Report NEP-ETS-2025-11-24

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:

• Yaling Qi, 2025. "Large Bayesian Tensor Autoregressions," Papers 2511.03097, arXiv.org, revised Nov 2025.
• Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2025. "Robust Cauchy-Based Methods for Predictive Regressions," Papers 2511.09249, arXiv.org, revised Nov 2025.
• Dennis Thumm, 2025. "Causal Regime Detection in Energy Markets With Augmented Time Series Structural Causal Models," Papers 2511.04361, arXiv.org.
• Tetsuya Takaishi, 2025. "Multifractality and sample size influence on Bitcoin volatility patterns," Papers 2511.03314, arXiv.org.
• Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2025. "Why Applied Macroeconomists Should Not Use Bayesian Estimation of DSGE Models," Cardiff Economics Working Papers E2025/22, Cardiff University, Cardiff Business School, Economics Section.
• Xu Zhang & Zhengang Huang & Yunzhi Wu & Xun Lu & Erpeng Qi & Yunkai Chen & Zhongya Xue & Qitong Wang & Peng Wang & Wei Wang, 2025. "Multi-period Learning for Financial Time Series Forecasting," Papers 2511.08622, arXiv.org.
• Emmanuel Gnabeyeu & Gilles Pag`es, 2025. "On a Stationarity Theory for Stochastic Volterra Integral Equations," Papers 2511.03474, arXiv.org.
• Krzysztof Drachal & Joanna J?drzejewska, 0000. "Forecasting the Index of Commodities Prices Using Various Bayesian Models," Proceedings of Economics and Finance Conferences 15316933, International Institute of Social and Economic Sciences.
• Eiji Kurozumi & Anton Skrobotov, 2025. "Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble," Papers 2511.16172, arXiv.org.
• Sotiris & Tsolacos & Tatiana Franus, 2025. "Directional Forecasts for Yields Using Econometric Models and Machine Learning Methods," ERES eres2025_269, European Real Estate Society (ERES).
• Yilong Zeng & Boyan Tang & Xuanhao Ren & Sherry Zhefang Zhou & Jianghua Wu & Raymond Lee, 2025. "FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting," Papers 2511.10365, arXiv.org, revised Nov 2025.
• Stuart Lane, 2025. "The moment is here: a generalised class of estimators for fuzzy regression discontinuity designs," Papers 2511.03424, arXiv.org.
• Lebotsa Daniel Metsileng & Johannes Tshepiso Tsoku, 0000. "Modelling the South African inflation rate using Box-Jenkins ARIMA models," Proceedings of Economics and Finance Conferences 15316783, International Institute of Social and Economic Sciences.
• Gregory Fletcher Cox & Xiaoxia Shi & Yuya Shimizu, 2025. "Testing Inequalities Linear in Nuisance Parameters," Papers 2510.27633, arXiv.org.
• Ramaharo, Franck M., 2025. "Nowcasting Malagasy real GDP using energy data: a MIDAS approach," MPRA Paper 126629, University Library of Munich, Germany.
• George Wheaton, 2025. "Are VAR models evidence for a profit-led Goodwin pattern?," Working Papers 2517, New School for Social Research, Department of Economics.
• Gozde Sert & Abhishek Chakrabortty & Anirban Bhattacharya, 2025. "Bayesian Semiparametric Causal Inference: Targeted Doubly Robust Estimation of Treatment Effects," Papers 2511.15904, arXiv.org.
• Bachmair, K. & Schmitz, N., 2025. "Forecasting Macro with Finance," Cambridge Working Papers in Economics 2574, Faculty of Economics, University of Cambridge.