Report NEP-ETS-2025-08-11

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:

• Bo Hu & Joon Y. Park & Junhui Qian, 2025. "Analysis of Distributional Dynamics for Repeated Cross-Sectional and Intra-Period Observations," Papers 2505.15763, arXiv.org.
• John Michael, Riveros-Gavilanes, 2025. "Metodología estándar de vectores autoregresivos (VAR) y de corrección del error (VEC) [Standard methodology of vector autoregression (VAR) and error correction (VEC)]," MPRA Paper 124015, University Library of Munich, Germany.
• Roberto Esposti, 2025. "Investigating commodity price interdependence with grancer causality networks," Working Papers 498, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Gabor Petnehazi & Laith Al Shaggah & Jozsef Gall & Bernadett Aradi, 2025. "Zero-Shot Forecasting Mortality Rates: A Global Study," Papers 2505.13521, arXiv.org.
• Gabriel Rodriguez & Mauricio Alvarado, 2025. "The Inflation Uncertainty-Inflation Relationship: Time Variation Across Latin America and the G7," Documentos de Trabajo / Working Papers 2025-544, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Daniele Massacci & Lucio Sarno & Lorenzo Trapani & Pierluigi Vallarino, 2025. "A general randomized test for Alpha," Papers 2507.17599, arXiv.org.
• Anna Bykhovskaya & Vadim Gorin & Sasha Sodin, 2025. "How weak are weak factors? Uniform inference for signal strength in signal plus noise models," Papers 2507.18554, arXiv.org.
• Sourojyoti Barick & Sudip Ratan Chandra, 2025. "Analysing Models for Volatility Clustering with Subordinated Processes: VGSA and Beyond," Papers 2507.17431, arXiv.org.
• Francesco Giancaterini & Alain Hecq & Joann Jasiak & Aryan Manafi Neyazi, 2025. "Bubble Detection with Application to Green Bubbles: A Noncausal Approach," Papers 2505.14911, arXiv.org.
• MINAMI, Koutaroh, 2025. "Detecting Bubbles by Machine Learning Prediction," Working Paper Series G-1-30, Hitotsubashi University Center for Financial Research.
• Papp, Tamás K., 2025. "A flexible distribution family for testing MCMC implementations," IHS Working Paper Series 60, Institute for Advanced Studies.
• Matthias R. Fengler & Bruno Jäger & Ostap Okhrin, 2025. "Locally adaptive modeling of unconditional heteroskedasticity," Swiss Finance Institute Research Paper Series 25-60, Swiss Finance Institute.
• Roberto Casarin & Antonio Peruzzi & Davide Raggi, 2025. "Multiple Equilibria and the Phillips Curve: Do Agents Always Underreact?," Working Papers 2025: 10, Department of Economics, University of Venice "Ca' Foscari".
• Alessandro Casini & Adam McCloskey, 2025. "Identification, Estimation and Inference in High-Frequency Event Study Regressions," CEIS Research Paper 608, Tor Vergata University, CEIS, revised 28 Jul 2025.
• Chen, Fangyi & Chen, Yunxiao & Ying, Zhiliang & Zhou, Kangjie, 2025. "Dynamic factor analysis of high-dimensional recurrent events," LSE Research Online Documents on Economics 127778, London School of Economics and Political Science, LSE Library.
• Pascal Michaillat, 2025. "Early and Accurate Recession Detection Using Classifiers on the Anticipation-Precision Frontier," NBER Working Papers 34015, National Bureau of Economic Research, Inc.
• Radoslaw Trojanek & Luke Hartigan & Norbert Pfeifer & Miriam Steurer, 2025. "Nowcasting Transaction-Based House Price Indices Using Web-Scraped Listings and MIDAS Regression," CAMA Working Papers 2025-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.