Report NEP-ETS-2025-10-06

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:

• Gianluca Cubadda, 2025. "VAR Models With An Index Structure: A Survey With New Results," CEIS Research Paper 611, Tor Vergata University, CEIS, revised 22 Sep 2025.
• Xiyuan Liu & Zongwu Cai & Liangjun Su, 2025. "Time-varying Factor-augmented Forecasting Models with Variable Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202515, University of Kansas, Department of Economics, revised Sep 2025.
• Gergely Ganics & Lluc Puig Codina, 2035. "Simple Tests for the Correct Specification of Conditional Predictive Densities," Working Papers 2535, Banco de España.
• Mayer, Alexander & Wied, Dominik & Troster, Victor, 2025. "Quantile Granger Causality in the Presence of Instability," VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy 325369, Verein für Socialpolitik / German Economic Association.
• Lam, Clifford & Cen, Zetai, 2025. "Matrix-valued factor model with time-varying main effects," LSE Research Online Documents on Economics 129557, London School of Economics and Political Science, LSE Library.
• Igor L. Kheifets & Peter C. B. Phillips, 2025. "Optimal Estimation In A Multicointegrated System," Cowles Foundation Discussion Papers 2463, Cowles Foundation for Research in Economics, Yale University.
• Fekria Belhouichet & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "Persistence in Stock Returns: Robotics and AI ETFs Versus Other Assets," CESifo Working Paper Series 12171, CESifo.
• Rehim Kılıç, 2025. "Virtue or Mirage? Complexity in Exchange Rate Prediction," Finance and Economics Discussion Series 2025-089, Board of Governors of the Federal Reserve System (U.S.).
• Wiechers, Lukas, 2025. "A Realtime Analysis of Fundamentals and Bubbles in the S&P 500," VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy 325420, Verein für Socialpolitik / German Economic Association.