Report NEP-ETS-2025-10-13

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:

• Leonardo N. Ferreira & Haroon Mumtaz & Ana Skoblar, 2025. "Stochastic Volatility-in-mean VARs with Time-Varying Skewness," Papers 2510.08415, arXiv.org.
• Wing-Keung Wong & Mu Yue, 2025. "Could regressing a stationary series on a non-stationary series obtain meaningful outcomes?," Economic Growth Centre Working Paper Series 2504, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Maria Gadea & Òscar Jordà, 2025. "Local Projections Bootstrap Inference," Working Paper Series 2025-21, Federal Reserve Bank of San Francisco.
• Wing-Keung Wong & Yushan Cheng & Mu Yue, 2025. "Could regression of stationary series be spurious?," Economic Growth Centre Working Paper Series 2503, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Ziyan Zhao & Qingfeng Liu, 2024. "Time-Varying Structural Approximate Dynamic Factor Model," Economic Growth Centre Working Paper Series 2401, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Samuel N. Cohen & Cephas Svosve, 2025. "Linking Path-Dependent and Stochastic Volatility Models," Papers 2510.02024, arXiv.org.
• Karsten Reichold & Ulrike Schneider, 2025. "Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions," Papers 2510.07204, arXiv.org.