Report NEP-ETS-2026-05-25

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:

• Safira, Dinda Ayu & Kuswanto, Heri & Ahsan, Muhammad & Sibbertsen, Philipp, 2026, "A Majorization-Minimization gLASSO Framework for SETAR Models: Theory, Simulation, and Application to PM2.5 Data," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-746, May.
• Obidaju, Innocent, 2026, "Time Series Forecasting Model of TETFund Allocation to Public Tertiary Institutions in Nigeria (2010–2023)," MPRA Paper, University Library of Munich, Germany, number 129024, May.
• Patrick Woitschig & Mike West, 2026, "Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting," Papers, arXiv.org, number 2605.12099, May.
• Sanjiv R Das & Tarang Goyal & Mohini Yadav, 2026, "Multivariate Financial Forecasting using the Chronos Time Series Foundation Models," Papers, arXiv.org, number 2605.21504, May.
• Jonas F. Frederiksen & Muneya Matsui & Rasmus S. Pedersen, 2026, "Heavy Tails and Predictive Ability Testing," Papers, arXiv.org, number 2605.16866, May, revised May 2026.
• Yasumasa Matsuda & Michel F. C. Haddad, 2026, "Density-valued VAR Models with Latent Factors," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 150, Apr.
• Philippe Goulet Coulombe, 2026, "LGB+: A Macroeconomic Forecasting Road Test," Papers, arXiv.org, number 2605.09740, May.
• Peter Reinhard Hansen & Chen Tong, 2026, "Tweedie's Formula and Score-Driven Updating," Papers, arXiv.org, number 2605.15902, May, revised May 2026.
• Martin Bruns & Helmut Lütkepohl & James McNeil, 2026, "Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US , and the UK," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2026-02, Mar.
• Yuan Liao & Xin Tong & Wanjie Wang & Dacheng Xiu, 2026, "Fixed-order PCA: Theory for Overestimated Factor Models," Papers, arXiv.org, number 2605.18448, May.
• Stanis{l}aw M. S. Halkiewicz, 2026, "Rolling-Origin Conformal Prediction under Local Stationarity and Weak Dependence," Papers, arXiv.org, number 2605.08422, May.
• Marco Gregnanin & Johannes De Smedt & Giorgio Gnecco & Maurizio Parton, 2026, "A Generative Adversarial Graph Neural Network for Synthetic Time Series Data," Papers, arXiv.org, number 2605.22215, May.
• Andrea Carriero & Florian Huber & Davide Pettenuzzo, 2026, "Double Descent and Benign Overfitting in Macroeconomic Forecasting," Papers, arXiv.org, number 2605.15358, May.
• Marco Gregnanin & Johannes De Smedt & Giorgio Gnecco & Maurizio Parton, 2026, "The Statistical Significance of the Inclusion of Graph Neural Networks in the Financial Time Series Forecasting Problem," Papers, arXiv.org, number 2605.21192, May.
• Masahiro Tanaka, 2026, "Quasi-Bayesian Local Projection Instrumental-Variables Method: Application to Renewable Energy and Electricity Prices," Papers, arXiv.org, number 2605.15966, May.
• Domagoj Ćorić & Matej Kožnjak & Dražen Smiljanić, 2026, "European and US capital markets: Which econometric approach is the best fit?," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 2603, Apr.
• Sahaj Raj Malla, 2026, "External Demand, Domestic Monetary Conditions, and Remittance Dynamics in Nepal," Papers, arXiv.org, number 2605.19401, May.
• Philippe Goulet Coulombe, 2026, "Quantifying the Risk-Return Tradeoff in Forecasting," Papers, arXiv.org, number 2605.09712, May.
• Ziyi Liu & Yiqing Xu, 2026, "The Harmonic Synthetic Control Method," Papers, arXiv.org, number 2605.20359, May.