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. 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:

• 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 2025-075, Board of Governors of the Federal Reserve System (U.S.).
• Degui Li & Yuning Li & Peter C.B. Phillips, 2025. "Large-Scale Curve Time Series with Common Stochastic Trends," Cowles Foundation Discussion Papers 2460, Cowles Foundation for Research in Economics, Yale University.
• Stéphane Lhuissier, 2025. "Assessing Asymmetric Macroeconomic Risk," Working papers 1004, Banque de France.
• Wenze Li, 2025. "Wild Bootstrap Inference for Linear Regressions with Many Covariates," Papers 2506.20972, arXiv.org.
• Anas Abdelhakmi & Andrew E. B. Lim, 2025. "Dynamic Factor Models with Forward-Looking Views," Papers 2509.11528, arXiv.org.
• Andr'es L. Su'arez-Cetrulo & Alejandro Cervantes & David Quintana, 2025. "ProteuS: A Generative Approach for Simulating Concept Drift in Financial Markets," Papers 2509.11844, arXiv.org.