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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. 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:
- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025, "A Fractional Integration Model with Autoregressive Processes," CESifo Working Paper Series, CESifo, number 11984.
- Mirko Armillotta & Paolo Gorgi & André Lucas, 2025, "Copula tensor count autoregressions for modeling multidimensional integer-valued time series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-004/III, Feb.
- Cameron Cornell & Lewis Mitchell & Matthew Roughan, 2025, "Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe)," Papers, arXiv.org, number 2505.12806, May.
- Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2025, "Score-driven time-varying parameter models with splinebased densities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-011/III, Feb.
- 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, University Library of Munich, Germany, number 125338, Jul.
- Tony Paul, Nitin, 2025, "GARCH-FX: A Modular Framework for Stochastic and Regime-Aware GARCH Forecasting," MPRA Paper, University Library of Munich, Germany, number 125321, Jul.
- Anubha Goel & Puneet Pasricha & Martin Magris & Juho Kanniainen, 2025, "Foundation Time-Series AI Model for Realized Volatility Forecasting," Papers, arXiv.org, number 2505.11163, May.
- 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, CESifo, number 11983.
- Lukas Wiechers, 2025, "A Real-Time Analysis of Fundamentals and Bubbles in the S&P 500," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 163, Jul.
- Federico Carlini & Mirco Rubin & Pierluigi Vallarino, 2025, "New rank-based tests and estimators for Common Primitive Shocks," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-016/III, Mar.
- Qingyu Li & Chiranjib Mukhopadhyay & Abolfazl Bayat & Ali Habibnia, 2025, "Quantum Reservoir Computing for Realized Volatility Forecasting," Papers, arXiv.org, number 2505.13933, May.
- Philippe Goulet Coulombe & Karin Klieber, 2025, "Opening the Black Box of Local Projections," Papers, arXiv.org, number 2505.12422, May, revised Jul 2025.
- Elliot L. Epstein & Apaar Sadhwani & Kay Giesecke, 2025, "A Set-Sequence Model for Time Series," Papers, arXiv.org, number 2505.11243, May, revised Oct 2025.
- Paker, Meredith & Stephenson, Judy & Wallis, Patrick, 2025, "Predictive modeling the past," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128852, Jun.
- Ramon van den Akker & Bas J. M. Werker & Bo Zhou, 2025, "Valid Post-Contextual Bandit Inference," Papers, arXiv.org, number 2505.13897, May.
- 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, arXiv.org, number 2505.13558, May.
- Li, Mengbing & Shi, Chengchun & Wu, Zhenke & Fryzlewicz, Piotr, 2025, "Testing stationarity and change point detection in reinforcement learning," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127507, Jun.
- Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2025, "Tractable Unified Skew-t Distribution and Copula for Heterogeneous Asymmetries," Papers, arXiv.org, number 2505.10849, May.
- 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, arXiv.org, number 2505.12198, May.
- 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, arXiv.org, number 2505.13019, May.