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/
Forecasting Macro with Finance: Bachmair, K.; Schmitz, N.
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November 28, 2025 at 5:45 AM
Forecasting Macro with Finance: Bachmair, K.; Schmitz, N.
Bayesian Semiparametric Causal Inference: Targeted Doubly Robust Estimation of Treatment Effects: G\"ozde Sert; Abhishek Chakrabortty; Anirban Bhattacharya
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November 28, 2025 at 4:45 AM
Bayesian Semiparametric Causal Inference: Targeted Doubly Robust Estimation of Treatment Effects: G\"ozde Sert; Abhishek Chakrabortty; Anirban Bhattacharya
Are VAR models evidence for a profit-led Goodwin pattern?
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November 28, 2025 at 3:45 AM
Are VAR models evidence for a profit-led Goodwin pattern?
Nowcasting Malagasy real GDP using energy data: a MIDAS approach
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November 28, 2025 at 2:45 AM
Nowcasting Malagasy real GDP using energy data: a MIDAS approach
Testing Inequalities Linear in Nuisance Parameters: Gregory Fletcher Cox; Xiaoxia Shi; Yuya Shimizu
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November 28, 2025 at 1:45 AM
Testing Inequalities Linear in Nuisance Parameters: Gregory Fletcher Cox; Xiaoxia Shi; Yuya Shimizu
Modelling the South African inflation rate using Box-Jenkins ARIMA models: Lebotsa Daniel Metsileng; Johannes Tshepiso Tsoku
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November 28, 2025 at 12:45 AM
Modelling the South African inflation rate using Box-Jenkins ARIMA models: Lebotsa Daniel Metsileng; Johannes Tshepiso Tsoku
The moment is here: a generalised class of estimators for fuzzy regression discontinuity designs
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November 27, 2025 at 11:45 PM
The moment is here: a generalised class of estimators for fuzzy regression discontinuity designs
FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting: Yilong Zeng; Boyan Tang; Xuanhao Ren; Sherry Zhefang Zhou; Jianghua Wu; Raymond Lee
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November 27, 2025 at 10:45 PM
FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting: Yilong Zeng; Boyan Tang; Xuanhao Ren; Sherry Zhefang Zhou; Jianghua Wu; Raymond Lee
Directional Forecasts for Yields Using Econometric Models and Machine Learning Methods: Sotiris; Tsolacos; Tatiana Franus
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November 27, 2025 at 9:45 PM
Directional Forecasts for Yields Using Econometric Models and Machine Learning Methods: Sotiris; Tsolacos; Tatiana Franus
Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble: Eiji Kurozumi; Anton Skrobotov
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November 27, 2025 at 8:45 PM
Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble: Eiji Kurozumi; Anton Skrobotov
Forecasting the Index of Commodities Prices Using Various Bayesian Models: Krzysztof Drachal; Joanna J?drzejewska
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November 27, 2025 at 7:45 PM
Forecasting the Index of Commodities Prices Using Various Bayesian Models: Krzysztof Drachal; Joanna J?drzejewska
On a Stationarity Theory for Stochastic Volterra Integral Equations: Emmanuel Gnabeyeu; Gilles Pag\`es
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November 27, 2025 at 6:45 PM
On a Stationarity Theory for Stochastic Volterra Integral Equations: Emmanuel Gnabeyeu; Gilles Pag\`es
Multi-period Learning for Financial Time Series Forecasting: Xu Zhang; Zhengang Huang; Yunzhi Wu; Xun Lu; Erpeng Qi; Yunkai Chen; Zhongya Xue; Qitong Wang; Peng Wang; Wei Wang
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November 27, 2025 at 5:45 PM
Multi-period Learning for Financial Time Series Forecasting: Xu Zhang; Zhengang Huang; Yunzhi Wu; Xun Lu; Erpeng Qi; Yunkai Chen; Zhongya Xue; Qitong Wang; Peng Wang; Wei Wang
Why Applied Macroeconomists Should Not Use Bayesian Estimation of DSGE Models: Meenagh, David; Minford, Patrick; Xu, Yongdeng
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November 27, 2025 at 4:45 PM
Why Applied Macroeconomists Should Not Use Bayesian Estimation of DSGE Models: Meenagh, David; Minford, Patrick; Xu, Yongdeng
Multifractality and sample size influence on Bitcoin volatility patterns
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November 27, 2025 at 3:45 PM
Multifractality and sample size influence on Bitcoin volatility patterns
Causal Regime Detection in Energy Markets With Augmented Time Series Structural Causal Models
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November 27, 2025 at 2:45 PM
Causal Regime Detection in Energy Markets With Augmented Time Series Structural Causal Models
Robust Cauchy-Based Methods for Predictive Regressions: Rustam Ibragimov; Jihyun Kim; Anton Skrobotov
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November 27, 2025 at 1:45 PM
Robust Cauchy-Based Methods for Predictive Regressions: Rustam Ibragimov; Jihyun Kim; Anton Skrobotov
Large Bayesian Tensor Autoregressions
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November 27, 2025 at 12:45 PM
Large Bayesian Tensor Autoregressions
A machine learning approach to real time identification of turning points in monetary aggregates M1 and M3: Lampe, Max; Adalid, Ramón
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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
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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
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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
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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
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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
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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
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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