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. 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:

• Harrison Katz & Robert E. Weiss, 2025, "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," Papers, arXiv.org, number 2504.05489, Apr, revised Feb 2026.
• Todd Clark & Florian Huber & Gary Koop, 2025, "A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors," Papers, arXiv.org, number 2508.13972, Aug.
• 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, arXiv.org, number 2509.08742, Sep.
• Alain Guay & Dalibor Stevanovic, 2025, "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," CIRANO Working Papers, CIRANO, number 2025s-26, Sep.
• Ziyao Wang & Svetlozar T Rachev, 2025, "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers, arXiv.org, number 2509.01041, Aug.
• Yufei Sun, 2025, "Performance of Pairs Trading Strategies Based on Principal Component Analysis Methods," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-21.
• Hugo Kruiniger, 2025, "Uniform Quasi ML based inference for the panel AR(1) model," Papers, arXiv.org, number 2508.20855, Aug, revised Dec 2025.
• Sourish Das, 2025, "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers, arXiv.org, number 2506.17549, Jun.
• Marcelo C. Medeiros & Jeronymo M. Pinro, 2025, "Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach," Papers, arXiv.org, number 2508.20795, Aug.
• Peiyun Jiang & Yoshimasa Uematsu & Takashi Yamagata, 2025, "Bias Correction in Factor-Augmented Regression Models with Weak Factors," Papers, arXiv.org, number 2509.02066, Sep, revised Oct 2025.
• Noah Shore, 2025, "The Coherent Multiplex: Scalable Real-Time Wavelet Coherence Architecture," Papers, arXiv.org, number 2508.19994, Aug.
• Francis J. DiTraglia & Laura Liu, 2025, "Bayesian Double Machine Learning for Causal Inference," Papers, arXiv.org, number 2508.12688, Aug.

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. 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: