Report NEP-ETS-2026-11-02

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:

• Muyi Li & Yajia Chen & Yuqing Xu & Feiyu Jiang, 2026, "A Semiparametric Real-Time GARCH Model with Nonstationary Variance," Papers, arXiv.org, number 2610.36739, Oct.
• Peter Fuleky, 2026, "A Brief History of Time Series Econometrics," Working Papers, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, number 2026-2, Oct.
• MD Nazmul Ahsan & Jean-Marie Dufour, 2026, "Practical estimation methods for high-dimensional multivariate stochastic volatility models," CIRANO Working Papers, CIRANO, number 2026s-20, Oct.
• Marco Brianti & Mario Forni & Luca Gambetti & Antonio Granese, 2026, "Dynamic Factor Models and Cointegration," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1234, Oct.
• Joel M. David & Raffaella Giacomini & Xiyu Jiao & Weining Wang, 2026, "Causal State-Dependent Local Projections," Working Paper Series, Federal Reserve Bank of Chicago, number WP 2026-18, Sep, DOI: 10.21033/wp-2026-18.
• Ioannis Kasparis, 2026, "Conventional Inference under Nonstationary Heavy Tailed Fractional Processes & Arrays," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 03-2026, Oct.
• Joshua C. C. Chan & Wei Zhang, 2026, "Higher-Order Marginal Likelihood Approximation for Nonlinear State Space Models," Papers, arXiv.org, number 2610.34629, Oct.
• Schmitz, Luca, 2026, "Behind the curve: Reassessing inflation risks with a High-dimensional Distributional VAR (HiDVAR)," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 245.
• Alessandro Saccal, 2026, "RBC SVAR for Uzbekistan," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2026/10, Jan.
• Sascha A. Keweloh & Shu Wang, 2026, "Testing strong exogeneity in proxy SVARs with internal synthetic proxies," Papers, arXiv.org, number 2610.36093, Oct.
• Linton, O. B. & Michalopoulos, C., 2026, "Grid Bootstrap Inference for Threshold Quantile Regression," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2684, Oct.
• Dante Amengual & Lluc Puig-Codina, 2026, "A Bayesian Analysis of the Cox-Ingersoll-Ross Model," Working Papers, Banco de España, number 2640, Oct, DOI: https://doi.org/10.53479/44785.
• Dimitri Sotnikov & Adeline Viot, 2026, "Martingality in EFM Signature Volatility Models," Papers, arXiv.org, number 2610.35022, Oct.
• Sara Boughanou & Adil El Marhoum, 2026, "Multilingual Textual Signals and Realized Volatility Forecasting: A Hybrid Transformer-HAR-X Approach Applied to the S&P 500 and the MASI
  [Signaux textuels multilingues et prévision de la volatilité réalisée : une approche hybride Transformer-HAR-," Post-Print, HAL, number hal-05723648, Aug, DOI: 10.5281/zenodo.21909207.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf & Olena Melin, 2026, "Simultaneous inference in possibly incomplete multivariate regressions with application to asset pricing," CIRANO Working Papers, CIRANO, number 2026s-22, Oct.