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Report NEP-ETS-2025-12-01
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:
- Amaze Lusompa, 2025, "A Note on the Finite Sample Bias in Time Series Cross-Validation," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 25-17, Nov, revised 08 Dec 2025, DOI: 10.18651/RWP2025-17.
- Mountford, Andrew, 2025, "Identifying the Shocks also Identifies the Constants: Implications for VAR analysis," MPRA Paper, University Library of Munich, Germany, number 126806, Nov.
- Ferreira Batista Martins, Igor & Virbickaitè, Audronè & Nguyen, Hoang & Freitas Lopes, Hedibert, 2025, "Volume-driven time-of-day effects in intraday volatility models," Working Papers, Örebro University, School of Business, number 2025:14, Nov.
- Toru Kitagawa & Yizhou Kuang, 2025, "Identification-aware Markov chain Monte Carlo," Papers, arXiv.org, number 2511.12847, Nov, revised Dec 2025.
- Xuzhu ZHENG & Masato UBUKATA & Kosuke OYA, 2025, "Examining Volatility Roughness in the Japanese Stock Market," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 25-17, Nov.
- Masahiro Tanaka, 2025, "Modified Delayed Acceptance MCMC for Quasi-Bayesian Inference with Linear Moment Conditions," Papers, arXiv.org, number 2511.17117, Nov, revised Jan 2026.
- Jutta G. Kurth & Jean-Philippe Bouchaud, 2025, "Stationary Distributions of the Mode-switching Chiarella Model," Papers, arXiv.org, number 2511.13277, Nov.
- M. Stocker & W. Ma{l}gorzewicz & M. Fontana & S. Ben Taieb, 2025, "A Gentle Introduction to Conformal Time Series Forecasting," Papers, arXiv.org, number 2511.13608, Nov.
- Silvia Onofri & Andrey Shternshis & Stefano Marmi, 2025, "Emergence of Randomness in Temporally Aggregated Financial Tick Sequences," Papers, arXiv.org, number 2511.17479, Nov.
- Yasuyuki Matsumura & Chisato Tachibana, 2025, "Principal component analysis in econometrics: a selective inference perspective," Papers, arXiv.org, number 2511.10419, Nov, revised Dec 2025.
- Ping Wu & Dan Zhu, 2025, "U.S. Economy and Global Stock Markets: Insights from a Distributional Approach," Papers, arXiv.org, number 2511.17140, Nov, revised Nov 2025.
- boughabi, houssam, 2025, "Ghanaian Inflation and Income Dynamics: Evidence on Volatility and Neutrality," MPRA Paper, University Library of Munich, Germany, number 126757, Oct.
- Kéa Baret & Frédérique Bec & Marion Cochard, 2025, "Quantifying Uncertainty in France’s Debt Trajectory: A VAR Based Analysis," Working papers, Banque de France, number 1019.
- Antonio Galvao, 2025, "Unconditional quantile partial effects under endogeneity," Economics Virtual Symposium 2025, Stata Users Group, number 02, Nov.
- Marina Khismatullina & Bernhard van der Sluis, 2025, "Multiscale Comparison of Nonparametric Trending Coefficients," Papers, arXiv.org, number 2511.12600, Nov.