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. 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:

• Andersson, Jonas & Karlis, Dimitris, 2025. "Maximum Likelihood Estimation of the Vector AutoRegressive To Anything (VARTA) model," Discussion Papers 2025/25, Norwegian School of Economics, Department of Business and Management Science.
• Tarek Jouini, 2025. "Consistent boundaries for the one-step-ahead forecast error criterion and the AIC in vector autoregressions," Working Papers 2506, University of Windsor, Department of Economics.
• Stevenson Bolivar & Rong Chen & Yuefeng Han, 2025. "Threshold Tensor Factor Model in CP Form," Papers 2511.19796, arXiv.org.
• 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 42258, University of Essex, Essex Business School.
• Yuefeng Han & Likai Chen & Wei Biao Wu, 2025. "Estimation of High-dimensional Nonlinear Vector Autoregressive Models," Papers 2511.18641, arXiv.org.
• 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 381, European Central Bank.
• Rutger-Jan Lange & Bram van Os & Dick van Dijk, 2025. "Implicit score-driven filters for time-varying parameter models," Papers 2512.02744, arXiv.org, revised Dec 2025.
• Klakow Akepanidtaworn & Korkrid Akepanidtaworn, 2025. "GDP Nowcasting Performance of Traditional Econometric Models vs Machine-Learning Algorithms: Simulation and Case Studies," IMF Working Papers 2025/252, International Monetary Fund.
• 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 2512.09360, arXiv.org.
• Micha{l} Sikorski, 2025. "Visibility-Graph Asymmetry as a Structural Indicator of Volatility Clustering," Papers 2512.02352, arXiv.org, revised Dec 2025.
• Eghbal Rahimikia & Hao Ni & Weiguan Wang, 2025. "Re(Visiting) Time Series Foundation Models in Finance," Papers 2511.18578, arXiv.org.
• Eden Gross & Ryan Kruger & Francois Toerien, 2025. "Standard and stressed value at risk forecasting using dynamic Bayesian networks," Papers 2512.05661, arXiv.org.
• Gilles Zumbach, 2025. "Random processes for long-term market simulations," Papers 2511.18125, arXiv.org.
• Yingyao Hu, 2025. "Identification of Multivariate Measurement Error Models," Papers 2512.02970, arXiv.org, revised Dec 2025.
• Ziyao Wang & A. Alexandre Trindade & Svetlozar T. Rachev, 2025. "The Three-Dimensional Decomposition of Volatility Memory," Papers 2512.02166, arXiv.org.
• 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 226, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.