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. 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:

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