Report NEP-ETS-2026-01-12

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:

• Aknouche, Abdelhakim & Bentarzi, Mohamed, 2025. "Efficient two-stage estimation of cyclical ARCH models," MPRA Paper 127417, University Library of Munich, Germany.
• Elynn Chen & Yuefeng Han & Jiayu Li & Ke Xu, 2025. "Modewise Additive Factor Model for Matrix Time Series," Papers 2512.25025, arXiv.org.
• Peng, Rundong & Mallory, Mindy & Ma, Meilin & Wang, H. Holly, 2025. "Time Series Clustering in High Dimensional Cointegration Analysis: The Case of African Swine Fever in China," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO 360950, Agricultural and Applied Economics Association.
• Håvard Hungnes, 2025. "Decomposing the Output Gap. Robust Univariate and Multivariate Hodrick–Prescott Filtering with Extreme Observations," Discussion Papers 1031, Statistics Norway, Research Department.
• Simon Donker van Heel & Neil Shephard, 2025. "Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing," Papers 2512.16745, arXiv.org, revised Jan 2026.
• Lucas A. Souza, 2025. "Forward-Oriented Causal Observables for Non-Stationary Financial Markets," Papers 2512.24621, arXiv.org.
• Dimitrios Bachtis & David S. Berman & Arabella Schelpe, 2025. "Modelling financial time series with $\phi^{4}$ quantum field theory," Papers 2512.17225, arXiv.org.
• Matthieu Garcin & Louis Perot, 2025. "Asymptotic and finite-sample distributions of one- and two-sample empirical relative entropy, with application to change-point detection," Papers 2512.16411, arXiv.org.
• Christophe D. Hounwanou & Yae Ulrich Gaba & Pierre Ntakirutimana, 2025. "Synthetic Financial Data Generation for Enhanced Financial Modelling," Papers 2512.21791, arXiv.org.
• Ian Dew-Becker & Stefano Giglio & Pooya Molavi, 2025. "Learning and the Emergence of Nonlinearity in Financial Markets," NBER Working Papers 34584, National Bureau of Economic Research, Inc.
• Andrea Bastianin & Luca Rossini & Lorenzo Tonni, 2025. "A Real-Time Framework for Forecasting Metal Prices," Papers 2512.16521, arXiv.org.