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Report NEP-ETS-2025-12-15
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:
- Andersson, Jonas & Karlis, Dimitris, 2025, "Maximum Likelihood Estimation of the Vector AutoRegressive To Anything (VARTA) model," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2025/25, Dec.
- Tarek Jouini, 2025, "Consistent boundaries for the one-step-ahead forecast error criterion and the AIC in vector autoregressions," Working Papers, University of Windsor, Department of Economics, number 2506, Dec.
- Stevenson Bolivar & Rong Chen & Yuefeng Han, 2025, "Threshold Tensor Factor Model in CP Form," Papers, arXiv.org, number 2511.19796, Nov.
- Astill, Sam & Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert, 2025, "An Unobserved Components Based Test for Asset Price Bubbles," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 42258, Dec.
- Yuefeng Han & Likai Chen & Wei Biao Wu, 2025, "Estimation of High-dimensional Nonlinear Vector Autoregressive Models," Papers, arXiv.org, number 2511.18641, Nov.
- Angelini, Elena & Darracq Pariès, Matthieu & Haertel, Thomas & Lalik, Magdalena & Aldama, Pierre & Brázdik, František & Damjanović, Milan & Fantino, Davide & Sanchez, Pablo Garcia & Guarda, Paolo & Ke, 2025, "The ESCB forecasting models: what are they and what are they good for?," Occasional Paper Series, European Central Bank, number 381, Dec.
- Rutger-Jan Lange & Bram van Os & Dick van Dijk, 2025, "Implicit score-driven filters for time-varying parameter models," Papers, arXiv.org, number 2512.02744, Dec, revised Apr 2026.
- Klakow Akepanidtaworn & Korkrid Akepanidtaworn, 2025, "GDP Nowcasting Performance of Traditional Econometric Models vs Machine-Learning Algorithms: Simulation and Case Studies," IMF Working Papers, International Monetary Fund, number 2025/252, Dec.
- Boge Lyu & Qianye Yin & Iris Denise Tommelein & Hanyang Liu & Karnamohit Ranka & Karthik Yeluripati & Junzhe Shi, 2025, "A Granular Framework for Construction Material Price Forecasting: Econometric and Machine-Learning Approaches," Papers, arXiv.org, number 2512.09360, Dec.
- Micha{l} Sikorski, 2025, "Visibility-Graph Asymmetry as a Structural Indicator of Volatility Clustering," Papers, arXiv.org, number 2512.02352, Dec, revised Dec 2025.
- Eghbal Rahimikia & Hao Ni & Weiguan Wang, 2025, "Re(Visiting) Time Series Foundation Models in Finance," Papers, arXiv.org, number 2511.18578, Nov.
- Eden Gross & Ryan Kruger & Francois Toerien, 2025, "Standard and stressed value at risk forecasting using dynamic Bayesian networks," Papers, arXiv.org, number 2512.05661, Dec.
- Gilles Zumbach, 2025, "Random processes for long-term market simulations," Papers, arXiv.org, number 2511.18125, Nov.
- Yingyao Hu, 2025, "Identification of Multivariate Measurement Error Models," Papers, arXiv.org, number 2512.02970, Dec, revised Dec 2025.
- Ziyao Wang & A. Alexandre Trindade & Svetlozar T. Rachev, 2025, "The Three-Dimensional Decomposition of Volatility Memory," Papers, arXiv.org, number 2512.02166, Dec.
- Frédérique Bec & François Courtoy & Philipp Mohl & Frederic Opitz, 2025, "The Stochastic Simulations of the Commission’s Debt Sustainability Analysis: A Refined Approach," European Economy - Discussion Papers, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 226, Sep.