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/
A machine learning approach to real time identification of turning points in monetary aggregates M1 and M3: Lampe, Max; Adalid, Ramón
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 4:45 PM
A machine learning approach to real time identification of turning points in monetary aggregates M1 and M3: Lampe, Max; Adalid, Ramón
Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction: So-Yoon Cho; Jin-Young Kim; Kayoung Ban; Hyeng Keun Koo; Hyun-Gyoon Kim
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 3:45 PM
Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction: So-Yoon Cho; Jin-Young Kim; Kayoung Ban; Hyeng Keun Koo; Hyun-Gyoon Kim
Volatility analysis: a multifractional approach with mixtures of Beta distributions: M. Cadoni; R. Melis; A. Trudda
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 2:45 PM
Volatility analysis: a multifractional approach with mixtures of Beta distributions: M. Cadoni; R. Melis; A. Trudda
Are macro-financial linkages stable or time-varying? Evidence from Bayesian vector autoregressions: Barrales-Ruiz, Jose; Mendieta-Munoz, Ivan
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 1:45 PM
Are macro-financial linkages stable or time-varying? Evidence from Bayesian vector autoregressions: Barrales-Ruiz, Jose; Mendieta-Munoz, Ivan
Push-response anomalies in high-frequency S&P 500 price series: Dmitrii Vlasiuk; Mikhail Smirnov
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 12:45 PM
Push-response anomalies in high-frequency S&P 500 price series: Dmitrii Vlasiuk; Mikhail Smirnov
Daily Forecasting for Annual Time Series Datasets Using Similarity-Based Machine Learning Methods: A Case Study in the Energy Market
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 11:45 AM
Daily Forecasting for Annual Time Series Datasets Using Similarity-Based Machine Learning Methods: A Case Study in the Energy Market
Multilevel non-linear interrupted time series analysis: RJ Waken; Fengxian Wang; Sarah A. Eisenstein; Tim McBride; Kim Johnson; Karen Joynt-Maddox
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 10:45 AM
Multilevel non-linear interrupted time series analysis: RJ Waken; Fengxian Wang; Sarah A. Eisenstein; Tim McBride; Kim Johnson; Karen Joynt-Maddox
Monetary Policy Shocks and Narrative Restrictions: Rules Matter: Efrem Castelnuovo; Giovanni Pellegrino; Laust L. Særkjær
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 9:45 AM
Monetary Policy Shocks and Narrative Restrictions: Rules Matter: Efrem Castelnuovo; Giovanni Pellegrino; Laust L. Særkjær
Fast and Slow Level Shifts in Intraday Stochastic Volatility: Martins, Igor F. B. Martins; Virbickaitè, Audronè; Nguyen, Hoang; Hedibert, Freitas Lopes
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 8:45 AM
Fast and Slow Level Shifts in Intraday Stochastic Volatility: Martins, Igor F. B. Martins; Virbickaitè, Audronè; Nguyen, Hoang; Hedibert, Freitas Lopes
Multivariate AutoRegressive Smooth Liquidity (MARSLiQ): Hafner, C. M.; Linton, O. B.; Wang, L.
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 7:45 AM
Multivariate AutoRegressive Smooth Liquidity (MARSLiQ): Hafner, C. M.; Linton, O. B.; Wang, L.
