf.io/4rzky_v1.
- Ziyang Xiong & Zhao Chen & Christina Dan Wang, 2025, "Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise," Papers, arXiv.org, number 2505.08654, May, revised Feb 2026.
- Michal Franta & Jan Vlcek, 2025, "Inflation at Risk: The Czech Case," Working Papers, Czech National Bank, Research and Statistics Department, number 2025/8, May.
- Daniil Bargman, 2025, "Latent Variable Modelling by Supervised Diffusion," Papers, arXiv.org, number 2506.04488, Jun, revised Jan 2026.
- Jutta G. Kurth & Adam A. Majewski & Jean-Philippe Bouchaud, 2025, "Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model," Papers, arXiv.org, number 2505.07820, May, revised Feb 2026.
- Thomas B. Marvell, 2025, "A Test for Endogeneity in Regressions," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2025/05, May.
- Wen, Kaiyue & Wang, Tengyao & Wang, Yuhao, 2025, "Residual permutation test for regression coefficient testing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 126275, Apr.
- 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 Change Sur L'Inflation En Republique Democratique Du ," Post-Print, HAL, number hal-05083768, May.