Report NEP-ETS-2025-07-21

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:

• Antonis Demos, 2025. "Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models," DEOS Working Papers 2546, Athens University of Economics and Business.
• Karim Moussa, 2025. "Simulation Smoothing for State Space Models: An Extremum Monte Carlo Approach," Tinbergen Institute Discussion Papers 25-034/III, Tinbergen Institute.
• Silva Lopes, Artur, 2025. "On a Definition of Trend," MPRA Paper 125073, University Library of Munich, Germany.
• Dou, Zhiwei & Ariens, Sigert & Ceulemans, Eva & Lafit, Ginette, 2025. "Reexamining an old story: uncovering the hidden small sample bias in AR(1) models," OSF Preprints esfpy_v1, Center for Open Science.
• Karim Moussa, 2025. "On the Correlations in Linearized Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 25-021/V, Tinbergen Institute.
• Yicong Lin & André Lucas & Shiqi Ye, 2025. "Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers," Tinbergen Institute Discussion Papers 25-042/III, Tinbergen Institute.
• Xia Zou & Yicong Lin & André Lucas, 2025. "Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics," Tinbergen Institute Discussion Papers 25-036/III, Tinbergen Institute.
• Marina Friedrich & Karim Moussa & Yuliya Shapovalova & David van der Straten, 2025. "Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station," Tinbergen Institute Discussion Papers 25-025/III, Tinbergen Institute.
• Yicong Lin & André Lucas, 2025. "Functional Location-Scale Models with Robust Observation-Driven Dynamics," Tinbergen Institute Discussion Papers 25-027/III, Tinbergen Institute.
• Mr. Philip Barrett, 2025. "Estimated Monthly National Accounts for the United States," IMF Working Papers 2025/134, International Monetary Fund.
• Laura Capera Romero & Anne Opschoor, 2025. "Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment," Tinbergen Institute Discussion Papers 25-041/III, Tinbergen Institute.
• Daan Schoemaker & André Lucas & Anne Opschoor, 2025. "Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes," Tinbergen Institute Discussion Papers 25-039/III, Tinbergen Institute.
• V. M. Belyaev, 2025. "Small Volatility Approximation and Multi-Factor HJM Models," Papers 2506.12584, arXiv.org.
• Lee, Minho & Suh, Yon Soo, 2025. "Chunk-Based Higher-Order Hierarchical Diagnostic Classification Models: A Maximum Likelihood Estimation Approach," SocArXiv aney6_v1, Center for Open Science.
• Frank Schorfheide & Zhiheng You, 2025. "Uncertainty in Empirical Economics," NBER Working Papers 33962, National Bureau of Economic Research, Inc.
• Emmanouil SOFIANOS & Thierry BETTI & Emmanouil Theophilos PAPADIMITRIOU & Amélie BARBIER-GAUCHARD & Periklis GOGAS, 2025. "Using DSGE and Machine Learning to Forecast Public Debt for France," Working Papers of BETA 2025-18, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Felipe Roldán-Ferrín & Julián A. Parra-Polania, 2025. "Enhancing inflation nowcasting with online search data: a random forest application for Colombia," Borradores de Economia 1318, Banco de la Republica de Colombia.
• Eric Engstrom, 2025. "Soft Landing or Stagflation? A Framework for Estimating the Probabilities of Macro Scenarios," Finance and Economics Discussion Series 2025-047, Board of Governors of the Federal Reserve System (U.S.).