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. 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:

• Jean-Marie Dufour & Purevdorj Tuvaandorj, 2025. "Mixed LR-$C(\alpha)$-type tests for irregular hypotheses, general criterion functions and misspecified models," Papers 2510.17070, arXiv.org.
• Harrison Katz, 2025. "Centered MA Dirichlet ARMA for Financial Compositions: Theory & Empirical Evidence," Papers 2510.18903, arXiv.org, 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 2025/217, International Monetary Fund.
• Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2025. "A high-frequency approach to Realized Risk Measures," Papers 2510.16526, arXiv.org.
• Semere Gebresilassie & Mulue Gebreslasie & Minglian Lin, 2025. "Multivariate Variance Swap Using Generalized Variance Method for Stochastic Volatility models," Papers 2510.20047, arXiv.org.
• Pattravadee de Favereau de Jeneret & Ioannis Diamantis, 2025. "Topology of Currencies: Persistent Homology for FX Co-movements: A Comparative Clustering Study," Papers 2510.19306, arXiv.org.
• 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 48232, Universidad Carlos III de Madrid. Departamento de Estadística.
• Rahul Billakanti & Minchul Shin, 2025. "At-Risk Transformation for U.S. Recession Prediction," Working Papers 25-34, Federal Reserve Bank of Philadelphia.
• Zhongjun Qu & Wendun Wang & Xiaomeng Zhang, 2025. "Prediction Intervals for Model Averaging," Papers 2510.16224, arXiv.org.
• Emmanuel Boadi, 2025. "Bitcoin Price Forecasting Based on Hybrid Variational Mode Decomposition and Long Short Term Memory Network," Papers 2510.15900, arXiv.org.
• ., Kaustubh & Gopalakrishnan, Pawan Gopalakrishnan & Ranjan, Abhishek Ranjan, 2025. "Estimating the New Keynesian Phillips Curve (NKPC) with Fat-tailed Events," MPRA Paper 126329, University Library of Munich, Germany.
• WATANABE, Toshiaki, 2025. "Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model," Discussion paper series HIAS-E-148, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• 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 2025: 24, Department of Economics, University of Venice "Ca' Foscari".
• Keyuan Wu & Tenghan Zhong & Yuxuan Ouyang, 2025. "An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps," Papers 2510.19126, arXiv.org.
• Yaxuan Kong & Yoontae Hwang & Marcus Kaiser & Chris Vryonides & Roel Oomen & Stefan Zohren, 2025. "Fusing Narrative Semantics for Financial Volatility Forecasting," Papers 2510.20699, arXiv.org.