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. 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:

• Iacone, Fabrizio & Taylor, AM Robert, 2025. "Nonparametric Detection of a Time-Varying Mean," Essex Finance Centre Working Papers 41128, University of Essex, Essex Business School.
• Joann Jasiak & Cheng Zhong, 2025. "Intraday Functional PCA Forecasting of Cryptocurrency Returns," Papers 2505.20508, arXiv.org.
• Dimitris Korobilis, 2025. "Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs," Papers 2505.06649, arXiv.org.
• Juvonen, Petteri & Lindblad, Annika, 2025. "Nowcasting in real time: Large Bayesian vector autoregression in a test," Bank of Finland Research Discussion Papers 6/2025, Bank of Finland.
• Sofia Velasco, 2025. "Let the Tree Decide: FABART A Non-Parametric Factor Model," Papers 2506.11551, arXiv.org.
• 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 2502, Trinity College, Department of Economics.
• Hyeon-seung Huh & David Kim, 2025. "An empirical assessment of the influence of informative rotation prior in the sign-identified SVAR model," Working papers 2025rwp-246, Yonsei University, Yonsei Economics Research Institute.
• Austin Pollok, 2025. "Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?," Papers 2506.07928, arXiv.org.
• Hyeon-seung Huh & David Kim, 2025. "Dissecting Monetary Policy Shocks in Sign-Restricted SVAR Models," Working papers 2025rwp-245, Yonsei University, Yonsei Economics Research Institute.
• Jan Ditzen & Ovidijus Stauskas, 2025. "On Selection of Cross-Section Averages in Non-stationary Environments," Papers 2505.08615, arXiv.org, revised May 2025.
• Xin Tian, 2025. "Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation," Papers 2505.05646, arXiv.org.
• 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 2505.06950, arXiv.org.
• 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 2506.06345, arXiv.org.
• 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 2506.13967, arXiv.org.
• Timoth'ee Hornek Amir Sartipi & Igor Tchappi & Gilbert Fridgen, 2025. "Benchmarking Pre-Trained Time Series Models for Electricity Price Forecasting," Papers 2506.08113, arXiv.org.
• Zhentao Shi & Jin Xi & Haitian Xie, 2025. "A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data," Papers 2505.22388, arXiv.org.
• Xueying Ding & Aakriti Mittal & Achintya Gopal, 2025. "DELPHYNE: A Pre-Trained Model for General and Financial Time Series," Papers 2506.06288, arXiv.org.
• 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 2025rwp-247, Yonsei University, Yonsei Economics Research Institute.