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Report NEP-ETS-2025-11-03
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:
- Jean-Marie Dufour & Purevdorj Tuvaandorj, 2025, "Mixed LR-$C(\alpha)$-type tests for irregular hypotheses, general criterion functions and misspecified models," Papers, arXiv.org, number 2510.17070, Oct.
- Harrison Katz, 2025, "Centered MA Dirichlet ARMA for Financial Compositions: Theory & Empirical Evidence," Papers, arXiv.org, number 2510.18903, Oct, revised Oct 2025.
- Mr. Paul Cashin & Mr. Fei Han & Ivy Sabuga & Jing Xie & Fan Zhang, 2025, "Parameter Proliferation in Nowcasting: Issues and Approaches—An Application to Nowcasting China’s Real GDP," IMF Working Papers, International Monetary Fund, number 2025/217, Oct.
- Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2025, "A high-frequency approach to Realized Risk Measures," Papers, arXiv.org, number 2510.16526, Oct.
- Semere Gebresilassie & Mulue Gebreslasie & Minglian Lin, 2025, "Multivariate Variance Swap Using Generalized Variance Method for Stochastic Volatility models," Papers, arXiv.org, number 2510.20047, Oct.
- Pattravadee de Favereau de Jeneret & Ioannis Diamantis, 2025, "Topology of Currencies: Persistent Homology for FX Co-movements: A Comparative Clustering Study," Papers, arXiv.org, number 2510.19306, Oct.
- Alahmad, Ahmad & Mínguez Solana, Roberto & Porras Soriano, Rocío & Lozano Galant, José Antonio & Turmo, José, 2025, "Parameter Inference for Structural System Identification Based on Static State Estimation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 48232, Oct.
- Rahul Billakanti & Minchul Shin, 2025, "At-Risk Transformation for U.S. Recession Prediction," Working Papers, Federal Reserve Bank of Philadelphia, number 25-34, Oct, DOI: 10.21799/frbp.wp.2025.34.
- Zhongjun Qu & Wendun Wang & Xiaomeng Zhang, 2025, "Prediction Intervals for Model Averaging," Papers, arXiv.org, number 2510.16224, Oct.
- Emmanuel Boadi, 2025, "Bitcoin Price Forecasting Based on Hybrid Variational Mode Decomposition and Long Short Term Memory Network," Papers, arXiv.org, number 2510.15900, Sep.
- ., Kaustubh & Gopalakrishnan, Pawan Gopalakrishnan & Ranjan, Abhishek Ranjan, 2025, "Estimating the New Keynesian Phillips Curve (NKPC) with Fat-tailed Events," MPRA Paper, University Library of Munich, Germany, number 126329, Oct.
- WATANABE, Toshiaki, 2025, "Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-148, Aug.
- Diana Barro & Antonella Basso & Marco Corazza & Guglielmo Alessandro Visentin, 2025, "A Neural Network-VAR for Long-Term Forecasting: An Application to Monetary Policy Effects in the Euro Area," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2025: 24.
- Keyuan Wu & Tenghan Zhong & Yuxuan Ouyang, 2025, "An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps," Papers, arXiv.org, number 2510.19126, Oct.
- Yaxuan Kong & Yoontae Hwang & Marcus Kaiser & Chris Vryonides & Roel Oomen & Stefan Zohren, 2025, "Fusing Narrative Semantics for Financial Volatility Forecasting," Papers, arXiv.org, number 2510.20699, Oct.