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Report NEP-ETS-2026-08-31
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Mariia Artemova & Dick van Dijk & Evgenii Vladimirov, 2026, "An Extended Score-Driven Dynamic Factor Model: Constructing Composite Indices in Turbulent Times," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-040/III, Jun.
- Inoue, Atsushi & Kilian, Lutz, 2024, "When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?," CEPR Discussion Papers, Centre for Economic Policy Research, number 19227, Jul.
- Ignacio Moreira Lara & Jan Pruser & Christoph Hanck, 2026, "A Structural Matrix Autoregression Framework for International Spillovers," Papers, arXiv.org, number 2608.00262, Jul.
- Ulrich Hounyo & Zhendong Li, 2026, "Supervised Mixed-Frequency Learning for Macro-Financial Forecasting When Factors are Weak," Papers, arXiv.org, number 2608.12589, Aug.
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Wu, Ping, 2026, "Incorporating Micro Data into Macro Models using Pseudo VARs," Discussion Papers, Economic Statistics Centre of Excellence, number escoe-dp-2026-04, Feb.
- Kyungsub Lee & Kennedy Titus Kayaki, 2026, "Long-memory GARCH via a two-dimensional Markov chain," Papers, arXiv.org, number 2607.25189, Jul.
- Lison Christiaens & Julien Hambuckers & Alain Hecq, 2026, "Nonfundamentalness or missing information ? Evidence from causal-noncausal VARs in macro-finance," Papers, arXiv.org, number 2607.28131, Jul.
- Avishek Bhandari, 2026, "Measuring the Arrow of Time: Identification, Estimation, and Inference for Directional Structure in Multivariate Time Series," Papers, arXiv.org, number 2608.13431, Aug.
- Jeron Tan Kang, 2026, "Yield Curve Prediction with Machine Learning: Forecasting Approaches and the Role of Macroeconomic Predictors," Papers, arXiv.org, number 2608.07536, Jul.
- Zhuohan Wang & Carmine Ventre, 2026, "Diffusion Models in Finance: A Survey," Papers, arXiv.org, number 2608.12583, Aug.
- Thomas R. Cook & Mariia Dzholos & Johannes Matschke, 2026, "Introducing Trimmed Imports and Exports," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 26-08, Aug, DOI: 10.18651/RWP2026-08.
- Damiano Brigo & Vladimir Lucic, 2026, "Local Stochastic Rough Volatility: Pathwise Filtering and the Conditional Density Equation," Papers, arXiv.org, number 2607.27588, Jul, revised Aug 2026.
- Saad Mouti, 2026, "Rough Volatility Across Assets," Papers, arXiv.org, number 2608.16749, Aug.