Report NEP-ETS-2026-08-17

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:

• Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2026, "Diagnosing and Stabilizing Dynamic Correlations in Multivariate Stochastic Volatility Models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 50561, Jul.
• Gabriel Rodriguez Rondon & Jean-Marie Dufour, 2026, "Monte Carlo Likelihood-Ratio Tests for Markov Switching Models," Staff Working Papers, Bank of Canada, number 26-23, Jul, DOI: 10.34989/swp-2026-23.
• Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri, 2026, "Price Conflict and US Stock Return Volatility Forecasting: Insights from over 150 Years with a Mixed-Frequency Framework," Working Papers, University of Pretoria, Department of Economics, number 202620, Aug.
• Goncalves, Silvia & Herrera, Ana Maria & Kilian, Lutz & Pesavento, Elena, 2024, "Nonparametric Local Projections," CEPR Discussion Papers, Centre for Economic Policy Research, number 19684, Nov.
• Christopoulos, Dimitris & McAdam, Peter & Tzavalis, Elias, 2026, "Threshold endogeneity in vector autoregressions: reassessing monetary state dependence," Working Paper Series, European Central Bank, number 3263, Jul.
• Paritosh Shankarrao Junare, 2026, "Two Gaussians, Too Many: A bootstrap-based approach to assess identifiability in non-Gaussian structural Vector Autoregressions," Papers, arXiv.org, number 2607.17275, Jul.
• Gabriel Rodriguez Rondon & Jean-Marie Dufour, 2026, "MSTest: An R-Package for Testing Markov Switching Models," Staff Working Papers, Bank of Canada, number 26-7, Mar, DOI: 10.34989/swp-2026-7.
• Gabriel Rodriguez Rondon & Jean-Marie Dufour & Md. Nazmul Ahsan, 2026, "Estimation and Inference for Stochastic Volatility Models with Heavy-Tailed Distributions," Staff Working Papers, Bank of Canada, number 26-8, Mar, DOI: 10.34989/swp-2026-8.
• Padhyoti, Yadav & Mugera, Amin & White, Benedict, 2026, "Price transmission between Global and Australian wheat markets: A GARCH-based NARDL analysis," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri, Agricultural and Applied Economics Association, number 404540, DOI: 10.22004/ag.econ.404540.
• Artur Sepp & Vladimir Lucic, 2026, "The Science and Practice of Trend-Following Systems," Papers, arXiv.org, number 2607.19497, Jul.
• Özer, Yeliz & del Barrio Castro, Tomás & Escribano, Álvaro & Sibbertsen, Philipp, 2026, "Modeling Long Memory in 67 Million Years of Cyclical Climate Trends: Anticipating Future Cycles," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-751, Aug.
• Andrade, Philippe & Ferroni, Filippo & Melosi, Leonardo, 2024, "Identifying Non-Gaussian Structural Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 19813, Dec.
• Weiye Xi & Ciamac C. Moallemi & Mallesh Pai & Shouqiao Wang, 2026, "Volatility in Prediction Markets: A Structural Approach," Papers, arXiv.org, number 2607.08199, Jul, revised Jul 2026.
• Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey & Wu, Ping, 2024, "Measuring Sub-Regional Economic Activity: Missing Frequencies and Missing Data," Discussion Papers, Economic Statistics Centre of Excellence, number escoe-dp-2024-11, Sep.
• Chris Angstmann & Tim Gebbie, 2026, "Reaction-boundary variance and adjoint-consistent local-volatility projection," Papers, arXiv.org, number 2607.05011, Jul, revised Jul 2026.