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Report NEP-ETS-2026-09-28
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:
- Huan Gong & Feiyu Jiang, 2026, "Tensor-BEKK: Conditional Covariance Modeling and Inference for Tensor-Valued Time Series," Papers, arXiv.org, number 2609.18157, Sep.
- Hong, Y. & Lin, Z. & Linton, O. B. & Newey, W. K. & Sun, J., 2026, "Affine-Equivariant Adjusted-Range Self-Normalization," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2678, Sep.
- Blagov, Boris & Krause, Clara, 2026, "Does it add up? Reconciling forecasts and impulse responses for hierarchical macroeconomic data," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 1224, DOI: 10.4419/96973409.
- Matthew Read, 2026, "Sign Restrictions and Supply-Demand Decompositions of Inflation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-82, Sep.
- Guo, Hongfei & Marín, Juan Miguel & Veiga, Helena, 2026, "Testing Whether Volatility Model Gains Persist: A Prespecified Holdout in Tail Risk Forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 50798, Sep.
- Ayla Jungbluth & Johannes Lederer & Simon Trimborn, 2026, "Market-Informed Networks for Modeling and Forecast Evaluation of Financial Extremes," Papers, arXiv.org, number 2609.11575, Sep.
- Paritosh Shankarrao Junare, 2026, "Identification and Inference in proxy-SVARs with non-Gaussian shocks," Papers, arXiv.org, number 2609.14398, Sep, revised Oct 2026.
- Donia Besher & Rajdeep Pathak & Madhurima Panja & Tanujit Chakraborty, 2026, "Beyond Point Forecasts: A Survey on Probabilistic Forecasting for Time Series and Spatiotemporal Data," Papers, arXiv.org, number 2609.13345, Sep.
- Xu, Yongdeng, 2026, "Learn the measure, estimate the moment: machine-learned drivers in dynamic conditional correlation models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2026/12, Sep.
- Frank, Luis, 2026, "Selección combinada de modelos ARIMA para el desestacionalizado de las ramas de actividad del EMAE
[Combined ARIMA Model Selection for the Seasonal Adjustment of EMAE Activity Branches]," MPRA Paper, University Library of Munich, Germany, number 131073, Aug. - Aashish Bohra & Vivek Vijay, 2026, "VertiFuseX: Generalizable Financial Forecasting via Multi-Stream Temporal Fusion," Papers, arXiv.org, number 2609.12793, Sep.
- Jaehyung Choi, 2026, "Entropic Value-at-Risk parity for tempered stable returns," Papers, arXiv.org, number 2609.11905, Sep.