Report NEP-ETS-2025-09-15

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:

• Harrison Katz & Robert E. Weiss, 2025. "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," Papers 2504.05489, arXiv.org, revised Aug 2025.
• Todd Clark & Florian Huber & Gary Koop, 2025. "A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors," Papers 2508.13972, arXiv.org.
• Yanlong Wang & Jian Xu & Fei Ma & Hongkang Zhang & Hang Yu & Tiantian Gao & Yu Wang & Haochen You & Shao-Lun Huang & Danny Dongning Sun & Xiao-Ping Zhang, 2025. "FinZero: Launching Multi-modal Financial Time Series Forecast with Large Reasoning Model," Papers 2509.08742, arXiv.org.
• Alain Guay & Dalibor Stevanovic, 2025. "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," CIRANO Working Papers 2025s-26, CIRANO.
• Ziyao Wang & Svetlozar T Rachev, 2025. "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers 2509.01041, arXiv.org.
• Yufei Sun, 2025. "Performance of Pairs Trading Strategies Based on Principal Component Analysis Methods," Working Papers 2025-21, Faculty of Economic Sciences, University of Warsaw.
• Hugo Kruiniger, 2025. "Uniform Quasi ML based inference for the panel AR(1) model," Papers 2508.20855, arXiv.org.
• Sourish Das, 2025. "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers 2506.17549, arXiv.org.
• Marcelo C. Medeiros & Jeronymo M. Pinro, 2025. "Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach," Papers 2508.20795, arXiv.org.
• Peiyun Jiang & Yoshimasa Uematsu & Takashi Yamagata, 2025. "Bias Correction in Factor-Augmented Regression Models with Weak Factors," Papers 2509.02066, arXiv.org.
• Noah Shore, 2025. "The Coherent Multiplex: Scalable Real-Time Wavelet Coherence Architecture," Papers 2508.19994, arXiv.org.
• Francis J. DiTraglia & Laura Liu, 2025. "Bayesian Double Machine Learning for Causal Inference," Papers 2508.12688, arXiv.org.