Report NEP-ETS-2025-07-28

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:

• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "A Fractional Integration Model with Autoregressive Processes," CESifo Working Paper Series 11984, CESifo.
• Mirko Armillotta & Paolo Gorgi & André Lucas, 2025. "Copula tensor count autoregressions for modeling multidimensional integer-valued time series," Tinbergen Institute Discussion Papers 25-004/III, Tinbergen Institute.
• Cameron Cornell & Lewis Mitchell & Matthew Roughan, 2025. "Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe)," Papers 2505.12806, arXiv.org.
• Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2025. "Score-driven time-varying parameter models with splinebased densities," Tinbergen Institute Discussion Papers 25-011/III, Tinbergen Institute.
• Pál, Tibor & Storti, Giuseppe, 2025. "Estimating the R-Star in the US: A Score-Driven State-Space Model with Time-Varying Volatility Persistence," MPRA Paper 125338, University Library of Munich, Germany.
• Tony Paul, Nitin, 2025. "GARCH-FX: A Modular Framework for Stochastic and Regime-Aware GARCH Forecasting," MPRA Paper 125321, University Library of Munich, Germany.
• Anubha Goel & Puneet Pasricha & Martin Magris & Juho Kanniainen, 2025. "Foundation Time-Series AI Model for Realized Volatility Forecasting," Papers 2505.11163, arXiv.org.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle," CESifo Working Paper Series 11983, CESifo.
• Lukas Wiechers, 2025. "A Real-Time Analysis of Fundamentals and Bubbles in the S&P 500," Working Papers CIE 163, Paderborn University, CIE Center for International Economics.
• Federico Carlini & Mirco Rubin & Pierluigi Vallarino, 2025. "New rank-based tests and estimators for Common Primitive Shocks," Tinbergen Institute Discussion Papers 25-016/III, Tinbergen Institute.
• Qingyu Li & Chiranjib Mukhopadhyay & Abolfazl Bayat & Ali Habibnia, 2025. "Quantum Reservoir Computing for Realized Volatility Forecasting," Papers 2505.13933, arXiv.org.
• Philippe Goulet Coulombe & Karin Klieber, 2025. "Opening the Black Box of Local Projections," Papers 2505.12422, arXiv.org, revised Jul 2025.
• Elliot L. Epstein & Apaar Sadhwani & Kay Giesecke, 2025. "A Set-Sequence Model for Time Series," Papers 2505.11243, arXiv.org.
• Paker, Meredith & Stephenson, Judy & Wallis, Patrick, 2025. "Predictive modeling the past," LSE Research Online Documents on Economics 128852, London School of Economics and Political Science, LSE Library.
• Ramon van den Akker & Bas J. M. Werker & Bo Zhou, 2025. "Valid Post-Contextual Bandit Inference," Papers 2505.13897, arXiv.org.
• Yingjie Kuang & Tianchen Zhang & Zhen-Wei Huang & Zhongjie Zeng & Zhe-Yuan Li & Ling Huang & Yuefang Gao, 2025. "CATS: Clustering-Aggregated and Time Series for Business Customer Purchase Intention Prediction," Papers 2505.13558, arXiv.org.
• Li, Mengbing & Shi, Chengchun & Wu, Zhenke & Fryzlewicz, Piotr, 2025. "Testing stationarity and change point detection in reinforcement learning," LSE Research Online Documents on Economics 127507, London School of Economics and Political Science, LSE Library.
• Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2025. "Tractable Unified Skew-t Distribution and Copula for Heterogeneous Asymmetries," Papers 2505.10849, arXiv.org.
• Ayush Jha & Abootaleb Shirvani & Ali Jaffri & Svetlozar T. Rachev & Frank J. Fabozzi, 2025. "Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation," Papers 2505.12198, arXiv.org.
• Stijn De Backer & Luis E. C. Rocha & Jan Ryckebusch & Koen Schoors, 2025. "Characterizing asymmetric and bimodal long-term financial return distributions through quantum walks," Papers 2505.13019, arXiv.org.