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Report NEP-ETS-2026-03-16
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:
- Alexander Aue & Sebastian Kuhnert & Gregory Rice & Jeremy VanderDoes, 2026, "An operator-level ARCH Model," Papers, arXiv.org, number 2603.10272, Mar, revised Mar 2026.
- Fotso, Chris Toumping & Özer, Yeliz & Palumbo, Dario & Sibbertsen, Philipp, 2026, "Dynamic Modelling of Heavy-Tailed Cylindrical Time Series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-745, Mar.
- Han Chen & Yijie Fei & Jun Yu, 2026, "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers, University of Macau, Faculty of Business Administration, number 202638, Mar.
- Kurt G. Lunsford & Kenneth D. West, 2026, "An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 34904, Feb.
- Alexander Chudik & Lutz Kilian, 2026, "Mean Group and Pooled Mixed-Frequency Estimators of Responses of Low-Frequency Variables to High-Frequency Shocks," Working Papers, Federal Reserve Bank of Dallas, number 2603, Feb, DOI: 10.24149/wp2603.
- Niko Hauzenberger Massimiliano Marcellino Michael Pfarrhofer Anna Stelzer, 2026, "Direct Gaussian Process Predictive Regressions with Mixed Frequency Data," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 26265.
- Francesco Giancaterini & Alain Hecq & Joann Jasiak & Aryan Manafi Neyazi, 2026, "Shrinkage Regularization for (Non)Linear Serial Dependence Test," Papers, arXiv.org, number 2603.10152, Mar.
- Milos Ciganovic & Federico D'Amario & Massimiliano Tancioni, 2026, "Double Machine Learning for Time Series," Papers, arXiv.org, number 2603.10999, Mar.
- Abdulrahman Alswaidan & Jeffrey D. Varner, 2026, "Hybrid Hidden Markov Model for Modeling Equity Excess Growth Rate Dynamics: A Discrete-State Approach with Jump-Diffusion," Papers, arXiv.org, number 2603.10202, Mar, revised Apr 2026.
- Yinhuan Li & Chenxin Lyu & Ruodu Wang, 2026, "Adaptive Window Selection for Financial Risk Forecasting," Papers, arXiv.org, number 2603.01157, Mar.
- Adir Saly-Kaufmann & Kieran Wood & Jan Peter-Calliess & Stefan Zohren, 2026, "Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted Performance," Papers, arXiv.org, number 2603.01820, Mar.
- Cassim, Lucius & Mallick, Debdulal, 2025, "Fiscal Regime in Least Developed Countries, Institutions and Implications for Monetary Policy," MPRA Paper, University Library of Munich, Germany, number 127592.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2026, "Information matrix tests for switching regressions," Working Papers, CEMFI, number wp2026_2601, Feb.
- Campbell R. Harvey & Alessio Sancetta & Yuqian Zhao, 2026, "What Threshold Should be Applied to Tests of Factor Models?," NBER Working Papers, National Bureau of Economic Research, Inc, number 34898, Feb.