Report NEP-ETS-2026-07-27

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:

• Andrea Carriero & Davide Pettenuzzo & Shubhranshu Shekhar, 2026, "MACROCAST: A Vintage-Consistent Time Series Foundation Model for Real-Time Macroeconomic Forecasting," Papers, arXiv.org, number 2606.28670, Jun.
• Kinel, Michal, 2026, "Robust Real-Time Macroeconomic Trend Extraction: A Gradient Boosting Approach," MPRA Paper, University Library of Munich, Germany, number 128473, Mar.
• Marcellino, Massimiliano & Pfarrhofer, Michael, 2025, "Nonparametric Mixed Frequency Monitoring Macro-at-Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 20442, Jul.
• Alessio Brini, 2026, "Forecasting Realized Volatility with Time Series Foundation Models: A Comparison with Econometric Benchmarks," Papers, arXiv.org, number 2607.05291, Jul.
• Hyung Joo Kim & Dong Hwan Oh, 2026, "Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-049, Jul, DOI: 10.17016/FEDS.2026.049.
• Bruno E. Holtz & Carlos A. Abanto-Valle & Ricardo S. Ehlers & Gabriel Rodr'iguez, 2026, "Stochastic Volatility in Mean Models with Heavy Tails: A Fast Approximate Bayesian Inference Using Hidden Markov Models," Papers, arXiv.org, number 2606.22615, Jun.
• Imran Ansari & Shashi Jain & Srikanth K. Iyer, 2026, "Recovering Structural Organization in Noisy Correlation Networks Using Financial Systems as a Testbed," Papers, arXiv.org, number 2607.10297, Jul.
• Paulo M.M. Rodrigues & Philipp Sibbertsen & Gabriel Zsurkis, 2026, "Testing for Explosiveness in Panels: A Self-Normalized Test for Stationarity in Cointegrating Residuals," Working Papers, Banco de Portugal, Economics and Research Department, number w202605.
• Yu Peng & Matloob Khushi & Josiah Poon, 2026, "CryptoGAT: Are Time Series Models Effective for Cryptocurrency Forecasting?," Papers, arXiv.org, number 2606.27670, Jun.
• Anders G Fr{o}seth, 2026, "A Spectral Generalisation of the Variance Ratio: Eigenstructure of Long-Horizon Portfolio Covariance and a Multi-Memory Factor Model of U.S. Equity Returns," Papers, arXiv.org, number 2607.03858, Jul.
• Thomas Glinnan, 2026, "Design-Based Inference for Time-Series GMM," Papers, arXiv.org, number 2606.31685, Jun.
• Hasraddin Guliyev, 2026, "Second-Generation Heterogeneous Panel Data Model with Individual and Common Shocks," Papers, arXiv.org, number 2606.29063, Jun.