Report NEP-ETS-2025-12-22

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.

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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," Papers, arXiv.org, number 2512.05900, Dec.
• Tetsuya Takaishi, 2025, "Volatility time series modeling by single-qubit quantum circuit learning," Papers, arXiv.org, number 2512.10584, Dec.
• Nicolas Hardy & Dimitris Korobilis, 2025, "Learning from crises: A new class of time-varying parameter VARs with observable adaptation," Papers, arXiv.org, number 2512.03763, Dec.
• Yingyao Hu, 2025, "Identification of multivariate measurement error models," CeMMAP working papers, Institute for Fiscal Studies, number 19/25, Dec, DOI: 10.47004/wp.cem.2025.1925.
• Pablo Guerron-Quintana & Amazon Web Services, 2025, "Chronos-2: From Univariate to Universal Forecasting," Boston College Working Papers in Economics, Boston College Department of Economics, number 1105, Dec.
• Helmut Lütkepohl & Till Strohsal, 2025, "Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 2146.
• Jan Ditzen, 2025, "xtbreak: Testing and estimating structural breaks in time-series and panel data in Stata," Italian Stata Users' Group Meetings 2025, Stata Users Group, number 03, Oct.
• Andrzej Tokajuk & Jaros{l}aw A. Chudziak, 2025, "Partial multivariate transformer as a tool for cryptocurrencies time series prediction," Papers, arXiv.org, number 2512.04099, Nov.
• Bufan Li & Lujia Bai & Weichi Wu, 2025, "Learning Time-Varying Correlation Networks with FDR Control via Time-Varying P-values," Papers, arXiv.org, number 2512.10467, Dec, revised Dec 2025.
• Qihui Chen & Zheng Fang & Ruixuan Liu, 2025, "Debiased Bayesian Inference for High-dimensional Regression Models," Papers, arXiv.org, number 2512.09257, Dec.
• Bullock, David W. & Okoto, Edna M., 2024, "Improved Value-at-Risk (VaR) Forward Curve Projection Using the Full Option Premium Profile," 2024 Conference, April 22-23, 2024, St. Louis, Missouri, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 379004, DOI: 10.22004/ag.econ.379004.