Report NEP-ETS-2025-01-27

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti 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:

• Robin Braun & George Kapetanios & Massimiliano Marcellino, 2025. "Nonparametric Time Varying IV-SVARs: Estimation and Inference," Finance and Economics Discussion Series 2025-004, Board of Governors of the Federal Reserve System (U.S.).
• Gianluca Cubadda, 2024. "VAR models with an index structure: A survey with new results," Papers 2412.11278, arXiv.org.
• Pierluigi Vallarino, 2024. "Dynamic kernel models," Tinbergen Institute Discussion Papers 24-082/III, Tinbergen Institute.
• Kexin Zhang & Simon Trimborn, 2024. "Influential assets in Large-Scale Vector AutoRegressive Models," Tinbergen Institute Discussion Papers 24-080/III, Tinbergen Institute.
• Jad Beyhum, 2024. "Factor-augmented sparse MIDAS regressions with an application to nowcasting," Working Papers of Department of Economics, Leuven 757474, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
• Beatrice Foroni & Luca Merlo & Lea Petrella, 2024. "Hidden Markov graphical models with state-dependent generalized hyperbolic distributions," Papers 2412.03668, arXiv.org.
• Giuseppe Buccheri & Fulvio Corsi & Emilija Dzuverovic, 2024. "From rotational to scalar invariance: Enhancing identifiability in score-driven factor models," Papers 2412.01367, arXiv.org.
• Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting realized covariances using HAR-type models," Papers 2412.10791, arXiv.org.
• Dobrislav Dobrev & Pawel J. Szerszen, 2025. "Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models," Finance and Economics Discussion Series 2025-001, Board of Governors of the Federal Reserve System (U.S.).
• Sylvia Kaufmann & Markus Pape, 2025. "A geometric approach to factor model identification," Working Papers 24.06R, Swiss National Bank, Study Center Gerzensee.
• Miguel C. Herculano & Santiago Montoya-Bland'on, 2024. "Probabilistic Targeted Factor Analysis," Papers 2412.06688, arXiv.org.
• Xinghong Fu & Masanori Hirano & Kentaro Imajo, 2024. "Financial Fine-tuning a Large Time Series Model," Papers 2412.09880, arXiv.org.
• Tae-Hwy Lee & Daanish Padha, 2025. "Forecasting Using Supervised Factors and Idiosyncratic Elements," Working Papers 202502, University of California at Riverside, Department of Economics.
• Sung Hoon Choi & Donggyu Kim, 2024. "Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data," Papers 2412.04293, arXiv.org.
• Andrea Bucci & Michele Palma & Chao Zhang, 2024. "Geometric Deep Learning for Realized Covariance Matrix Forecasting," Papers 2412.09517, arXiv.org.
• Pål Boug & Håvard Hungnes & Takamitsu Kurita, 2024. "Getting Back on Track. Forecasting After Extreme Observations," Discussion Papers 1018, Statistics Norway, Research Department.
• Sylvia Kaufmann & Markus Pape, 2024. "Bayesian (non-)unique sparse factor modelling," Working Papers 23.04R, Swiss National Bank, Study Center Gerzensee.
• Mikkel Bennedsen & Eric Hillebrand & Morten {O}rregaard Nielsen, 2024. "The Global Carbon Budget as a cointegrated system," Papers 2412.09226, arXiv.org, revised Feb 2025.