Report NEP-ETS-2025-08-18

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:

• Silva Lopes, Artur, 2025. "Introduction to the Univariate Analysis of Trends in Economic Time Series," EconStor Preprints 323383, ZBW - Leibniz Information Centre for Economics.
• Ben A. Marconi, 2025. "Time Series Foundation Models for Multivariate Financial Time Series Forecasting," Papers 2507.07296, arXiv.org.
• Chakattrai Sookkongwaree & Tattep Lakmuang & Chainarong Amornbunchornvej, 2025. "Multi-Band Variable-Lag Granger Causality: A Unified Framework for Causal Time Series Inference across Frequencies," Papers 2508.00658, arXiv.org.
• Duo Zhang & Jiayu Li & Junyi Mo & Elynn Chen, 2025. "Time-Varying Factor-Augmented Models for Volatility Forecasting," Papers 2508.01880, arXiv.org.
• Sicheng Fu & Fangfang Zhu & Xiangdong Liu, 2025. "A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market," Papers 2507.22409, arXiv.org.
• Giuseppe Cavaliere & Adam McCloskey & Rasmus S. Pedersen & Anders Rahbek, 2025. "Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems," Papers 2507.19603, arXiv.org.
• Otilia Boldea & Alastair R. Hall, 2025. "Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments," Papers 2507.22204, arXiv.org.
• James A. Duffy & Xiyu Jiao, 2025. "Inference on Common Trends in a Cointegrated Nonlinear SVAR," Papers 2507.22869, arXiv.org.
• Zihan Lin & Haojie Liu & Randall R. Rojas, 2025. "Dependency Network-Based Portfolio Design with Forecasting and VaR Constraints," Papers 2507.20039, arXiv.org.
• Andrey Sarantsev & Angel Piotrowski & Ian Anderson, 2025. "A Time Series Model for Three Asset Classes used in Financial Simulator," Papers 2508.06010, arXiv.org.
• Sung Hoon Choi & Donggyu Kim, 2025. "Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility," Papers 2507.22173, arXiv.org.
• Jiawen Luo & Jingyi Deng & Juncal Cunado & Rangan Gupta, 2025. "Forecasting GDP with Oil Price Shocks: A Mixed-Frequency Time-Varying Perspective," Working Papers 202523, University of Pretoria, Department of Economics.