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Report NEP-ETS-2025-09-22
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:
- Silvia Goncalves & Michael W. McCracken & Yongxu Yao, 2025, "Out-of-Sample Inference with Annual Benchmark Revisions," Working Papers, Federal Reserve Bank of St. Louis, number 2025-020, Sep, DOI: 10.20955/wp.2025.020.
- Anna Bykhovskaya & Vadim Gorin & Eszter Kiss, 2025, "Largevars: An R Package for Testing Large VARs for the Presence of Cointegration," Papers, arXiv.org, number 2509.06295, Sep.
- Tony Chernis & Niko Hauzenberger & Haroon Mumtaz & Michael Pfarrhofer, 2025, "A Bayesian Gaussian Process Dynamic Factor Model," Papers, arXiv.org, number 2509.04928, Sep.
- Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2025, "Learning Volatility:A Bayesian Neural Stochastic Framework," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 47944, Sep.
- Tanujit Chakraborty & Donia Besher & Madhurima Panja & Shovon Sengupta, 2025, "Neural ARFIMA model for forecasting BRIC exchange rates with long memory under oil shocks and policy uncertainties," Papers, arXiv.org, number 2509.06697, Sep.
- MD Nazmul Ahsan & Jean-Marie Dufour & Gabriel Rodriguez, 2025, "Modèles de volatilité stochastique à haute dimension: applications à l’incertitude macroéconomique au Québec et au Canada," CIRANO Project Reports, CIRANO, number 2025rp-19, Sep.
- Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2025, "Testing parametric additive time-varying GARCH models," Papers, arXiv.org, number 2506.23821, Jun.
- Pablo A. Guerron-Quintana & James M. Nason, 2025, "Bayesian Estimation of DSGE Models: An Update," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2025-52, Sep.
- Crystal Rust, 2025, "Chaotic Bayesian Inference: Strange Attractors as Risk Models for Black Swan Events," Papers, arXiv.org, number 2509.08183, Sep.