Report NEP-ETS-2025-09-01

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:

• Jialing Han & Yu-Ning Li, 2025. "Approximate Factor Model with S-vine Copula Structure," Papers 2508.11619, arXiv.org.
• Bruno E. Holtz & Ricardo S. Ehlers & Adriano K. Suzuki & Francisco Louzada, 2025. "Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach," Papers 2508.10778, arXiv.org.
• Edward P. Herbst & Benjamin K. Johannsen, 2025. "Discussion of "Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly''," Finance and Economics Discussion Series 2025-058, Board of Governors of the Federal Reserve System (U.S.).
• Bahaa Aly, Tarek, 2025. "Nonlinear Macroeconomic Granger Causality: An ANN Input Occlusion Approach on MSSA-Denoised Data," MPRA Paper 125453, University Library of Munich, Germany.
• Zheng Fan & Worapree Maneesoonthorn & Yong Song, 2025. "A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage," Papers 2507.14408, arXiv.org.
• Atsushi Inoue & `Oscar Jord`a & Guido M. Kuersteiner, 2025. "Uniform Validity of the Subset Anderson-Rubin Test under Heteroskedasticity and Nonlinearity," Papers 2507.01167, arXiv.org.
• Fayc{c}al Djebari & Kahina Mehidi & Khelifa Mazouz & Philipp Otto, 2025. "Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach," Papers 2507.15046, arXiv.org.
• Zhongyuan Lyu & Ming Yuan, 2025. "Large-dimensional Factor Analysis with Weighted PCA," Papers 2508.15675, arXiv.org.
• Gregorio Impavido, 2025. "Sign Restrictions with a New-Keynesian Macro Model: Results From a “Quasi-Agnostic” Identification Procedure," IMF Working Papers 2025/162, International Monetary Fund.
• Victor Chernozhukov & Christian B. Hansen & Lingwei Kong & Weining Wang, 2025. "Plausible GMM: A Quasi-Bayesian Approach," Papers 2507.00555, arXiv.org.
• Grzegorz Dudek & Witold Orzeszko & Piotr Fiszeder, 2025. "Probabilistic Forecasting Cryptocurrencies Volatility: From Point to Quantile Forecasts," Papers 2508.15922, arXiv.org.
• Matthias Eckardt & Philipp Otto, 2025. "Regional compositional trajectories and structural change: A spatiotemporal multivariate autoregressive framework," Papers 2507.14389, arXiv.org.
• Paolo Foschi, 2025. "Multifactor Quadratic Hobson and Rogers models," Papers 2508.08773, arXiv.org.
• Rehim Kılıç, 2025. "Linear and nonlinear econometric models against machine learning models: realized volatility prediction," Finance and Economics Discussion Series 2025-061, Board of Governors of the Federal Reserve System (U.S.).
• Antonio F. Galvao & Gabriel Montes-Rojas, 2025. "Multivariate quantile regression," Papers 2508.15749, arXiv.org.