Report NEP-ETS-2026-06-08

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:

• Chebbi, Ali, 2026, "Asymptotic Theory and Regime-Varying Cointegration for Trend-Cycle Decomposition," MPRA Paper, University Library of Munich, Germany, number 128903, Apr.
• Jiti Gao & Fei Liu & Bin Peng, 2026, "Inference for High-Dimensional Local Projection," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/26.
• Li-Hsien Sun & Zong-Yuan Huang & Yi-Ling Huang & Chi-Yang Chiu & Ning Ning, 2026, "Change-point estimation for Weibull time series with copula-based Markov models," Papers, arXiv.org, number 2605.29541, May.
• Hilde C. Bjornland & Nicolas Hardy & Dimitris Korobilis, 2026, "Forecasting Oil Prices Across the Distribution: A Quantile VAR Approach," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-39, May.
• Jayesh Chaudhary, 2026, "Multi-Scale Markov Switching GARCH," Papers, arXiv.org, number 2606.06190, Jun.
• Runyu Dai & Yasumasa Matsuda, 2026, "Estimation of High-Dimensional Volatility Matrices with Dynamic Conditional Correlation-embedded Mixed Factor Structures," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 152, May.
• Giorgi Nikolaishvili & Noah D. Gade, 2026, "Scanning for Significance: False Discovery Control for Impulse Responses," Working Papers, Wake Forest University, Economics Department, number 134, Apr.
• Jin Seo Cho & Peter C. B. Phillips, 2026, "Efficient Estimation in Infinite Dimensional GMM," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2026rwp-289, May.
• Beniamino Hadj-Amar & Jack Jewson, 2026, "Bayesian Variable Selection with the Quasi-Posterior," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/26.
• Vidal Llauradó, Joan, 2026, "Detecting Latent Volatility Contagion," MPRA Paper, University Library of Munich, Germany, number 128738, Apr.
• Gerdie Everaert, 2026, "Incidental Parameters Bias in Panel Local Projections Non-Monotone Horizon Pattern and Correction," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 26/1145, Jun.
• Eduard Gracia, 2026, "Follow the median: revisiting bubbles and cycles," UB School of Economics Working Papers, University of Barcelona School of Economics, number 2026/497.
• Frank, Luis, 2026, "Calibrado de filtros no paramétricos y de Hodrick-Prescott para aproximar la tendencia-ciclo del EMAE
  [Calibration of Nonparametric Filters and Hodrick-Prescott for Approximating the Trend-Cycle of the EMAE]," MPRA Paper, University Library of Munich, Germany, number 129296, Mar.