Bitcoin Forecasting with Classical Time Series Models on Prices and Volatility: Anmar Kareem; Alexander Aue
NEP/RePEc link
to paper
d.repec.org
November 17, 2025 at 6:45 AM
Bitcoin Forecasting with Classical Time Series Models on Prices and Volatility: Anmar Kareem; Alexander Aue
Temperature and the U.S. Economy: From Demand to Supply-Side Effects: Marta Garcia-Rodriguez; Roman Horvath; Clemente Pinilla-Torremocha
NEP/RePEc link
to paper
d.repec.org
November 10, 2025 at 1:45 PM
Temperature and the U.S. Economy: From Demand to Supply-Side Effects: Marta Garcia-Rodriguez; Roman Horvath; Clemente Pinilla-Torremocha
Time-varying endogenous productivity growth dynamics: Jose Barrales-Ruiz; Gyeongho Kim; Ivan Mendieta-Munoz
NEP/RePEc link
to paper
d.repec.org
November 10, 2025 at 12:45 PM
Time-varying endogenous productivity growth dynamics: Jose Barrales-Ruiz; Gyeongho Kim; Ivan Mendieta-Munoz
Unifying regression-based and design-based causal inference in time-series experiments: Zhexiao Lin; Peng Ding
NEP/RePEc link
to paper
d.repec.org
November 10, 2025 at 11:45 AM
Unifying regression-based and design-based causal inference in time-series experiments: Zhexiao Lin; Peng Ding
Efficiently Learning Synthetic Control Models for High-dimensional Disaggregated Data: Ye Shen; Rui Song; Alberto Abadie
NEP/RePEc link
to paper
d.repec.org
November 10, 2025 at 10:45 AM
Efficiently Learning Synthetic Control Models for High-dimensional Disaggregated Data: Ye Shen; Rui Song; Alberto Abadie
On the estimation of leverage effect and volatility of volatility in the presence of jumps: Qiang Liu; Zhi Liu; Wang Zhou
NEP/RePEc link
to paper
d.repec.org
November 10, 2025 at 9:45 AM
On the estimation of leverage effect and volatility of volatility in the presence of jumps: Qiang Liu; Zhi Liu; Wang Zhou
Spectral analysis of high-dimensional spot volatility matrix with applications: Qiang Liu; Yiming Liu; Zhi Liu; Wang Zhou
NEP/RePEc link
to paper
d.repec.org
November 10, 2025 at 7:45 AM
Spectral analysis of high-dimensional spot volatility matrix with applications: Qiang Liu; Yiming Liu; Zhi Liu; Wang Zhou
Diffusion Index Forecast with Tensor Data: Bin Chen; Yuefeng Han; Qiyang Yu
NEP/RePEc link
to paper
d.repec.org
November 10, 2025 at 6:45 AM
Diffusion Index Forecast with Tensor Data: Bin Chen; Yuefeng Han; Qiyang Yu
Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks: Shovon Sengupta; Sunny Kumar Singh; Tanujit Chakraborty
NEP/RePEc link
to paper
d.repec.org
November 10, 2025 at 5:45 AM
Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks: Shovon Sengupta; Sunny Kumar Singh; Tanujit Chakraborty
Fusing Narrative Semantics for Financial Volatility Forecasting: Yaxuan Kong; Yoontae Hwang; Marcus Kaiser; Chris Vryonides; Roel Oomen; Stefan Zohren
NEP/RePEc link
to paper
d.repec.org
November 3, 2025 at 8:45 PM
Fusing Narrative Semantics for Financial Volatility Forecasting: Yaxuan Kong; Yoontae Hwang; Marcus Kaiser; Chris Vryonides; Roel Oomen; Stefan Zohren
An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps: Keyuan Wu; Tenghan Zhong; Yuxuan Ouyang
NEP/RePEc link
to paper
d.repec.org
November 3, 2025 at 7:45 PM
An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps: Keyuan Wu; Tenghan Zhong; Yuxuan Ouyang
A Neural Network-VAR for Long-Term Forecasting: An Application to Monetary Policy Effects in the Euro Area: Diana Barro; Antonella Basso; Marco Corazza; Guglielmo Alessandro Visentin
NEP/RePEc link
to paper
d.repec.org
November 3, 2025 at 6:45 PM
A Neural Network-VAR for Long-Term Forecasting: An Application to Monetary Policy Effects in the Euro Area: Diana Barro; Antonella Basso; Marco Corazza; Guglielmo Alessandro Visentin
Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model
NEP/RePEc link
to paper
d.repec.org
November 3, 2025 at 5:45 PM
Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model
Estimating the New Keynesian Phillips Curve (NKPC) with Fat-tailed Events: ., Kaustubh; Gopalakrishnan, Pawan Gopalakrishnan; Ranjan, Abhishek Ranjan
NEP/RePEc link
to paper
d.repec.org
November 3, 2025 at 4:45 PM
Estimating the New Keynesian Phillips Curve (NKPC) with Fat-tailed Events: ., Kaustubh; Gopalakrishnan, Pawan Gopalakrishnan; Ranjan, Abhishek Ranjan
Bitcoin Price Forecasting Based on Hybrid Variational Mode Decomposition and Long Short Term Memory Network
NEP/RePEc link
to paper
d.repec.org
November 3, 2025 at 3:45 PM
Bitcoin Price Forecasting Based on Hybrid Variational Mode Decomposition and Long Short Term Memory Network