Report NEP-ETS-2026-08-24

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:

• Qiao, Xinghao & Wang, Zihan & Yao, Qiwei & Zhang, Bo, 2026, "Weight-calibrated estimation for factor models of high-dimensional time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 138585, Jul.
• Inoue, Atsushi & Jordà , Oscar & Kuersteiner, Guido, 2024, "Inference for Local Projections," CEPR Discussion Papers, Centre for Economic Policy Research, number 19379, Aug.
• A. Monta~n'es & E. Ruiz, 2026, "Robust estimation of the autocorrelation function via forward ratios," Papers, arXiv.org, number 2607.23744, Jul.
• Hauzenberger, Niko & Huber, Florian & Klieber, Karin & Marcellino, Massimiliano, 2024, "Bayesian Neural Networks for Macroeconomic Analysis," CEPR Discussion Papers, Centre for Economic Policy Research, number 19381, Aug.
• Jordà , Oscar & Taylor, Alan M., 2024, "Local projections," CEPR Discussion Papers, Centre for Economic Policy Research, number 19378, Aug.
• Kasun Dewage & Suranadi De Silva & Shankhadeep Mondal, 2026, "Hybrid Neural-Classical Correction for Frozen Time Series Foundation Models: A Comprehensive Ablation Study on High-Frequency Stock Prediction," Papers, arXiv.org, number 2608.08825, Aug.
• Xiaoyu Huang & Lulu Wang, 2026, "Emergent Latent-State Computation under Stochastic Volatility," Papers, arXiv.org, number 2607.25459, Jul.
• Alexandre Alouadi & Charles-Albert Lehalle, 2026, "The Fundamental Structure of Risk: From Characteristics to Covariance," Papers, arXiv.org, number 2607.24410, Jul.
• Andrea Bastianin & Elisabetta Mirto & Yan Qin & Luca Rossini, 2026, "Forecasting the Price of Carbon with Macroeconomic and Financial variables∗," Working Papers, Swiss National Bank, Study Center Gerzensee, number 26.03, Jun.
• Miguel D. Ramirez, 2026, "Foreign Direct Investment Flows and Economic Growth: An Autoregressive Distributed Lag (ARDL) Analysis for Chile, 1960-2020," Working Papers, Trinity College, Department of Economics, number 2602, Aug.
• Junyi Ye & Gargi Vijay Borde, 2026, "Regime-Gated Residual Mixture-of-Experts for Cross-Sectional Volatility Forecasting," Papers, arXiv.org, number 2608.12251, Aug.
• Xiaozhen Wang & Anais Despr'es & Martin Dureau & Francois Buet-Golfouse, 2026, "Amortizing the Calibration Triple: A Projection-Consistent Neural Operator for Local-Stochastic Volatility," Papers, arXiv.org, number 2608.01217, Aug.
• Igor Halperin, 2026, "Observable Matrix Dynamics of Stocks," Papers, arXiv.org, number 2607.19005, Jul, revised Jul 2026.
• Runyao Yu & Yuchen Tao & Yujie Chen & Wentao Wang & Derek W. Bunn, 2026, "Crossing-Free Probabilistic K-Line Forecasts Without Retraining," Papers, arXiv.org, number 2607.26792, Jul.
• Nader Karimi & Foad Shokrollahi, 2026, "Pricing Temperature-Index Insurance under Long Memory and Stochastic Time Change," Papers, arXiv.org, number 2608.15097, Aug.