Report NEP-ETS-2025-09-08

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:

• Monica Billio & Roberto Casarin & Fausto Corradin & Antonio Peruzzi, 2025. "Bayesian Outlier Detection for Matrix–variate Models," Working Papers 2025: 14, Department of Economics, University of Venice "Ca' Foscari".
• Mr. Sakai Ando & Shuvam Das & Sultan Orazbayev, 2025. "A Python Package to Assist Macroframework Forecasting: Concepts and Examples," IMF Working Papers 2025/172, International Monetary Fund.
• Antoni Espasa & Guillermo Carlomagno, 2024. "Modelling high frequency non-financial big time series with an application to jobless claims in Chile," Working Papers Central Bank of Chile 1023, Central Bank of Chile.
• Tingting Cheng & Jiachen Cong & Fei Liu & Xuanbin Yang, 2025. "Binary Response Forecasting under a Factor-Augmented Framework," Papers 2507.16462, arXiv.org.
• Atika Aouri & Philipp Otto, 2025. "A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks," Papers 2508.20101, arXiv.org.
• Gaurav Singh, 2025. "Forecasting NYC Yellow Taxi Ridership Decline: A Time Series Analysis of Daily Passenger Counts (2017-2019)," Papers 2507.10588, arXiv.org.
• Klieber, Karin & Coulombe, Philippe Goulet, 2025. "Opening the black box of local projections," Working Paper Series 3105, European Central Bank.
• Freddy Garc'ia-Alb'an & Juan Jarr'in, 2025. "Tracking the economy at high frequency," Papers 2507.07450, arXiv.org.
• Rodrigo Alfaro & Catalina Estefó, 2025. "Tail-Risk Indicators with Time-Variant Volatility Models: the case of the Chilean Peso," Working Papers Central Bank of Chile 1041, Central Bank of Chile.
• Giuseppe Cavaliere & Luca Fanelli & Iliyan Georgiev, 2025. "Bootstrap Diagnostic Tests," Papers 2509.01351, arXiv.org.
• Susie McKenzie, 2025. "Vector Autoregressive Models for Tax Forecasting," Treasury Analytical Notes Series an25/03, New Zealand Treasury.
• Yushi YOSHIDA, 2025. "Understanding How Exchange Rates are Perceived and How That Perception Affects Exchange Rate Forecasts," Discussion papers 25079, Research Institute of Economy, Trade and Industry (RIETI).
• Leonardo Bargigli, 2025. "How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach," Working Papers - Economics wp2025_13.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Gian Pietro Bellocca & Ignacio Garr'on & Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2025. "FARS: Factor Augmented Regression Scenarios in R," Papers 2507.10679, arXiv.org.
• Zhuohang Zhu & Haodong Chen & Qiang Qu & Vera Chung, 2025. "FinCast: A Foundation Model for Financial Time-Series Forecasting," Papers 2508.19609, arXiv.org.
• James W. Taylor & Chao Wang, 2025. "Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall," Papers 2508.16919, arXiv.org.
• Cecilia Mancini, 2025. "Jump detection in financial asset prices that exhibit U-shape volatility," Papers 2508.18876, arXiv.org.