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