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Report NEP-ETS-2026-09-07
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:
- Fei Shang & Xiaolei Wang & Tomasz Wo'zniak, 2026, "A Design Concept of Forecasting Software for Normalized Vector Autoregressions with Fat Tails and Stochastic Volatility," Papers, arXiv.org, number 2608.28087, Aug.
- Justus Holman & Andre Lucas & Anne Opschoor, 2026, "Composite Univariate Modeling of Realized Covariance Matrix Dynamics and Volatility-at-Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-061/III, Aug.
- Niko Hauzenberger & Michael Pfarrhofer, 2026, "Conditional projection methods for large-scale Bayesian VARs," Papers, arXiv.org, number 2607.29215, Jul.
- Pedro Isaac Chavez-Lopez & Tae-Hwy Lee, 2026, "Quantile-Covariance Three-Pass Regression Filter," Working Papers, University of California at Riverside, Department of Economics, number 202605, Aug.
- Justus Holman & Yicong Lin & Andre Lucas & Anne Opschoor, 2026, "Joint Eigenvector and Eigenvalue Dynamics with an Application to Time-Varying Covariance Matrices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-060/III, Aug.
- Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerron, Pablo & Oosthuizen, Dick, 2024, "Filtering with Limited Information," CEPR Discussion Papers, Centre for Economic Policy Research, number 19270, Jul.
- Savi Virolainen, 2026, "A fully nonlinear structural vector autoregressive model identified via independent innovation analysis," Papers, arXiv.org, number 2608.03486, Aug.
- Joshua Elias Fred A. Suero, 2025, "Developing a Standard Strategy for Time Series Forecasting Integrating Statistical and Machine Learning Techniques Using a Meta-Model Approach and its Application in Generating External Debt Projections," BSP Discussion Paper Series, Bangko Sentral ng Pilipinas, number 202503, Apr.
- Frederik Bjerg Krabbe, 2026, "Causal Non-causal State Space Models and the Modelling of Financial Bubbles," Papers, arXiv.org, number 2608.28115, Aug.
- Davide Brignone & Michele Piffer, 2026, "Structural forecast analysis," Bank of England Staff Working Paper series, Bank of England, number 1165, Jan.
- Eoghan O'Neill & Sofia Velasco, 2026, "Let the Tree Decide: FABART. A Non-Parametric Factor Model for Nonlinear Oil Shock Transmission," Working Papers, Banco de España, number 2627, Sep, DOI: https://doi.org/10.53479/44248.
- Guilherme Vianna, 2026, "Bandwidth-Free Inference for Recursive Nonlinear Impulse Response Functions," Papers, arXiv.org, number 2608.02943, Aug.
- Joshua C. C. Chan, 2026, "Exact Rejection Sampling for Non-Gaussian State Space Models," Papers, arXiv.org, number 2608.21619, Aug.
- Marko Mlikota, 2026, "Parameter Identification and Inference in Discretely Sampled or Temporally Aggregated Autoregressions," Papers, arXiv.org, number 2608.13224, Aug, revised Sep 2026.
- Michael Dueker & Inés Kishkill & Martín Sola, 2026, "A Common European Business Cycle: Markov-Switching SUR with Cross-Sectional Weighting," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2026_05, Aug.
- Jeremy Bejarano & Viren Desai & Kausthub Keshava & Arsh Kumar & Zixiao Wang & Vincent Hanyang Xu & Yangge Xu, 2026, "An Open Benchmark for Evaluating Time Series Forecasting Methods across Financial Markets," Working Papers, Office of Financial Research, US Department of the Treasury, number 26-05, Aug.