NEP-ETS: Econometric Time Series
@repec-nep-ets.bsky.social
The latest working papers from RePEc. NEP report ETS (Econometric Time Series)
https://nep.repec.org/
https://nep.repec.org/
The Stochastic Simulations of the Commission’s Debt Sustainability Analysis: A Refined Approach: Frédérique Bec; François Courtoy; Philipp Mohl; Frederic Opitz
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December 15, 2025 at 9:45 PM
The Stochastic Simulations of the Commission’s Debt Sustainability Analysis: A Refined Approach: Frédérique Bec; François Courtoy; Philipp Mohl; Frederic Opitz
The Three-Dimensional Decomposition of Volatility Memory: Ziyao Wang; A. Alexandre Trindade; Svetlozar T. Rachev
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December 15, 2025 at 8:45 PM
The Three-Dimensional Decomposition of Volatility Memory: Ziyao Wang; A. Alexandre Trindade; Svetlozar T. Rachev
Identification of Multivariate Measurement Error Models
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December 15, 2025 at 7:45 PM
Identification of Multivariate Measurement Error Models
Random processes for long-term market simulations
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December 15, 2025 at 6:55 PM
Random processes for long-term market simulations
Standard and stressed value at risk forecasting using dynamic Bayesian networks: Eden Gross; Ryan Kruger; Francois Toerien
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December 15, 2025 at 5:45 PM
Standard and stressed value at risk forecasting using dynamic Bayesian networks: Eden Gross; Ryan Kruger; Francois Toerien
Re(Visiting) Time Series Foundation Models in Finance: Eghbal Rahimikia; Hao Ni; Weiguan Wang
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December 15, 2025 at 4:45 PM
Re(Visiting) Time Series Foundation Models in Finance: Eghbal Rahimikia; Hao Ni; Weiguan Wang
Visibility-Graph Asymmetry as a Structural Indicator of Volatility Clustering
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December 15, 2025 at 3:45 PM
Visibility-Graph Asymmetry as a Structural Indicator of Volatility Clustering
A Granular Framework for Construction Material Price Forecasting: Econometric and Machine-Learning Approaches: Boge Lyu; Qianye Yin; Iris Denise Tommelein; Hanyang Liu; Karnamohit Ranka; Karthik Yeluripati; Junzhe Shi
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December 15, 2025 at 2:45 PM
A Granular Framework for Construction Material Price Forecasting: Econometric and Machine-Learning Approaches: Boge Lyu; Qianye Yin; Iris Denise Tommelein; Hanyang Liu; Karnamohit Ranka; Karthik Yeluripati; Junzhe Shi
GDP Nowcasting Performance of Traditional Econometric Models vs Machine-Learning Algorithms: Simulation and Case Studies: Klakow Akepanidtaworn; Korkrid Akepanidtaworn
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December 15, 2025 at 1:45 PM
GDP Nowcasting Performance of Traditional Econometric Models vs Machine-Learning Algorithms: Simulation and Case Studies: Klakow Akepanidtaworn; Korkrid Akepanidtaworn
Implicit score-driven filters for time-varying parameter models: Rutger-Jan Lange; Bram van Os; Dick van Dijk
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December 15, 2025 at 12:45 PM
Implicit score-driven filters for time-varying parameter models: Rutger-Jan Lange; Bram van Os; Dick van Dijk
Estimation of High-dimensional Nonlinear Vector Autoregressive Models: Yuefeng Han; Likai Chen; Wei Biao Wu
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December 15, 2025 at 10:50 AM
Estimation of High-dimensional Nonlinear Vector Autoregressive Models: Yuefeng Han; Likai Chen; Wei Biao Wu
An Unobserved Components Based Test for Asset Price Bubbles: Astill, Sam; Harvey, David I; Leybourne, Stephen J; Taylor, AM Robert
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December 15, 2025 at 9:45 AM
An Unobserved Components Based Test for Asset Price Bubbles: Astill, Sam; Harvey, David I; Leybourne, Stephen J; Taylor, AM Robert
