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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. 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:
- Jialing Han & Yu-Ning Li, 2025, "Approximate Factor Model with S-vine Copula Structure," Papers, arXiv.org, number 2508.11619, Aug.
- Bruno E. Holtz & Ricardo S. Ehlers & Adriano K. Suzuki & Francisco Louzada, 2025, "Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach," Papers, arXiv.org, number 2508.10778, Aug.
- 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, Board of Governors of the Federal Reserve System (U.S.), number 2025-058, Aug, DOI: 10.17016/FEDS.2025.058.
- Bahaa Aly, Tarek, 2025, "Nonlinear Macroeconomic Granger Causality: An ANN Input Occlusion Approach on MSSA-Denoised Data," MPRA Paper, University Library of Munich, Germany, number 125453, Jul.
- Zheng Fan & Worapree Maneesoonthorn & Yong Song, 2025, "A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage," Papers, arXiv.org, number 2507.14408, Jul.
- Atsushi Inoue & `Oscar Jord`a & Guido M. Kuersteiner, 2025, "Uniform Validity of the Subset Anderson-Rubin Test under Heteroskedasticity and Nonlinearity," Papers, arXiv.org, number 2507.01167, Jul.
- 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, arXiv.org, number 2507.15046, Jul.
- Zhongyuan Lyu & Ming Yuan, 2025, "Large-dimensional Factor Analysis with Weighted PCA," Papers, arXiv.org, number 2508.15675, Aug.
- Gregorio Impavido, 2025, "Sign Restrictions with a New-Keynesian Macro Model: Results From a “Quasi-Agnostic” Identification Procedure," IMF Working Papers, International Monetary Fund, number 2025/162, Aug.
- Victor Chernozhukov & Christian B. Hansen & Lingwei Kong & Weining Wang, 2025, "Plausible GMM: A Quasi-Bayesian Approach," Papers, arXiv.org, number 2507.00555, Jul.
- Grzegorz Dudek & Witold Orzeszko & Piotr Fiszeder, 2025, "Probabilistic Forecasting Cryptocurrencies Volatility: From Point to Quantile Forecasts," Papers, arXiv.org, number 2508.15922, Aug.
- Matthias Eckardt & Philipp Otto, 2025, "Regional compositional trajectories and structural change: A spatiotemporal multivariate autoregressive framework," Papers, arXiv.org, number 2507.14389, Jul.
- Paolo Foschi, 2025, "Multifactor Quadratic Hobson and Rogers models," Papers, arXiv.org, number 2508.08773, Aug.
- Rehim Kılıç, 2025, "Linear and nonlinear econometric models against machine learning models: realized volatility prediction," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-061, Aug, DOI: 10.17016/FEDS.2025.061.
- Antonio F. Galvao & Gabriel Montes-Rojas, 2025, "Multivariate quantile regression," Papers, arXiv.org, number 2508.15749, Aug, revised Dec 2025.