Report NEP-ETS-2025-08-25

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:

• Zhiren Ma & Qian Zhao & Riquan Zhang & Zhaoxing Gao, 2025. "High-Dimensional Matrix-Variate Diffusion Index Models for Time Series Forecasting," Papers 2508.04259, arXiv.org.
• Degui Li & Yayi Yan & Qiwei Yao, 2025. "Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration," Working Papers 202534, University of Macau, Faculty of Business Administration.
• Degui Li & Yayi Yan & Qiwei Yao, 2025. "Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration," Papers 2508.11358, arXiv.org, revised Aug 2025.
• Yambolov, Andrian, 2025. "How to conduct joint Bayesian inference in VAR models?," Working Paper Series 3100, European Central Bank.
• Haojie Liu & Zihan Lin, 2025. "Galerkin-ARIMA: A Two-Stage Polynomial Regression Framework for Fast Rolling One-Step-Ahead Forecasting," Papers 2507.07469, arXiv.org, revised Jul 2025.
• Peter C. B. Phillips & Liang Jiang, 2025. "Cross Section Curve Autoregression: The Unit Root Case," Cowles Foundation Discussion Papers 2454, Cowles Foundation for Research in Economics, Yale University.
• Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang, 2025. "Testing Clustered Equal Predictive Ability with Unknown Clusters," Papers 2507.14621, arXiv.org, revised Jul 2025.
• Kenneth D. West & Kurt G. Lunsford, 2025. "Random Walk Forecasts of Stationary Processes Have Low Bias," NBER Working Papers 34112, National Bureau of Economic Research, Inc.
• Oday Masoudi & Farhad Shahbazi & Mohammad Sharifi, 2025. "Complexity of Financial Time Series: Multifractal and Multiscale Entropy Analyses," Papers 2507.23414, arXiv.org.
• Dilip M. Nachane, 2025. "Maximum entropy spectral analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2025-020, Indira Gandhi Institute of Development Research, Mumbai, India.
• Sourojyoti Barick, 2025. "An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework," Papers 2507.10041, arXiv.org.
• Yu Shi & Zongliang Fu & Shuo Chen & Bohan Zhao & Wei Xu & Changshui Zhang & Jian Li, 2025. "Kronos: A Foundation Model for the Language of Financial Markets," Papers 2508.02739, arXiv.org.
• Yihao Ang & Qiang Wang & Qiang Huang & Yifan Bao & Xinyu Xi & Anthony K. H. Tung & Chen Jin & Zhiyong Huang, 2025. "CTBench: Cryptocurrency Time Series Generation Benchmark," Papers 2508.02758, arXiv.org.
• Tauheed, Tahira & Tauseef, Tahira, 2025. "A Univariate based NAIRU Estimation in the Context of Data Constrained Developing Countries," EconStor Preprints 323970, ZBW - Leibniz Information Centre for Economics.
• Sophia Rabe-Hesketh & Feng Ji & JoonHo Lee, 2025. "Valid standard errors for misspecified Bayesian models," 2025 Stata Conference 08, Stata Users Group.