Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...

This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...

This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...

Central Banks in major industrialized economies have struggled to keep inflation within their target ranges since the global financial crisis. The periods of missing inflation and deflation experienced in the post-crisis era have led to doubts about the traditional Fisher effect as a crucial...

Purpose - This study aims to reassess the dynamics of major cryptocurrencies sur-rounding recent economic and geopolitical events. By employing wavelet analysis and quantile regression methods, it seeks to understand the behavior of cryptocurrencies before, during, and after the COVID-19...

Climate risk refers to the risks associated with climate change and has already started to impact various sectors of the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the agribusiness sector. The probability of default is estimated...