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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. 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:
- Antonis Demos, 2025, "Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models," DEOS Working Papers, Athens University of Economics and Business, number 2546, Jun.
- Karim Moussa, 2025, "Simulation Smoothing for State Space Models: An Extremum Monte Carlo Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-034/III, May.
- Silva Lopes, Artur, 2025, "On a Definition of Trend," MPRA Paper, University Library of Munich, Germany, number 125073, Apr.
- 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, Center for Open Science, number esfpy_v1, Jun, DOI: 10.31219/osf.io/esfpy_v1.
- Karim Moussa, 2025, "On the Correlations in Linearized Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-021/V, Mar.
- Yicong Lin & André Lucas & Shiqi Ye, 2025, "Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-042/III, Jul.
- Xia Zou & Yicong Lin & André Lucas, 2025, "Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-036/III, May.
- Marina Friedrich & Karim Moussa & Yuliya Shapovalova & David van der Straten, 2025, "Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-025/III, Apr.
- Yicong Lin & André Lucas, 2025, "Functional Location-Scale Models with Robust Observation-Driven Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-027/III, Apr.
- Mr. Philip Barrett, 2025, "Estimated Monthly National Accounts for the United States," IMF Working Papers, International Monetary Fund, number 2025/134, Jul.
- Laura Capera Romero & Anne Opschoor, 2025, "Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-041/III, Jun.
- Daan Schoemaker & André Lucas & Anne Opschoor, 2025, "Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-039/III, Jun.
- V. M. Belyaev, 2025, "Small Volatility Approximation and Multi-Factor HJM Models," Papers, arXiv.org, number 2506.12584, Jun.
- Lee, Minho & Suh, Yon Soo, 2025, "Chunk-Based Higher-Order Hierarchical Diagnostic Classification Models: A Maximum Likelihood Estimation Approach," SocArXiv, Center for Open Science, number aney6_v1, Jun, DOI: 10.31219/osf.io/aney6_v1.
- Frank Schorfheide & Zhiheng You, 2025, "Uncertainty in Empirical Economics," NBER Working Papers, National Bureau of Economic Research, Inc, number 33962, Jun.
- 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, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2025-18.
- Felipe Roldán-Ferrín & Julián A. Parra-Polania, 2025, "Enhancing inflation nowcasting with online search data: a random forest application for Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 1318, Jul, DOI: 10.32468/be.1318.
- Eric Engstrom, 2025, "Soft Landing or Stagflation? A Framework for Estimating the Probabilities of Macro Scenarios," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-047, Jul, DOI: 10.17016/FEDS.2025.047.