Report NEP-ETS-2026-09-14

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:

• Tetsuya Takaishi, 2026, "Quantum Circuit Learning for Volatility Modeling: Multifractal Analysis of Realized Volatility Time Series," Papers, arXiv.org, number 2609.04569, Sep.
• Todd Clark & Florian Huber, 2026, "Clustered Local Projections for Short and Ultra-Short Time Series -- A Hierarchical Bayesian Framework," Papers, arXiv.org, number 2608.04631, Aug, revised Aug 2026.
• Prengle, Scott H., 2026, "Regimes, Not Forecasts: Reassessing Dynamic Nelson-Siegel Term Structure Forecasting, and a Proposed Descriptive Alternative," MPRA Paper, University Library of Munich, Germany, number 130391, Aug.
• James D. Hamilton & Xinwei Ma & Jin Xi, 2026, "Principal Component Analysis for a Mix of Stationary and Nonstationary Variables," Papers, arXiv.org, number 2608.23732, Aug.
• Dawis Kim & Tao Zha, 2026, "Sharpening Economic Interpretation with HARS," NBER Working Papers, National Bureau of Economic Research, Inc, number 35483, Jul.
• Jean-Marie Dufour & Tianyu He, 2026, "Nonparametric methods for comparing distribution functionals for dependent samples with applications to welfare indices," CIRANO Working Papers, CIRANO, number 2026s-14, Aug.
• Dario Caldara & Haroon Mumtaz & Molin Zhong, 2026, "Risk in a Data-Rich Model," Papers, arXiv.org, number 2608.05676, Aug.
• Vance Martin & Yoshihiko Nishiyama & John Stachurski & Yiran Xie, 2026, "A New Approach to Goodness of Fit for Ergodic Markov Processes," Papers, arXiv.org, number 2608.03088, Aug.
• Tim Gebbie, 2026, "Reflexivity from Hierarchical Causality," Papers, arXiv.org, number 2608.22497, Aug, revised Aug 2026.
• Naveed Javed & James Morley, 2026, "Diminishing Monetary Potency under Fiscal Dominance: A Bayesian Local Projections Analysis," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-75, Sep.
• Dobrislav Dobrev & Ernst Schaumburg, 2026, "High-Frequency Cross-Market Trading: Model-Free Measurement and Testable Implications," Working Papers, The George Washington University, The Center for Economic Research, number 2026-011, Sep.
• Gabriela Miyazato Szini, 2026, "A Pairwise Differencing Distribution Regression Approach for Network Models," Papers, arXiv.org, number 2608.04983, Aug.
• Daniyal Ali Hameedi, 2026, "From Exponential to Polynomial: An Exact Filter for High-Dimensional MSM Models," Papers, arXiv.org, number 2608.22864, Aug.
• Guillaume Flament & Christophe Hurlin & Quentin Lajaunie & Yoann Pull, 2026, "Generalized Impulse Responses of Portfolio Default Probabilities: A Modular Framework with an Application to Geopolitical Risk," Papers, arXiv.org, number 2608.04469, Aug.