Printed from https://ideas.repec.org/n/nep-ets/2026-04-13.html
Report NEP-ETS-2026-04-13
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:
- Daichi Hiraki & Siddhartha Chib & Yasuhiro Omori, 2026, "Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels," Papers, arXiv.org, number 2604.04529, Apr.
- Alexandre Alouadi & Gr'egoire Loeper & C'elian Marsala & Othmane Mazhar & Huy^en Pham, 2026, "SBBTS: A Unified Schr\"odinger-Bass Framework for Synthetic Financial Time Series," Papers, arXiv.org, number 2604.07159, Apr.
- Zongwu Cai & Wei Long, 2026, "Robust Inference for Time Series Quantile Regression: A Dependent Wild Bootstrap-Based Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202612, Apr, revised Apr 2026.
- Zheqi Fan & Meng Melody Wang & Yifan Ye, 2026, "On options-driven realized volatility forecasting: Information gains via rough volatility model," Papers, arXiv.org, number 2604.02743, Apr, revised Apr 2026.
- James A. Duffy & Sophocles Mavroeidis, 2026, "Identification in (Endogenously) Nonlinear SVARs Is Easier Than You Think," Papers, arXiv.org, number 2604.07718, Apr.
- Dario Caldara & Haroon Mumtaz & Molin Zhong, 2026, "Risk in a Data-Rich Model," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1435, Mar, DOI: 10.17016/IFDP.2026.1435.
- Tom'as del Barrio Castro & Alain Hecq & Sean Telg, 2026, "Seasonality in Mixed Causal-Noncausal Processes," Papers, arXiv.org, number 2604.07040, Apr.
- Diego Vallarino, 2026, "Identification and Inference in Nonlinear Dynamic Network Models," Papers, arXiv.org, number 2604.04961, Apr.
- Haroon Mumtaz & Sofia Velasco, 2026, "A Dynamic Factor Model for Level and Volatility," Papers, arXiv.org, number 2604.03681, Apr.
- Karmanpartap Singh Sidhu & Pranshi Saxena, 2026, "Beyond Black-Scholes: A Computational Framework for Option Pricing Using Heston, GARCH, and Jump Diffusion Models," Papers, arXiv.org, number 2604.06068, Apr.
- Marc Burri & Daniel Kaufmann, 2026, "Multiple monetary policy shocks from daily data: A heteroskedasticity IV approach," IRENE Working Papers, IRENE Institute of Economic Research, number 26-06, Apr.