Report NEP-ETS-2026-01-26

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:

• Kyriakopoulou, Dimitra, 2025, "A Shrinkage Factor-Augmented VAR for High-Dimensional Macro–Fiscal Dynamics," MPRA Paper, University Library of Munich, Germany, number 127158, Dec.
• Alejandro Rodriguez Dominguez, 2026, "Order-Constrained Spectral Causality in Multivariate Time Series," Papers, arXiv.org, number 2601.01216, Jan.
• Runze Li & Rui Zhou & David Pitt, 2026, "Dynamic Mortality Forecasting via Mixed-Frequency State-Space Models," Papers, arXiv.org, number 2601.05702, Jan.
• Anna Perekhodko & Robert 'Slepaczuk, 2025, "Stochastic Volatility Modelling with LSTM Networks: A Hybrid Approach for S&P 500 Index Volatility Forecasting," Papers, arXiv.org, number 2512.12250, Dec.
• Neville Francis & Peter Reinhard Hansen & Chen Tong, 2026, "Principled Identification of Structural Dynamic Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 34623, Jan.
• Takashi Kano, 2026, "Distribution-Matching Posterior Inference for Incomplete Structural Models," Papers, arXiv.org, number 2601.01077, Jan.
• Ulrich Hounyo & Min Seong Kim, 2025, "Robust Two-Sample Mean Inference under Serial Dependence," Papers, arXiv.org, number 2512.11259, Dec, revised Dec 2025.
• Anna Bykhovskaya & James A. Duffy, 2025, "Estimation of a Dynamic Tobit Model with a Unit Root," Papers, arXiv.org, number 2512.12110, Dec.
• Verona, Fabio, 2026, "Forecasting inflation: The sum of the cycles outperforms the whole," Bank of Finland Research Discussion Papers, Bank of Finland, number 1/2026.
• Mindy L. Mallory, 2026, "Two-Step Regularized HARX to Measure Volatility Spillovers in Multi-Dimensional Systems," Papers, arXiv.org, number 2601.03146, Jan, revised Jan 2026.
• Nuno Silva, 2025, "On the measurement and forecasting of sales volatility: is the quantile approach better?," Working Papers, Banco de Portugal, Economics and Research Department, number w202525.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2025, "Testing shock independence in Gaussian structural VARs," Working Papers, CEMFI, number wp2025_2532, Dec.
• Chu-An Liu & Andrey L. Vasnev, 2026, "Corrected Forecast Combinations," Papers, arXiv.org, number 2601.09999, Jan.
• Pablo Hidalgo & Julio E. Sandubete & Agust'in Garc'ia-Garc'ia, 2025, "Explainable Prediction of Economic Time Series Using IMFs and Neural Networks," Papers, arXiv.org, number 2512.12499, Dec.
• Paulo M.M. Rodrigues & Daniel Abreu, 2025, "Large-dimensional cointegrated threshold factor models: The Global Term Structure of Interest Rates," Working Papers, Banco de Portugal, Economics and Research Department, number w202528.
• Astill, Sam & Taylor, AM Robert & Zu Yang, 2026, "Covariate Augmented CUSUM Bubble Monitoring Procedures," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 42634, Jan.
• Arundeep Chinta & Lucas Vinh Tran & Jay Katukuri, 2026, "ProbFM: Probabilistic Time Series Foundation Model with Uncertainty Decomposition," Papers, arXiv.org, number 2601.10591, Jan.
• Sungwoo Kang, 2026, "When the Rules Change: Adaptive Signal Extraction via Kalman Filtering and Markov-Switching Regimes," Papers, arXiv.org, number 2601.05716, Jan.
• Chellai, Fatih, 2025, "A Proposal for a Unified Forecast Accuracy Index (UFAI): Toward Multidimensional and Context-Aware Forecast Evaluation," MPRA Paper, University Library of Munich, Germany, number 127449, Dec.