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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. 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:
- Aknouche, Abdelhakim & Bentarzi, Mohamed, 2025, "Efficient two-stage estimation of cyclical ARCH models," MPRA Paper, University Library of Munich, Germany, number 127417, Dec.
- Elynn Chen & Yuefeng Han & Jiayu Li & Ke Xu, 2025, "Modewise Additive Factor Model for Matrix Time Series," Papers, arXiv.org, number 2512.25025, Dec, revised Feb 2026.
- 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, Agricultural and Applied Economics Association, number 360950, DOI: 10.22004/ag.econ.360950.
- Håvard Hungnes, 2025, "Decomposing the Output Gap. Robust Univariate and Multivariate Hodrick–Prescott Filtering with Extreme Observations," Discussion Papers, Statistics Norway, Research Department, number 1031, Dec.
- Simon Donker van Heel & Neil Shephard, 2025, "Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing," Papers, arXiv.org, number 2512.16745, Dec, revised Jan 2026.
- Lucas A. Souza, 2025, "Forward-Oriented Causal Observables for Non-Stationary Financial Markets," Papers, arXiv.org, number 2512.24621, Dec.
- Dimitrios Bachtis & David S. Berman & Arabella Schelpe, 2025, "Modelling financial time series with $\phi^{4}$ quantum field theory," Papers, arXiv.org, number 2512.17225, Dec.
- 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, arXiv.org, number 2512.16411, Dec.
- Christophe D. Hounwanou & Yae Ulrich Gaba & Pierre Ntakirutimana, 2025, "Synthetic Financial Data Generation for Enhanced Financial Modelling," Papers, arXiv.org, number 2512.21791, Dec.
- Ian Dew-Becker & Stefano Giglio & Pooya Molavi, 2025, "Learning and the Emergence of Nonlinearity in Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 34584, Dec.
- Andrea Bastianin & Luca Rossini & Lorenzo Tonni, 2025, "A Real-Time Framework for Forecasting Metal Prices," Papers, arXiv.org, number 2512.16521, Dec.