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Report NEP-ETS-2025-06-30
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:
- Iacone, Fabrizio & Taylor, AM Robert, 2025, "Nonparametric Detection of a Time-Varying Mean," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 41128, Jun.
- Joann Jasiak & Cheng Zhong, 2025, "Intraday Functional PCA Forecasting of Cryptocurrency Returns," Papers, arXiv.org, number 2505.20508, May.
- Dimitris Korobilis, 2025, "Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs," Papers, arXiv.org, number 2505.06649, May.
- Juvonen, Petteri & Lindblad, Annika, 2025, "Nowcasting in real time: Large Bayesian vector autoregression in a test," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2025.
- Sofia Velasco, 2025, "Let the Tree Decide: FABART A Non-Parametric Factor Model," Papers, arXiv.org, number 2506.11551, Jun.
- Miguel D. Ramirez, 2025, "Testing for a Long-Run Relationship between Public Capital and Labor Productivity in Mexico: A DOLS and FMOLS Analysis," Working Papers, Trinity College, Department of Economics, number 2502, Jul.
- Hyeon-seung Huh & David Kim, 2025, "An empirical assessment of the influence of informative rotation prior in the sign-identified SVAR model," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2025rwp-246, Jun.
- Austin Pollok, 2025, "Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?," Papers, arXiv.org, number 2506.07928, Jun.
- Hyeon-seung Huh & David Kim, 2025, "Dissecting Monetary Policy Shocks in Sign-Restricted SVAR Models," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2025rwp-245, Jun.
- Jan Ditzen & Ovidijus Stauskas, 2025, "On Selection of Cross-Section Averages in Non-stationary Environments," Papers, arXiv.org, number 2505.08615, May, revised Oct 2025.
- Xin Tian, 2025, "Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation," Papers, arXiv.org, number 2505.05646, May.
- Aryan Singh & Paul O Reilly & Daim Sharif & Patrick Haughey & Eoghan McCarthy & Sathvika Thorali Suresh & Aakhil Anvar & Adarsh Sajeev Kumar, 2025, "Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH," Papers, arXiv.org, number 2505.06950, May.
- Sukru Selim Calik & Andac Akyuz & Zeynep Hilal Kilimci & Kerem Colak, 2025, "Explainable-AI powered stock price prediction using time series transformers: A Case Study on BIST100," Papers, arXiv.org, number 2506.06345, Jun.
- Mindy L. Mallory & Rundong Peng & Meilin Ma & H. Holly Wang, 2025, "High-Dimensional Spatial-Plus-Vertical Price Relationships and Price Transmission: A Machine Learning Approach," Papers, arXiv.org, number 2506.13967, Jun.
- Timoth'ee Hornek Amir Sartipi & Igor Tchappi & Gilbert Fridgen, 2025, "Benchmarking Pre-Trained Time Series Models for Electricity Price Forecasting," Papers, arXiv.org, number 2506.08113, Jun, revised Aug 2025.
- Zhentao Shi & Jin Xi & Haitian Xie, 2025, "A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data," Papers, arXiv.org, number 2505.22388, May.
- Xueying Ding & Aakriti Mittal & Achintya Gopal, 2025, "DELPHYNE: A Pre-Trained Model for General and Financial Time Series," Papers, arXiv.org, number 2506.06288, May.
- Xin Jing & Jin Seo Cho, 2025, "Quantile ARDL Estimation of the Relationship between the Confirmed COVID-19 Cases and Deaths in the U.S," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2025rwp-247, Jun.