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. 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:

• Silvia Goncalves & Michael W. McCracken & Yongxu Yao, 2025. "Out-of-Sample Inference with Annual Benchmark Revisions," Working Papers 2025-020, Federal Reserve Bank of St. Louis.
• Anna Bykhovskaya & Vadim Gorin & Eszter Kiss, 2025. "Largevars: An R Package for Testing Large VARs for the Presence of Cointegration," Papers 2509.06295, arXiv.org.
• Tony Chernis & Niko Hauzenberger & Haroon Mumtaz & Michael Pfarrhofer, 2025. "A Bayesian Gaussian Process Dynamic Factor Model," Papers 2509.04928, arXiv.org.
• Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2025. "Beyond GARCH: Bayesian Neural Stochastic Volatility," DES - Working Papers. Statistics and Econometrics. WS 47944, Universidad Carlos III de Madrid. Departamento de Estadística.
• 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 2509.06697, arXiv.org.
• 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 2025rp-19, CIRANO.
• Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2025. "Testing parametric additive time-varying GARCH models," Papers 2506.23821, arXiv.org.
• Pablo A. Guerron-Quintana & James M. Nason, 2025. "Bayesian Estimation of DSGE Models: An Update," CAMA Working Papers 2025-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Crystal Rust, 2025. "Chaotic Bayesian Inference: Strange Attractors as Risk Models for Black Swan Events," Papers 2509.08183, arXiv.org.