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Report NEP-ETS-2026-10-05
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:
- Han Xiao & Yuefeng Han & Rong Chen & Ama Ampadu-Kissi, 2026, "Reduced-Rank Autoregressive Models for Matrix Time Series," Papers, arXiv.org, number 2609.28841, Sep.
- Drew D. Creal & Marcelo C. Medeiros & Rodrigo Sarlo, 2026, "Conditionally linear, matrix normal state space models," Papers, arXiv.org, number 2609.18734, Sep.
- Lucas Harlaar & Jan van den Brakel & Siem Jan Koopman, 2026, "Synchronized Time Series Models for National Accounts Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-073/III, Sep.
- Bram Wouters & Cees Diks, 2026, "Model-agnostic noise reduction for high-dimensional time series data," Papers, arXiv.org, number 2609.27614, Sep.
- Xinyu Song, 2026, "Network Realized GARCH--It\^o Models: Volatility Spillovers with High-Frequency Identification," Papers, arXiv.org, number 2609.29515, Aug.
- Oriol González-Casasús, 2026, "Quantifying Dynamic Misspecification Biases in VARs," Working Papers, Barcelona School of Economics, number 1595, Sep.
- Shuping Shi & Jun Yu & Chen Zhang, 2026, "Beyond the HAR: A New Benchmark for Volatility Forecasting," Working Papers, University of Macau, Faculty of Business Administration, number 202648, Sep.
- Micha{l} Balcerek & Micha{l} Wronka, 2026, "Modeling interest rate swap volatility with GARCH processes," Papers, arXiv.org, number 2609.25965, Sep.
- Hubeyb Gurdogan & Georg Menz, 2026, "A Sharp Signal-to-Noise Threshold for Quasi-Maximum Likelihood Breakpoint Estimation," Papers, arXiv.org, number 2609.12271, Sep.
- Zhiruo Zhang & Firmin Doko Tchatoka & Qazi Haque, 2026, "Adaptive Bayesian Shrinkage of High-Dimensional Panel VARs," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2026-05 Classification-C1, May.
- Michela Eugenia Pasetto, 2026, "A method for forecasting unquoted shares of non-financial corporations in the Italian financial accounts," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 1037, Jul.
- Aidan Wardak & Sayar Karmakar, 2026, "A Characterization of the $M$-tests Under Nearly Integrated Nearly White Noise," Papers, arXiv.org, number 2609.30504, Sep.
- Frank, Luis, 2026, "Comparación de métodos de regresión y reducción de dimensión para el nowcasting del EMAE
[A Comparison of Regression and Dimensionality Reduction Methods for EMAE Nowcasting]," MPRA Paper, University Library of Munich, Germany, number 131074, Sep. - Schröder, Maximilian, 2026, "Multivariate uncertainty and distributional transmission," Working Paper Series, European Central Bank, number 3290, Sep.
- Nabeel Ahmad Saidd, 2026, "HARN: Hierarchical Associative Resonance Network for Event-Driven Multi-Timeframe Forecasting," Papers, arXiv.org, number 2609.26822, Sep.
- Aitor Ciarreta & Peru Muniain & Ainhoa Zarraga, 2026, "A distributional modelling approach with application to electricity price forecasting," Papers, arXiv.org, number 2610.01465, Oct.
- Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2026, "Rethinking Quantile-on-Quantile Connectedness," Working Papers, University of Pretoria, Department of Economics, number 202629, Sep.
- Andrzej Tokajuk & Jaros{l}aw A. Chudziak, 2026, "Loss Choice or Model Choice? The Role of Forecast Level in Cryptocurrency Volatility Forecasting," Papers, arXiv.org, number 2609.27024, Sep.
- Farid Muradzada & Khazan Bakhshaliyev, 2025, "Oil Price Projection Model," Working Papers, Central Bank of Azerbaijan Republic, number 2503, Aug.