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Report NEP-ETS-2026-03-02
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:
- Cen, Zetai & Lam, Clifford, 2025, "On testing Kronecker product structure in tensor factor models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 129613, Dec.
- Harrison Katz, 2026, "Forecasting the Evolving Composition of Inbound Tourism Demand: A Bayesian Compositional Time Series Approach Using Platform Booking Data," Papers, arXiv.org, number 2602.18358, Feb, revised Apr 2026.
- Pieter Nel & Renee van Eyden, 2026, "From News to Noise: Does Media Sentiment Drive Stock Market Volatility?," Working Papers, University of Pretoria, Department of Economics, number 202605, Feb.
- Piersilvio De Bortoli & Davide Ferrari & Francesco Ravazzolo & Luca Rossini, 2026, "Model selection confidence sets for time series models with applications to electricity load data," Papers, arXiv.org, number 2602.16527, Feb.
- boughabi, houssam, 2026, "Income Growth In Morocco: An Analysis of Income Growth Following an ARFIMA Model," MPRA Paper, University Library of Munich, Germany, number 128041, Feb.
- Aur'elien Alfonsi & Ahmed Kebaier, 2026, "Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models," Papers, arXiv.org, number 2602.18234, Feb.
- Robben, Jens & Barigou, Karim, 2025, "A Penalized Distributed Lag Non-Linear Lee-Carter Framework for Regional Weekly Mortality Forecasting," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2025016, Sep.
- Marc Wildi, 2026, "Forecasting on the Accuracy-Timeliness Frontier: Two Novel `Look Ahead' Predictors," Papers, arXiv.org, number 2602.23087, Feb.
- Léonard, Lise & Pircalabelu, Eugen & von Sachs, Rainer, 2025, "High-dimensional inference for Model Averaging estimators," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2025014, Jun.
- Sumin Kim & Minjae Kim & Jihoon Kwon & Yoon Kim & Nicole Kagan & Joo Won Lee & Oscar Levy & Alejandro Lopez-Lira & Yongjae Lee & Chanyeol Choi, 2026, "LLM as a Risk Manager: LLM Semantic Filtering for Lead-Lag Trading in Prediction Markets," Papers, arXiv.org, number 2602.07048, Feb, revised Feb 2026.
- Mariano Kulish & Inna Tsener, 2025, "Piecewise Linear Solutions for Non-Stationary Models," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 387, Feb.