Report NEP-ETS-2026-06-29

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:

• Degui Li & Yuying Sun & Boyao Wu, 2026, "Time-Varying Model Averaging of Multi-layer Network Vector Autoregressions," Working Papers, University of Macau, Faculty of Business Administration, number 202640, Jun.
• Jinyuan Chang & Guanglin Huang & Qiwei Yao & Long Yu, 2026, "CP-factorization for high dimensional tensor time series and double projection iterations," Papers, arXiv.org, number 2606.08560, Jun.
• Ollech, Daniel, 2026, "Selecting seasonal filters in X-13-ARIMA via cross-validation," Discussion Papers, Deutsche Bundesbank, number 16/2026, DOI: 10.71734/DP-2026-16.
• Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2026, "A Structural Matrix Autoregressive Model for the Joint Dynamics of Volume, Volatility, and Returns," Papers, arXiv.org, number 2606.08141, Jun.
• Li, Mengxue & von Sachs, Rainer & Pircalabelu, Eugen, 2026, "Learning shared and individual structure in dynamic networks with degree heterogeneity," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2026012, Apr.
• Roberto Baviera & Pietro Manzoni & Michele Domenico Massaria, 2026, "Modeling dependence in sparse time series of Insurance Claims," Papers, arXiv.org, number 2605.25559, May.
• Marc Schmitt, 2026, "Algometrics: Forecasting Under Algorithmic Feedback," Papers, arXiv.org, number 2605.23978, May.
• Miguel Sanchez-Martinez & Tomasz Wo'zniak, 2026, "Forecasting with Bayesian Panel Vector Autoregressions Using the R Package bpvars," Papers, arXiv.org, number 2606.14143, Jun.
• Elton Beqiraj & Giovanni Di Bartolomeo & Marco Di Pietro & Carolina Serpieri, 2025, "An integrated Bayesian-Principal Component approach to macroeconomic resilience," CIMEO Working Paper Series, Centre for Investigation and Modelling of Experimental Observations (CIMEO), number 194.
• Luis Rodrigo Asturias Schaub & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2026, "Long Memory in Latin American Sovereign Risk: Daily Evidence on the EMBI," CESifo Working Paper Series, CESifo, number 12731.
• Krzysztof Ozimek, 2026, "Cross-sectional topological anomaly scores and intraday return predictability in the S&P 500: A BallMapper, decoder-conditional VAE, and Function-on-Function regression approach," Papers, arXiv.org, number 2606.08586, Jun.
• Nicola Baldoni & Michele Sparviero & Lorenzo Viola, 2026, "Scenario Generation for Time Series and Curves: A Comparison of Nonparametric and Semiparametric Bootstrap," Papers, arXiv.org, number 2606.11859, Jun, revised Jun 2026.
• Michele Sparviero & Lorenzo Viola, 2026, "Reverse Stress Testing for Multivariate Scenarios: A Conditional Framework for Stressed Time Series," Papers, arXiv.org, number 2606.09274, Jun.
• Amedeo Andriollo, 2026, "Causality versus Serial Correlation: an Asymmetric Portmanteau Test," Papers, arXiv.org, number 2606.07715, Jun.