Threshold Tensor Factor Model in CP Form: Stevenson Bolivar; Rong Chen; Yuefeng Han
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December 15, 2025 at 8:45 AM
Threshold Tensor Factor Model in CP Form: Stevenson Bolivar; Rong Chen; Yuefeng Han
Consistent boundaries for the one-step-ahead forecast error criterion and the AIC in vector autoregressions
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December 15, 2025 at 7:45 AM
Consistent boundaries for the one-step-ahead forecast error criterion and the AIC in vector autoregressions
Maximum Likelihood Estimation of the Vector AutoRegressive To Anything (VARTA) model: Andersson, Jonas; Karlis, Dimitris
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December 15, 2025 at 6:45 AM
Maximum Likelihood Estimation of the Vector AutoRegressive To Anything (VARTA) model: Andersson, Jonas; Karlis, Dimitris
Eco-RETINA: a green flexible algorithm for model building: Capilla, Javier; Alcaráz, Alba; Valarezo, Angel; Garcia-Hiernaux, Alfredo; Pérez-Amaral, Teodosio
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December 8, 2025 at 11:45 AM
Eco-RETINA: a green flexible algorithm for model building: Capilla, Javier; Alcaráz, Alba; Valarezo, Angel; Garcia-Hiernaux, Alfredo; Pérez-Amaral, Teodosio
Business-Cycle Dynamics: An Empirical Assessment
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December 8, 2025 at 10:45 AM
Business-Cycle Dynamics: An Empirical Assessment
On the Stability of Macroeconomic Relationships in Australia: Karlsson, Sune; Österholm, Pär
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December 8, 2025 at 9:45 AM
On the Stability of Macroeconomic Relationships in Australia: Karlsson, Sune; Österholm, Pär
Bayesian Nonparametric Models for Conditional Densities Based on Orthogonal Polynomials: Andriy Norets; Marco Stenborg Petterson
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December 8, 2025 at 8:45 AM
Bayesian Nonparametric Models for Conditional Densities Based on Orthogonal Polynomials: Andriy Norets; Marco Stenborg Petterson
Acidification in the Earth’s Oceans: Trends and Persistence: Guglielmo Maria Caporale; Luis Alberiko Gil-Alana; Nieves Carmona-González; Maria Fatima Romero-Rojo
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December 8, 2025 at 7:45 AM
Acidification in the Earth’s Oceans: Trends and Persistence: Guglielmo Maria Caporale; Luis Alberiko Gil-Alana; Nieves Carmona-González; Maria Fatima Romero-Rojo
Semiparametric Estimation of Fractional Integration: An Evaluation of Local Whittle Methods
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December 8, 2025 at 6:45 AM
Semiparametric Estimation of Fractional Integration: An Evaluation of Local Whittle Methods
Long memory in the marginalized time series of a VAR revisited: del Barrio Castro, Tomas; Sanso Rossello, Andreu; Sibbertsen, Philipp
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December 8, 2025 at 5:45 AM
Long memory in the marginalized time series of a VAR revisited: del Barrio Castro, Tomas; Sanso Rossello, Andreu; Sibbertsen, Philipp
Multiscale Comparison of Nonparametric Trending Coefficients: Marina Khismatullina; Bernhard van der Sluis
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December 1, 2025 at 11:45 PM
Multiscale Comparison of Nonparametric Trending Coefficients: Marina Khismatullina; Bernhard van der Sluis
Unconditional quantile partial effects under endogeneity
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December 1, 2025 at 10:45 PM
Unconditional quantile partial effects under endogeneity
Quantifying Uncertainty in France’s Debt Trajectory: A VAR Based Analysis: Kéa Baret; Frédérique Bec; Marion Cochard
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December 1, 2025 at 9:45 PM
Quantifying Uncertainty in France’s Debt Trajectory: A VAR Based Analysis: Kéa Baret; Frédérique Bec; Marion Cochard