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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. 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:
- Monica Billio & Roberto Casarin & Fausto Corradin & Antonio Peruzzi, 2025, "Bayesian Outlier Detection for Matrix–variate Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2025: 14.
- Mr. Sakai Ando & Shuvam Das & Sultan Orazbayev, 2025, "A Python Package to Assist Macroframework Forecasting: Concepts and Examples," IMF Working Papers, International Monetary Fund, number 2025/172, Aug.
- 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, Central Bank of Chile, number 1023, Oct.
- Tingting Cheng & Jiachen Cong & Fei Liu & Xuanbin Yang, 2025, "Binary Response Forecasting under a Factor-Augmented Framework," Papers, arXiv.org, number 2507.16462, Jul.
- Atika Aouri & Philipp Otto, 2025, "A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks," Papers, arXiv.org, number 2508.20101, Aug.
- Gaurav Singh, 2025, "Forecasting NYC Yellow Taxi Ridership Decline: A Time Series Analysis of Daily Passenger Counts (2017-2019)," Papers, arXiv.org, number 2507.10588, Jul.
- Klieber, Karin & Coulombe, Philippe Goulet, 2025, "Opening the black box of local projections," Working Paper Series, European Central Bank, number 3105, Aug.
- Freddy Garc'ia-Alb'an & Juan Jarr'in, 2025, "Tracking the economy at high frequency," Papers, arXiv.org, number 2507.07450, Jul.
- 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, Central Bank of Chile, number 1041, Apr.
- Giuseppe Cavaliere & Luca Fanelli & Iliyan Georgiev, 2025, "Bootstrap Diagnostic Tests," Papers, arXiv.org, number 2509.01351, Sep, revised Oct 2025.
- Susie McKenzie, 2025, "Vector Autoregressive Models for Tax Forecasting," Treasury Analytical Notes Series, New Zealand Treasury, number an25/03, Jul.
- Yushi YOSHIDA, 2025, "Understanding How Exchange Rates are Perceived and How That Perception Affects Exchange Rate Forecasts," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 25079, Aug.
- Leonardo Bargigli, 2025, "How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2025_13.rdf.
- Gian Pietro Bellocca & Ignacio Garr'on & Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2025, "FARS: Factor Augmented Regression Scenarios in R," Papers, arXiv.org, number 2507.10679, Jul, revised Feb 2026.
- Zhuohang Zhu & Haodong Chen & Qiang Qu & Vera Chung, 2025, "FinCast: A Foundation Model for Financial Time-Series Forecasting," Papers, arXiv.org, number 2508.19609, Aug.
- James W. Taylor & Chao Wang, 2025, "Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall," Papers, arXiv.org, number 2508.16919, Aug.
- Cecilia Mancini, 2025, "Jump detection in financial asset prices that exhibit U-shape volatility," Papers, arXiv.org, number 2508.18876, Aug.