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Report NEP-ETS-2025-09-29
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:
- Todd Prono, 2025, "When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-075, Aug, DOI: 10.17016/FEDS.2025.075.
- Degui Li & Yuning Li & Peter C.B. Phillips, 2025, "Large-Scale Curve Time Series with Common Stochastic Trends," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2460, Sep.
- Stéphane Lhuissier, 2025, "Assessing Asymmetric Macroeconomic Risk," Working papers, Banque de France, number 1004.
- Wenze Li, 2025, "Wild Bootstrap Inference for Linear Regressions with Many Covariates," Papers, arXiv.org, number 2506.20972, Jun.
- Anas Abdelhakmi & Andrew E. B. Lim, 2025, "Dynamic Factor Models with Forward-Looking Views," Papers, arXiv.org, number 2509.11528, Sep.
- Andr'es L. Su'arez-Cetrulo & Alejandro Cervantes & David Quintana, 2025, "ProteuS: A Generative Approach for Simulating Concept Drift in Financial Markets," Papers, arXiv.org, number 2509.11844, Aug.