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Report NEP-ETS-2025-11-17
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:
- Anmar Kareem & Alexander Aue, 2025, "Bitcoin Forecasting with Classical Time Series Models on Prices and Volatility," Papers, arXiv.org, number 2511.06224, Nov.
- Hafner, C. M. & Linton, O. B. & Wang, L., 2025, "Multivariate AutoRegressive Smooth Liquidity (MARSLiQ)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2569, Oct.
- Martins, Igor F. B. Martins & Virbickaitè, Audronè & Nguyen, Hoang & Hedibert, Freitas Lopes, 2025, "Fast and Slow Level Shifts in Intraday Stochastic Volatility," Working Papers, Örebro University, School of Business, number 2025:12, Nov.
- Efrem Castelnuovo & Giovanni Pellegrino & Laust L. Særkjær, 2025, "Monetary Policy Shocks and Narrative Restrictions: Rules Matter," CESifo Working Paper Series, CESifo, number 12246.
- RJ Waken & Fengxian Wang & Sarah A. Eisenstein & Tim McBride & Kim Johnson & Karen Joynt-Maddox, 2025, "Multilevel non-linear interrupted time series analysis," Papers, arXiv.org, number 2511.05725, Nov.
- Mahdi Goldani, 2025, "Daily Forecasting for Annual Time Series Datasets Using Similarity-Based Machine Learning Methods: A Case Study in the Energy Market," Papers, arXiv.org, number 2511.05556, Nov.
- Dmitrii Vlasiuk & Mikhail Smirnov, 2025, "Push-response anomalies in high-frequency S&P 500 price series," Papers, arXiv.org, number 2511.06177, Nov.
- Barrales-Ruiz, Jose & Mendieta-Munoz, Ivan, 2025, "Are macro-financial linkages stable or time-varying? Evidence from Bayesian vector autoregressions," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 330707.
- M. Cadoni & R. Melis & A. Trudda, 2025, "Volatility analysis: a multifractional approach with mixtures of Beta distributions," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 202515.
- So-Yoon Cho & Jin-Young Kim & Kayoung Ban & Hyeng Keun Koo & Hyun-Gyoon Kim, 2025, "Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction," Papers, arXiv.org, number 2511.07014, Nov, revised Mar 2026.
- Lampe, Max & Adalid, Ramón, 2025, "A machine learning approach to real time identification of turning points in monetary aggregates M1 and M3," Working Paper Series, European Central Bank, number 3148, Nov.