Purpose – This study aims to present an empirical model designed to forecast bank credit ratings using only quantitative and publicly available information from their financial statements. For this reason, the authors use the long-term ratings provided by Fitch in 2012. The sample consists of...

In this paper we assess if the financial market liberalization introduced in the beginning of the 1990s in Greece has changed the degree of market development (efficiency) by studying time-varying global Hurst exponents. Our results suggest that changes in financial market liberalization have...

In this paper we investigate the efficiency of a support vector machine (SVM)-based forecasting model for the next-day directional change of electricity prices. We first adjust the best autoregressive SVM model and then we enhance it with various related variables. The system is tested on the...

The 2006 sudden and immense downturn in U.S. house prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...

In this paper, we investigate the forecasting ability of the yield curve in terms of the U.S. real GDP cycle. More specifically, within a Machine Learning framework, we use data from a variety of short (treasury bills) and long term interest rates (bonds) for the period from 1976:Q3 to 2011:Q4...

We test the validity of the Purchasing Power Parity theory, examining the Real Exchange Rate of 23 OECD countries for mean-reversion. In doing so, we estimate the Hurst exponent, which is a well-established estimator of long memory in time series analysis. The innovation of our approach is that...

In this paper, I analyse the synchronisation of business cycles within the European Union (EU), as this is an important ingredient for the implementation of a successful monetary policy. The business cycles of twelve EU countries and two sub-groups of countries are extracted for the period...