Report NEP-ETS-2026-01-05

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:

• Victor Chernozhukov & Christian B. Hansen & Lingwei Kong & Weining Wang, 2025. "Plausible GMM: A Quasi-Bayesian Approach," Bristol Economics Discussion Papers 25/817, School of Economics, University of Bristol, UK.
• Alyakin, Anton, 2025. "Motif Discovery in the Irregularly Sampled Time Series Data," Thesis Commons c5vzg_v1, Center for Open Science.
• Martin McCarthy & Stephen Snudden, 2025. "Forecasts of Period-average Exchange Rates: Insights from Real-time Daily Data," RBA Research Discussion Papers rdp2025-09, Reserve Bank of Australia.
• Zuoyou Jiang & Li Zhao & Rui Sun & Ruohan Sun & Zhongjian Li & Jing Li & Daxin Jiang & Zuo Bai & Cheng Hua, 2025. "Alpha-R1: Alpha Screening with LLM Reasoning via Reinforcement Learning," Papers 2512.23515, arXiv.org.
• Jean-Marie Dufour & Tianyu He, 2025. "Nonparametric methods for comparing distribution functionals for dependent samples with application to inequality measures," Papers 2512.21862, arXiv.org.
• Sharif Al Mamun & Rakib Hossain & Md. Jobayer Rahman & Malay Kumar Devnath & Farhana Afroz & Lisan Al Amin, 2025. "Bayesian Modeling for Uncertainty Management in Financial Risk Forecasting and Compliance," Papers 2512.15739, arXiv.org.
• Schafgans, Marcia M. A. & Zinde-Walsh, Victoria, 2026. "Multivariate kernel regression in vector and product metric spaces," LSE Research Online Documents on Economics 130725, London School of Economics and Political Science, LSE Library.
• Richard Kima & Keagile Lesame, 2025. "Macroeconomic effects of lowering South Africa's inflation target: An SVAR analysis," WIDER Working Paper Series wp-2025-106, World Institute for Development Economic Research (UNU-WIDER).
• Liyuan Cui & Guanhao Feng & Yuefeng Han & Jiayan Li, 2025. "Panel Coupled Matrix-Tensor Clustering Model with Applications to Asset Pricing," Papers 2512.23567, arXiv.org.
• Ian Dew-Becker & Stefano Giglio & Pooya Molavi, 2025. "The Inherent Nonlinearity in Learning: Implications for Understanding Stock Returns," Working Paper Series WP 2025-16, Federal Reserve Bank of Chicago.
• Agostino Capponi & Chengpiao Huang & J. Antonio Sidaoui & Kaizheng Wang & Jiacheng Zou, 2025. "The Nonstationarity-Complexity Tradeoff in Return Prediction," Papers 2512.23596, arXiv.org.
• Stewart, Shamar L. & Isengildina Massa, Olga, 2024. "Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model," 2024 Annual Meeting, July 28-30, New Orleans, LA 343936, Agricultural and Applied Economics Association.