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Report NEP-ETS-2026-05-18
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:
- Victor Chernozhukov & Christian Hansen & Lingwei Kong & Weining Wang, 2026, "Plausible GMM: a quasi-bayesian approach," CeMMAP working papers, Institute for Fiscal Studies, number 07/26, May, DOI: 10.47004/wp.cem.2026.0726.
- Qitong Chen & Shuwen Lai, 2026, "Self-normalized tests for multistep conditional predictive ability," Papers, arXiv.org, number 2605.07404, May.
- Samuel Mod'ee & Yushu Li & Sjur Westgaard & Stein Andreas Bethuelsen, 2026, "Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields," Papers, arXiv.org, number 2605.14976, May.
- Juan Diego Cafferata Salazar & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2026, "Persistence and Long-Run Linkages Between US Stock Market Prices and Bond Yields," CESifo Working Paper Series, CESifo, number 12649.
- Han Chen & Yijie Fei & Yiren Wang & Jun Yu, 2026, "Clustering for Block Correlation Models," Working Papers, University of Macau, Faculty of Business Administration, number 202639, Apr.
- Zhu, Xianghe & Yao, Qiwei, 2026, "Autoregressive hypergraph," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137673, Apr.
- Peter Reinhard Hansen & Chen Tong, 2026, "Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models," Papers, arXiv.org, number 2605.01665, May, revised May 2026.
- Marc-Oliver Pohle & Tanja Zahn & Sebastian Lerch, 2026, "Uncertainty Quantification in Forecast Comparisons," Papers, arXiv.org, number 2605.03997, May.
- Martin Bruns & Helmut Luetkepohl & James McNeil, 2026, "Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK," Working Papers, Dalhousie University, Department of Economics, number daleconwp2026-01, May.
- Daniel Andrew Coulson & David S. Matteson & Martin T. Wells, 2026, "Modeling Dynamic Correlation Matrices with Shrinkage Priors," Papers, arXiv.org, number 2605.06818, May.
- Laurent Ferrara & Aikaterini Karadimitropoulou & Athanasios Triantafyllou, 2026, "Commodity price uncertainty comovement: Does it matter for global economic growth?," Post-Print, HAL, number hal-05607366, Jul, DOI: 10.1016/j.euroecorev.2026.105339.
- Diego Vásquez-Escobar, 2026, "Hechos Complementarios sobre el Ciclo Económico en Colombia: Una Perspectiva desde el Ciclo de Crecimiento," Borradores de Economia, Banco de la Republica de Colombia, number 1352, May.
- Simon Scheidegger, 2026, "Deep Learning for Solving and Estimating Dynamic Models in Economics and Finance," Papers, arXiv.org, number 2605.14493, May.