Report NEP-ETS-2025-10-20

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:

• Alain Hecq & Ivan Ricardo & Ines Wilms, 2025. "Decomposing Co-Movements in Matrix-Valued Time Series: A Pseudo-Structural Reduced-Rank Approach," Papers 2509.19911, arXiv.org.
• Luisa Bisaglia & Margherita Gerolimetto & Margherita Palomba, 2025. "A new Combined Bootstrap Method for Long-Memory Time Series," Working Papers 2025: 19, Department of Economics, University of Venice "Ca' Foscari".
• Dimitris Korobilis, 2025. "Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs," Working Papers No 05/2025, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Bellocca, Gian Pietro Enzo & Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2025. "FARS: Factor Augmented Regression Scenarios in R," DES - Working Papers. Statistics and Econometrics. WS 48180, Universidad Carlos III de Madrid. Departamento de Estadística.
• Patrick Fève & Alban Moura, 2025. "Measuring business cycles using VARs," BCL working papers 201, Central Bank of Luxembourg.
• Aryan Manafi Neyazi, 2025. "Generalized Covariance Estimator under Misspecification and Constraints," Papers 2509.13492, arXiv.org.
• Yifan He & Svetlozar Rachev, 2025. "Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challenges," Papers 2509.19663, arXiv.org.